# EDGAR Filing Document

**Accession Number:** 0001217286
**File Stem:** 0001752724-23-016735
**Filing Date:** 2023-1
**Character Count:** 482416
**Document Hash:** 43e67bad01389f1f371733d3856e90c3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016735.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016735

**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 I
- **CENTRAL INDEX KEY:** 0001217286
- **IRS NUMBER:** 331043149
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21295
- **FILM NUMBER:** 23563122

**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:** JP MORGAN MUTUAL FUND SERIES
- **DATE OF NAME CHANGE:** 20030204

## Series and Classes Contracts Data

### JPMorgan Strategic Income Opportunities Fund (Series ID: S000022994)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000066701 | Class I      | JSOSX           |
| C000066702 | Class A      | JSOAX           |
| C000066703 | Class C      | JSOCX           |
| C000066704 | Class R5     | JSORX           |
| C000195119 | Class R6     | JSOZX           |

## Nport-Ex

**JPMorgan Strategic Income Opportunities 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 Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **Corporate Bonds — 17.8%** | **Corporate Bonds — 17.8%** | **Corporate Bonds — 17.8%** |
| **Aerospace & Defense — 0.0% ^** | **Aerospace & Defense — 0.0% ^** | **Aerospace & Defense — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Wesco Aircraft Holdings, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 11/15/2026 (a) | 1347 | 855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13.13%, 11/15/2027 (a) | 530 | 133 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 988 |
| **Auto Components — 0.1%** | **Auto Components — 0.1%** | **Auto Components — 0.1%** |
| &nbsp;&nbsp;&nbsp; Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | 880 | 832 |
| &nbsp;&nbsp;&nbsp; Clarios Global LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 5/15/2025 (a) | 451 | 451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 5/15/2026 (a) | 928 | 919 |
| &nbsp;&nbsp;&nbsp; Cooper-Standard Automotive, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13.00%, 6/1/2024 (a) | 995 | 1041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 11/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2367 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5610 |
| **Automobiles — 0.6%** | **Automobiles — 0.6%** | **Automobiles — 0.6%** |
| &nbsp;&nbsp;&nbsp; BMW US Capital LLC (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.53%), 4.35%, 4/1/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 53505 | &nbsp;&nbsp;&nbsp;&nbsp; 53155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.38%), 4.19%, 8/12/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2256 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 55411 |
| **Banks — 6.6%** | **Banks — 6.6%** | **Banks — 6.6%** |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.79%), 3.95%, 3/5/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44117 | &nbsp;&nbsp;&nbsp;&nbsp; 44055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (BSBY 3M + 0.43%), 4.96%, 5/28/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25250 | &nbsp;&nbsp;&nbsp;&nbsp; 25029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.69%), 4.52%, 4/22/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 36200 | &nbsp;&nbsp;&nbsp;&nbsp; 35591 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.68%), 4.51%, 3/10/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.32%), 4.14%, 7/9/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14560 | &nbsp;&nbsp;&nbsp;&nbsp; 14376 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.26%), 4.09%, 9/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25800 | &nbsp;&nbsp;&nbsp;&nbsp; 25660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.96%), 4.18%, 3/11/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10897 | &nbsp;&nbsp;&nbsp;&nbsp; 10878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.45%), 4.26%, 4/15/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20395 | &nbsp;&nbsp;&nbsp;&nbsp; 20210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.38%), 4.19%, 7/31/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23665 | &nbsp;&nbsp;&nbsp;&nbsp; 23381 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.80%), 4.65%, 3/17/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.34%), 4.16%, 6/22/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29750 | &nbsp;&nbsp;&nbsp;&nbsp; 29672 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc. (ICE LIBOR USD 3 Month + 1.10%), 5.75%, 5/17/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6918 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) (ICE LIBOR USD 3 Month + 1.02%), 5.34%, 4/24/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2371 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) (ICE LIBOR USD 3 Month + 0.62%), 3.72%, 12/2/2022 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24480 | &nbsp;&nbsp;&nbsp;&nbsp; 24480 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.00%), 5.67%, 5/18/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 37007 | &nbsp;&nbsp;&nbsp;&nbsp; 36883 |
| &nbsp;&nbsp;&nbsp; KeyBank NA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.34%), 4.16%, 1/3/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11945 | &nbsp;&nbsp;&nbsp;&nbsp; 11870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.32%), 4.15%, 6/14/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12750 | &nbsp;&nbsp;&nbsp;&nbsp; 12614 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.74%), 3.84%, 3/2/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.86%), 5.19%, 7/26/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6790 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) (ICE LIBOR USD 3 Month + 0.79%), 3.95%, 3/5/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12478 | &nbsp;&nbsp;&nbsp;&nbsp; 12484 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) (SOFR + 0.53%), 4.34%, 8/12/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8365 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) (SOFRINDX + 0.36%), 4.17%, 7/29/2024 (b) | 53659 | 52940 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda Banken AB (Sweden) (ICE LIBOR USD 3 Month + 0.65%), 3.88%, 12/12/2022 (a) (b) | 20420 | 20418 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.74%), 4.82%, 1/17/2023 (b) | 2650 | 2650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.86%), 5.09%, 7/19/2023 (b) | 3095 | 3099 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.53%), 3.61%, 12/1/2022 (b) | 24440 | 24440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.22%), 4.05%, 6/2/2023 (b) | 34000 | 33917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.45%), 4.27%, 9/28/2023 (b) | 450 | 448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.36%), 4.18%, 3/4/2024 (b) | 34000 | 33674 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.35%), 4.18%, 9/10/2024 (b) | 16535 | 16277 |
| &nbsp;&nbsp;&nbsp; Truist Bank  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.73%), 4.56%, 3/9/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.20%), 4.02%, 1/17/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12375 | &nbsp;&nbsp;&nbsp;&nbsp; 12262 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp. (SOFR + 0.40%), 4.23%, 6/9/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24125 | &nbsp;&nbsp;&nbsp;&nbsp; 23568 |
| &nbsp;&nbsp;&nbsp; Westpac Banking Corp. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.57%), 4.48%, 1/11/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.39%), 4.33%, 1/13/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.72%), 5.33%, 5/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1779 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1781 |
|  |  | &nbsp;&nbsp;&nbsp; 603051 |
| **Capital Markets — 2.2%** | **Capital Markets — 2.2%** | **Capital Markets — 2.2%** |
| &nbsp;&nbsp;&nbsp; Charles Schwab Corp. (The) (SOFRINDX + 0.50%), 4.32%, 3/18/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51729 | &nbsp;&nbsp;&nbsp;&nbsp; 51378 |
| &nbsp;&nbsp;&nbsp; Credit Suisse AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.38%), 4.19%, 8/9/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 26850 | &nbsp;&nbsp;&nbsp;&nbsp; 26177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.39%), 4.20%, 2/2/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 31600 | &nbsp;&nbsp;&nbsp;&nbsp; 30055 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Group AG (Switzerland) (ICE LIBOR USD 3 Month + 1.20%), 4.47%, 12/14/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8629 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.75%), 5.44%, 2/23/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.58%), 4.41%, 3/8/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12046 | &nbsp;&nbsp;&nbsp;&nbsp; 11909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.39%), 5.22%, 3/15/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2653 |
| &nbsp;&nbsp;&nbsp; UBS AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.32%), 4.15%, 6/1/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21250 | &nbsp;&nbsp;&nbsp;&nbsp; 21201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.36%), 4.17%, 2/9/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12200 | &nbsp;&nbsp;&nbsp;&nbsp; 12118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.45%), 4.26%, 8/9/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 35250 | &nbsp;&nbsp;&nbsp;&nbsp; 34927 |
|  |  | &nbsp;&nbsp;&nbsp; 199518 |
| **Chemicals — 0.0% ^** | **Chemicals — 0.0% ^** | **Chemicals — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401 |
| &nbsp;&nbsp;&nbsp; Venator Finance SARL 9.50%, 7/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 564 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 965 |
| **Consumer Finance — 1.8%** | **Consumer Finance — 1.8%** | **Consumer Finance — 1.8%** |
| &nbsp;&nbsp;&nbsp; American Express Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.65%), 5.39%, 2/27/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8926 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.23%), 4.04%, 11/3/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20970 | &nbsp;&nbsp;&nbsp;&nbsp; 20793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.72%), 4.53%, 5/3/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3307 |
| &nbsp;&nbsp;&nbsp; American Honda Finance Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.15%), 4.81%, 2/22/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2651 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Consumer Finance — continued** | **Consumer Finance — continued** | **Consumer Finance — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.37%), 4.96%, 5/10/2023 (b) | 25250 | 25254 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.72%), 5.13%, 1/30/2023 (b) | 4516 | 4516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.69%), 4.54%, 12/6/2024 (b) | 34251 | 33489 |
| &nbsp;&nbsp;&nbsp; Caterpillar Financial Services Corp. (SOFR + 0.25%), 4.05%, 5/17/2024 (b) | 7970 | 7919 |
| &nbsp;&nbsp;&nbsp; John Deere Capital Corp. (ICE LIBOR USD 3 Month + 0.55%), 3.69%, 6/7/2023 (b) | 925 | 926 |
| &nbsp;&nbsp;&nbsp; Toyota Motor Credit Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.32%), 4.14%, 4/6/2023 (b) | 23196 | 23183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.75%), 4.55%, 7/25/2023 (b) | 28979 | 28999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, (SOFR + 0.29%), 4.12%, 9/13/2024 (b) | 9000 | 8891 |
|  |  | &nbsp;&nbsp;&nbsp; 168850 |
| **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) (SOFR + 0.43%), 4.26%, 3/11/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23990 | &nbsp;&nbsp;&nbsp;&nbsp; 23822 |
| **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 845 |
| &nbsp;&nbsp;&nbsp; AT&T, Inc. (SOFRINDX + 0.64%), 4.46%, 3/25/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16560 | &nbsp;&nbsp;&nbsp;&nbsp; 16437 |
| &nbsp;&nbsp;&nbsp; CCO Holdings LLC 5.00%, 2/1/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; ESC Co., Intelsat Jackson Holdings, Ltd.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 8/1/2023 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 10/15/2024 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.75%, 7/15/2025 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; Frontier Communications Holdings LLC 5.88%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 387 |
| &nbsp;&nbsp;&nbsp; Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8519 |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc. (SOFRINDX + 0.50%), 4.32%, 3/22/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2436 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2420 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 28730 |
| **Electric Utilities — 1.8%** | **Electric Utilities — 1.8%** | **Electric Utilities — 1.8%** |
| &nbsp;&nbsp;&nbsp; American Electric Power Co., Inc. Series A, (ICE LIBOR USD 3 Month + 0.48%), 4.92%, 11/1/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22880 | &nbsp;&nbsp;&nbsp;&nbsp; 22741 |
| &nbsp;&nbsp;&nbsp; Duke Energy Corp. (SOFR + 0.25%), 4.08%, 6/10/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 38977 | &nbsp;&nbsp;&nbsp;&nbsp; 38797 |
| &nbsp;&nbsp;&nbsp; Eversource Energy Series T, (SOFRINDX + 0.25%), 4.06%, 8/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13250 | &nbsp;&nbsp;&nbsp;&nbsp; 13194 |
| &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.27%), 4.93%, 2/22/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28182 | &nbsp;&nbsp;&nbsp;&nbsp; 28176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.54%), 4.37%, 3/1/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 59602 | &nbsp;&nbsp;&nbsp;&nbsp; 59555 |
| &nbsp;&nbsp;&nbsp; Southern Co. (The) Series 2021, (SOFRINDX + 0.37%), 4.18%, 5/10/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1256 |
|  |  | &nbsp;&nbsp;&nbsp; 163719 |
| **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp; Telford Offshore Ltd. (United Arab Emirates) 12.00% (PIK), 12/31/2164 (d) (e) (f) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5484 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 373 |
| **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Live Nation Entertainment, Inc. 6.50%, 5/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 731 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 732 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Food & Staples Retailing — 0.0% ^** | **Food & Staples Retailing — 0.0% ^** | **Food & Staples Retailing — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Rite Aid Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 7/1/2025 (a) | 489 | 368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/15/2026 (a) | 1185 | 737 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1105 |
| **Food Products — 0.1%** | **Food Products — 0.1%** | **Food Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; General Mills, Inc. (ICE LIBOR USD 3 Month + 1.01%), 5.09%, 10/17/2023 (b) | 8218 | 8242 |
| &nbsp;&nbsp;&nbsp; Post Holdings, Inc. 5.75%, 3/1/2027 (a) | 285 | 278 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8520 |
| **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp. (ICE LIBOR USD 3 Month + 0.38%), 3.57%, 3/9/2023 (b) | 5445 | 5439 |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy Resources Corp. (ICE LIBOR USD 3 Month + 0.50%), 3.60%, 3/2/2023 (b) | 4390 | 4387 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9826 |
| **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1723 |
| &nbsp;&nbsp;&nbsp; HCA, Inc. 5.38%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4582 |
| &nbsp;&nbsp;&nbsp; Tenet Healthcare Corp. 5.13%, 11/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2410 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8715 |
| **Hotels, Restaurants & Leisure — 0.4%** | **Hotels, Restaurants & Leisure — 0.4%** | **Hotels, Restaurants & Leisure — 0.4%** |
| &nbsp;&nbsp;&nbsp; Six Flags Entertainment Corp. 4.88%, 7/31/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1740 |
| &nbsp;&nbsp;&nbsp; Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 263 |
| &nbsp;&nbsp;&nbsp; Starbucks Corp. (SOFRINDX + 0.42%), 4.23%, 2/14/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 30468 | &nbsp;&nbsp;&nbsp;&nbsp; 30289 |
| &nbsp;&nbsp;&nbsp; Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 32723 |
| **Household Products — 0.0% ^** | **Household Products — 0.0% ^** | **Household Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Spectrum Brands, Inc. 5.75%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 |
| **Insurance — 2.3%** | **Insurance — 2.3%** | **Insurance — 2.3%** |
| &nbsp;&nbsp;&nbsp; Athene Global Funding  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.70%), 4.50%, 5/24/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 48250 | &nbsp;&nbsp;&nbsp;&nbsp; 47322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.56%), 4.36%, 8/19/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25500 | &nbsp;&nbsp;&nbsp;&nbsp; 24897 |
| &nbsp;&nbsp;&nbsp; Brighthouse Financial Global Funding (SOFR + 0.76%), 4.58%, 4/12/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5685 |
| &nbsp;&nbsp;&nbsp; GA Global Funding Trust (SOFR + 0.50%), 4.33%, 9/13/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9426 |
| &nbsp;&nbsp;&nbsp; Jackson National Life Global Funding (SOFR + 0.60%), 4.42%, 1/6/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 39249 | &nbsp;&nbsp;&nbsp;&nbsp; 39253 |
| &nbsp;&nbsp;&nbsp; Met Tower Global Funding (SOFR + 0.55%), 4.37%, 1/17/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18040 | &nbsp;&nbsp;&nbsp;&nbsp; 18045 |
| &nbsp;&nbsp;&nbsp; Metropolitan Life Global Funding I  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.57%), 4.39%, 1/13/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21850 | &nbsp;&nbsp;&nbsp;&nbsp; 21855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.32%), 4.14%, 1/7/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17221 | &nbsp;&nbsp;&nbsp;&nbsp; 17104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.30%), 4.12%, 9/27/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1604 |
| &nbsp;&nbsp;&nbsp; New York Life Global Funding  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.28%), 4.19%, 1/10/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.36%), 4.18%, 10/21/2023 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1920 |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Global Funding (SOFR + 0.33%), 4.15%, 3/25/2024 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Insurance — continued** | **Insurance — continued** | **Insurance — continued** |
| &nbsp;&nbsp;&nbsp; Principal Life Global Funding II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.45%), 4.27%, 4/12/2024 (a) (b) | 5260 | 5219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.38%), 4.18%, 8/23/2024 (a) (b) | 15047 | 14884 |
|  |  | &nbsp;&nbsp;&nbsp; 208671 |
| **Internet & Direct Marketing Retail — 0.3%** | **Internet & Direct Marketing Retail — 0.3%** | **Internet & Direct Marketing Retail — 0.3%** |
| &nbsp;&nbsp;&nbsp; eBay, Inc. (ICE LIBOR USD 3 Month + 0.87%), 5.28%, 1/30/2023 (b) | 28219 | 28218 |
| &nbsp;&nbsp;&nbsp; Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | 2815 | 1732 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 29950 |
| **Media — 0.1%** | **Media — 0.1%** | **Media — 0.1%** |
| &nbsp;&nbsp;&nbsp; Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) | 2980 | 2568 |
| &nbsp;&nbsp;&nbsp; DISH DBS Corp. 5.88%, 11/15/2024 | 3283 | 3120 |
| &nbsp;&nbsp;&nbsp; Nexstar Media, Inc. 5.63%, 7/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1244 |
| &nbsp;&nbsp;&nbsp; Sirius XM Radio, Inc. 5.50%, 7/1/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1383 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8315 |
| **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc. Series D, (ICE LIBOR USD 3 Month + 0.53%), 3.82%, 9/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22700 | &nbsp;&nbsp;&nbsp;&nbsp; 22654 |
| **Oil, Gas & Consumable Fuels — 0.2%** | **Oil, Gas & Consumable Fuels — 0.2%** | **Oil, Gas & Consumable Fuels — 0.2%** |
| &nbsp;&nbsp;&nbsp; Chesapeake Energy Corp., Escrow 5.50%, 9/15/2026 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) (SOFR + 0.40%), 4.21%, 2/17/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21499 | &nbsp;&nbsp;&nbsp;&nbsp; 21479 |
| &nbsp;&nbsp;&nbsp; Genesis Energy LP 6.50%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; Gulfport Energy Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 5/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 5/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 831 |
| &nbsp;&nbsp;&nbsp; Gulfport Energy Operating Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 10/15/2024 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 5/15/2025 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 1/15/2026 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 22531 |
| **Personal Products — 0.0% ^** | **Personal Products — 0.0% ^** | **Personal Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; ESC SANCHEZ 8.88%, 3/15/2025 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| **Pharmaceuticals — 0.2%** | **Pharmaceuticals — 0.2%** | **Pharmaceuticals — 0.2%** |
| &nbsp;&nbsp;&nbsp; Bausch Health Americas, Inc. 9.25%, 4/1/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1819 |
| &nbsp;&nbsp;&nbsp; Bausch Health Cos., Inc. 9.00%, 12/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1465 |
| &nbsp;&nbsp;&nbsp; Mallinckrodt International Finance SA 10.00%, 6/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2021 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1036 |
| &nbsp;&nbsp;&nbsp; Pfizer, Inc. (ICE LIBOR USD 3 Month + 0.33%), 3.62%, 9/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11225 | &nbsp;&nbsp;&nbsp;&nbsp; 11219 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 15539 |
| **Road & Rail — 0.0% ^** | **Road & Rail — 0.0% ^** | **Road & Rail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; ESC GCBREGS EXIDE TECH  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.13%, 8/1/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 1/15/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp; Hertz Corp. (The) 5.50%, 10/15/2024 (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4923 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Semiconductors & Semiconductor Equipment — 0.1%** | **Semiconductors & Semiconductor Equipment — 0.1%** | **Semiconductors & Semiconductor Equipment — 0.1%** |
| &nbsp;&nbsp;&nbsp; QUALCOMM, Inc. (ICE LIBOR USD 3 Month + 0.73%), 5.14%, 1/30/2023 (b) | 5308 | 5310 |
| **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Staples, Inc. 7.50%, 4/15/2026 (a) | 4018 | 3585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $1,660,054)<br>|  | 1629843 |
| **Mortgage-Backed Securities — 7.7%** | **Mortgage-Backed Securities — 7.7%** | **Mortgage-Backed Securities — 7.7%** |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 5.50%, 12/25/2052 (g) | 390800 | 395236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 6.00%, 12/25/2052 (g) | 304374 | 311197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $698,359)<br>|  | &nbsp;&nbsp;&nbsp; 706433 |
| **Asset-Backed Securities — 3.4%** | **Asset-Backed Securities — 3.4%** | **Asset-Backed Securities — 3.4%** |
| &nbsp;&nbsp;&nbsp; ACE Securities Corp. Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CW1, Class A2D, 4.56%, 7/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WM2, Class A2B, 4.22%, 2/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WM2, Class A2C, 4.32%, 2/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4876 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WM2, Class A2D, 4.41%, 2/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2124 |
| &nbsp;&nbsp;&nbsp; Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class M1, 4.81%, 8/25/2033 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R3, Class M8, 6.17%, 5/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6973 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5809 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust Series 2004-SD1, Class M2, 5.82%, 12/25/2042 ‡ (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 657 |
| &nbsp;&nbsp;&nbsp; BNC Mortgage Loan Trust Series 2006-1, Class A4, 3.69%, 10/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 26141 | &nbsp;&nbsp;&nbsp;&nbsp; 15903 |
| &nbsp;&nbsp;&nbsp; Carrington Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC1, Class M2, 4.67%, 1/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 18441 | &nbsp;&nbsp;&nbsp;&nbsp; 14216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC5, Class A3, 4.19%, 1/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 14821 | &nbsp;&nbsp;&nbsp;&nbsp; 12338 |
| &nbsp;&nbsp;&nbsp; Centex Home Equity Loan Trust Series 2005-A, Class M2, 4.54%, 1/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2535 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust Series 2007-AMC1, Class A1, 4.20%, 12/25/2036 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3671 |
| &nbsp;&nbsp;&nbsp; Credit-Based Asset Servicing and Securitization LLC Series 2006-CB8, Class A1, 4.32%, 10/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6138 |
| &nbsp;&nbsp;&nbsp; CWABS Asset-Backed Certificates Trust Series 2007-2, Class 2A3, 4.18%, 8/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1497 |
| &nbsp;&nbsp;&nbsp; CWABS Trust Series 2006-11, Class 3AV2, 4.20%, 9/25/2046 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Series 2004-1, Class M2, 4.87%, 3/25/2034 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp; FBR Securitization Trust Series 2005-2, Class M2, 4.79%, 9/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1444 |
| &nbsp;&nbsp;&nbsp; Fieldstone Mortgage Investment Trust Series 2006-2, Class 2A3, 4.58%, 7/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2663 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1296 |
| &nbsp;&nbsp;&nbsp; First Franklin Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF8, Class M1, 4.42%, 7/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF14, Class A5, 4.20%, 10/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5928 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5756 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF13, Class A1, 4.28%, 10/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 10735 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7229 |
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class M6, 5.20%, 6/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class 1A1, 4.35%, 4/25/2036 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; GSAA Home Equity Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class M5, 5.02%, 8/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3878 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A2, 4.48%, 1/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3897 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-19, Class A2, 4.40%, 12/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3319 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4, Class A1, 4.24%, 3/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1005 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class AF4A, 6.48%, 3/25/2037 ‡ (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1847 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5, Class 1AV1, 4.14%, 5/25/2037 ‡ (h) | 6014 | 1919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class 1A2, 4.40%, 7/25/2037 (h) | 835 | 777 |
| &nbsp;&nbsp;&nbsp; GSAMP Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-NC1, Class M2, 5.14%, 2/25/2035 ‡ (h) | 5664 | 5384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-WMC1, Class M1, 4.78%, 9/25/2035 ‡ (h) | 1583 | 1532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FM1, Class A1, 4.36%, 4/25/2036 ‡ (h) | 10611 | 7441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC2, Class A1, 4.34%, 6/25/2036 ‡ (h) | 4826 | 2668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FM3, Class A1, 4.18%, 11/25/2036 ‡ (h) | 15521 | 7361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE3, Class A2C, 4.36%, 5/25/2046 (h) | 113 | 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A2C, 4.19%, 3/25/2047 ‡ (h) | 8200 | 7681 |
| &nbsp;&nbsp;&nbsp; Home Equity Mortgage Loan Asset-Backed Trust Series 2004-B, Class M2, 4.46%, 11/25/2034 ‡ (h) | 706 | 682 |
| &nbsp;&nbsp;&nbsp; HSI Asset Securitization Corp. Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE2, Class 2A3, 4.38%, 12/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 21834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC1, Class A2, 3.73%, 4/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC1, Class A3, 3.77%, 4/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC1, Class A4, 3.87%, 4/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2750 |
| &nbsp;&nbsp;&nbsp; Long Beach Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class M1, 4.90%, 7/25/2034 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-11, Class 1A, 4.20%, 12/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 13597 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 2A3, 4.42%, 3/25/2046 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 39419 | &nbsp;&nbsp;&nbsp;&nbsp; 13980 |
| &nbsp;&nbsp;&nbsp; Mastr Asset-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class A2, 4.26%, 11/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class A3, 4.34%, 11/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6571 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2092 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-5, Class 1A, 4.89%, 10/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 23456 | &nbsp;&nbsp;&nbsp;&nbsp; 14727 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RM2, Class A1A, 4.41%, 5/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 12028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MLN1, Class A2C, 4.38%, 7/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 24158 | &nbsp;&nbsp;&nbsp;&nbsp; 10801 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital I, Inc. Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A1, 4.18%, 11/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class A2B, 4.13%, 1/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 11416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE7, Class A2B, 5.04%, 7/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1160 |
| &nbsp;&nbsp;&nbsp; Nationstar Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A, Class M3, 4.34%, 3/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-B, Class M1, 4.45%, 4/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3690 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-5, Class AI7, 4.83%, 11/25/2033 ‡ (h) | &nbsp;&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 2005-1, Class M6, 5.24%, 3/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3535 |
| &nbsp;&nbsp;&nbsp; Nomura Home Equity Loan, Inc. Home Equity Loan Trust Series 2006-HE1, Class M1, 4.66%, 2/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp; NovaStar Mortgage Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class A2C, 4.34%, 9/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class A2D, 4.54%, 9/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class A2C, 4.38%, 11/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A1A, 4.17%, 3/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp; 15012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9773 |
| &nbsp;&nbsp;&nbsp; Option One Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class M2, 4.90%, 11/25/2034 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class M2, 4.78%, 8/25/2035 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 324 |
| &nbsp;&nbsp;&nbsp; Ownit Mortgage Loan Trust Series 2006-1, Class AV, 4.50%, 12/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp; RAMP Trust Series 2005-EFC6, Class M4, 4.93%, 11/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2152 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; RASC Trust Series 2005-KS2, Class M1, 4.69%, 3/25/2035 ‡ (h) | 109 | 108 |
| &nbsp;&nbsp;&nbsp; Saxon Asset Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-3, Class AF6, 5.41%, 5/25/2031 ‡ (i) | 842 | 764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class M4, 1.52%, 11/25/2035 ‡ (h) | 3380 | 2794 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FR4, Class A1, 4.30%, 8/25/2036 ‡ (a) (h) | 11892 | 5121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC3, Class A1, 4.32%, 9/25/2036 ‡ (h) | 9590 | 6037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WM2, Class A2A, 4.36%, 9/25/2036 ‡ (h) | 16651 | 11323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A2B, 4.26%, 12/25/2036 (h) | 6731 | 1485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A2C, 4.36%, 12/25/2036 ‡ (h) | 17098 | 3773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A2D, 4.48%, 12/25/2036 ‡ (h) | 6521 | 1439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC2, Class A2B, 4.18%, 1/25/2037 ‡ (h) | 2963 | 2544 |
| &nbsp;&nbsp;&nbsp; Soundview Home Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A1, 4.16%, 11/25/2036 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A2, 4.28%, 11/25/2036 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 14198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A3, 4.38%, 11/25/2036 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1109 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NLC1, Class A4, 4.52%, 11/25/2036 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OPT3, Class 2A3, 4.22%, 8/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2879 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2729 |
| &nbsp;&nbsp;&nbsp; Specialty Underwriting & Residential Finance Trust Series 2006-BC5, Class A1, 4.32%, 11/25/2037 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2853 |
| &nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-HE3, Class M2, 4.75%, 9/25/2035 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3573 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class A3, 4.40%, 4/25/2036 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WF1, Class M6, 4.84%, 2/25/2036 ‡ (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-GEL4, Class M1, 4.61%, 10/25/2036 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-BC5, Class A4, 4.38%, 12/25/2036 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 646 |
| &nbsp;&nbsp;&nbsp; Terwin Mortgage Trust Series 2006-3, Class 2A2, 4.46%, 4/25/2037 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1659 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $386,682)<br>|  | &nbsp;&nbsp;&nbsp; 313878 |
| **Collateralized Mortgage Obligations — 3.2%** | **Collateralized Mortgage Obligations — 3.2%** | **Collateralized Mortgage Obligations — 3.2%** |
| &nbsp;&nbsp;&nbsp; Adjustable Rate Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 5A1, 3.75%, 9/25/2035 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-10, Class 1A21, 3.84%, 1/25/2036 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5CB, Class 2A1, 5.00%, 5/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-50CB, Class 4A1, 5.00%, 11/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-J11, Class 5A1, 5.50%, 11/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-J3, Class 2A1, 4.75%, 12/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-J6, Class 2A1, 5.50%, 7/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-J2, Class A1, 4.54%, 4/25/2036 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-24CB, Class A1, 6.00%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 891 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-24CB, Class A23, 6.00%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-25CB, Class A9, 6.00%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-28CB, Class A17, 6.00%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-31CB, Class A3, 6.00%, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-41CB, Class 2A17, 6.00%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5CB, Class 1A31, 5.50%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; American Home Mortgage Assets Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4, Class A4, 4.62%, 8/25/2037 (h) | 3817 | 3309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 2A1, 4.42%, 9/25/2046 (h) | 887 | 741 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust Series 2020-1, Class B1, 3.76%, 12/25/2059 ‡ (a) (h) | 2907 | 2450 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust I LLC Series 2019-1, Class A2, 4.02%, 11/25/2048 (a) (h) | 105 | 104 |
| &nbsp;&nbsp;&nbsp; Banc of America Alternative Loan Trust Series 2006-4, Class 2A1, 6.00%, 5/25/2021 | 231 | 201 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A1, 5.50%, 2/25/2035 | 609 | 533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-B, Class 3M1, 4.61%, 4/20/2035 ‡ (h) | 2032 | 1990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class 2A1, 5.50%, 1/25/2036 | 214 | 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-D, Class 5A2, 3.01%, 5/20/2036 (h) | 372 | 318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-R7, Class 1A1, 4.19%, 5/26/2036 (a) (h) | 553 | 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-R7, Class 2A1, 4.18%, 9/26/2036 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R4, Class 5A1, 3.74%, 10/25/2036 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3230 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2007-3, Class 1A1, 6.00%, 9/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1165 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 994 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust Series 2005-12, Class 22A1, 3.84%, 2/25/2036 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2059 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities I Trust Series 2004-AC5, Class A1, 5.75%, 10/25/2034 (i) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1839 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1677 |
| &nbsp;&nbsp;&nbsp; Chase Mortgage Finance Trust Series 2005-S1, Class 1A15, 6.00%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 595 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-21, Class A2, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-15, Class A1, 6.25%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1015 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-20, Class 1A36, 5.75%, 2/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5, Class A6, 4.39%, 5/25/2037 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1061 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities Trust Series 2007-5, Class 1A9, 6.00%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 738 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-11, Class 4A1, 3.79%, 7/25/2036 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10, Class 3A1, 3.98%, 7/25/2036 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 551 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10, Class 1A1, 3.49%, 11/25/2036 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 924 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10, Class 4A1, 3.75%, 2/25/2037 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2474 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2365 |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R02, Class 2B1, 7.02%, 1/25/2040 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 63933 | &nbsp;&nbsp;&nbsp;&nbsp; 54033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R01, Class 1B1, 7.27%, 1/25/2040 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 62892 | &nbsp;&nbsp;&nbsp;&nbsp; 57612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1B1, 6.62%, 10/25/2041 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 11945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1B2, 9.52%, 10/25/2041 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 18550 | &nbsp;&nbsp;&nbsp;&nbsp; 16037 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A1, 5.00%, 7/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 3A1, 5.00%, 8/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 607 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-AR2, Class A1, 4.34%, 3/25/2037 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6113 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1, 4.29%, 2/25/2020 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 1A1, 4.54%, 2/25/2035 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694 |
| &nbsp;&nbsp;&nbsp; FHLMC STACR REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA1, Class B1, 6.52%, 8/25/2033 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 14158 | &nbsp;&nbsp;&nbsp;&nbsp; 11576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA1, Class B2, 8.52%, 8/25/2033 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 18730 | &nbsp;&nbsp;&nbsp;&nbsp; 14050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA2, Class B1, 6.67%, 12/25/2033 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 16225 | &nbsp;&nbsp;&nbsp;&nbsp; 13610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA1, Class B2, 8.27%, 1/25/2051 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 19195 | &nbsp;&nbsp;&nbsp;&nbsp; 14183 |
| &nbsp;&nbsp;&nbsp; FHLMC Structured Agency Credit Risk Debt Notes Series 2021-DNA2, Class B1, 6.92%, 8/25/2033 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp; 11110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9971 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, Connecticut Avenue Securities Series 2021-R02, Class 2B2, 9.72%, 11/25/2041 (a) (h) | 2350 | 1916 |
| &nbsp;&nbsp;&nbsp; GCAT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-NQM3, Class A1, 2.69%, 11/25/2059 (a) (h) | 4643 | 4298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NQM1, Class A1, 2.25%, 1/25/2060 (a) (i) | 4069 | 3828 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-9F, Class 9A1, 6.00%, 8/25/2021 | 22 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2F, Class 2A1, 5.75%, 2/25/2036 | 851 | 742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3F, Class 2A7, 5.75%, 3/25/2036 | 602 | 592 |
| &nbsp;&nbsp;&nbsp; HarborView Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-9, Class 2A, 4.28%, 12/19/2034 (h) | 359 | 295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-9, Class 2A1A, 4.36%, 11/19/2036 (h) | 2658 | 2155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 2A1A, 4.20%, 3/19/2037 (h) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 1A2, 4.82%, 10/25/2034 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1, 4.55%, 4/25/2035 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4318 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust Series 2005-S2, Class 4A3, 5.50%, 9/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp; JPMorgan Seasoned Mortgage Trust Series 2014-1, Class A2, 4.54%, 5/25/2033 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4199 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4017 |
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust Series 2006-4, Class 3A1, 5.00%, 8/25/2021 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 10A1, 6.00%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 468 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 3A1, 5.75%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 869 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R1, Class A1, 6.50%, 3/25/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773 |
| &nbsp;&nbsp;&nbsp; Nomura Resecuritization Trust Series 2015-2R, Class 4A1, 2.88%, 12/26/2036 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1056 |
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust Series 2005-2, Class 2A1, 6.07%, 10/25/2032 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS20, Class CB, 5.00%, 11/25/2018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QS18, Class 3A3, 5.75%, 12/25/2021 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp; RBSSP Resecuritization Trust Series 2012-6, Class 10A2, 3.74%, 8/26/2036 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp; Residential Asset Securitization Trust Series 2006-R1, Class A2, 4.44%, 1/25/2046 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; RFMSI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-SA2, Class 2A2, 3.66%, 6/25/2035 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-S9, Class A1, 6.25%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-S10, Class 1A1, 6.00%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA4, Class 2A1, 5.16%, 11/25/2036 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-S12, Class 3A9, 5.75%, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-S2, Class A4, 6.00%, 2/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SA4, Class 3A1, 4.85%, 10/25/2037 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5461 |
| &nbsp;&nbsp;&nbsp; Starwood Mortgage Residential Trust Series 2019-INV1, Class A3, 2.92%, 9/27/2049 (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2164 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust Series 2002-4, Class 3A, 3.06%, 12/25/2042 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-3, Class A4B, 3.50%, 3/25/2054 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-HY2, Class A1, 5.04%, 5/25/2058 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7291 |
| &nbsp;&nbsp;&nbsp; Verus Securitization Trust Series 2020-1, Class B1, 3.62%, 1/25/2060 ‡ (a) (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1286 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 1A2, 4.49%, 9/25/2035 (h) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 383 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 1A8, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $336,354)<br>|  | &nbsp;&nbsp;&nbsp; 292798 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Loan Assignments — 1.6%** (b) (j) | **Loan Assignments — 1.6%** (b) (j) | **Loan Assignments — 1.6%** (b) (j) |
| **Aerospace & Defense — 0.0% ^** | **Aerospace & Defense — 0.0% ^** | **Aerospace & Defense — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Spirit Aerosystems, Inc., 1st Lien Term Loan B |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 1 Month + 3.50%), 7.25%, 1/15/2025 | 437 | 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 4.50%), 5.00%, 1/15/2027 (k) | 240 | 237 |
| &nbsp;&nbsp;&nbsp; TransDigm Group, Inc., 1st Lien Term Loan F (ICE LIBOR USD 3 Month + 2.25%), 5.92%, 12/9/2025 | 507 | 499 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1170 |
| **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Adient US LLC, Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 4/10/2028 | 895 | 883 |
| &nbsp;&nbsp;&nbsp; American Axle & Manufacturing, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.27%, 4/6/2024 | 842 | 838 |
| &nbsp;&nbsp;&nbsp; Truck Hero, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 1/31/2028 | 472 | 398 |
| &nbsp;&nbsp;&nbsp; Wheel Pros, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.50%), 8.82%, 5/11/2028 | 507 | 334 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2453 |
| **Beverages — 0.0% ^** | **Beverages — 0.0% ^** | **Beverages — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Triton Water Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 876 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 806 |
| **Building Products — 0.0% ^** | **Building Products — 0.0% ^** | **Building Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Quikrete Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 6/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 834 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 820 |
| **Capital Markets — 0.0% ^** | **Capital Markets — 0.0% ^** | **Capital Markets — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Duff & Phelps Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.84%, 4/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733 |
| **Chemicals — 0.1%** | **Chemicals — 0.1%** | **Chemicals — 0.1%** |
| &nbsp;&nbsp;&nbsp; Gates Global LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1231 |
| &nbsp;&nbsp;&nbsp; Gemini HDPE LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 7.41%, 12/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1012 |
| &nbsp;&nbsp;&nbsp; INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 8.23%, 8/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1470 |
| &nbsp;&nbsp;&nbsp; PQ Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 6.91%, 6/9/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1512 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1483 |
| &nbsp;&nbsp;&nbsp; Solenis International LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.44%, 11/9/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5538 |
| **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** | **Commercial Services & Supplies — 0.1%** |
| &nbsp;&nbsp;&nbsp; Allied Universal Holdco LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 5/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 752 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710 |
| &nbsp;&nbsp;&nbsp; API Group DE, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 838 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 829 |
| &nbsp;&nbsp;&nbsp; Garda World Security Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 8.93%, 10/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 599 |
| &nbsp;&nbsp;&nbsp; Harsco Corp., Term Loan B-3 (ICE LIBOR USD 1 Month + 2.25%), 6.38%, 3/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 440 |
| &nbsp;&nbsp;&nbsp; Madison IAQ LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 6.82%, 6/21/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2007 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1902 |
| &nbsp;&nbsp;&nbsp; Prime Security Services Borrower LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 6.50%, 9/23/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1371 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1350 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5830 |
| **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; CommScope, Inc., 1st Lien Term Loan B-2 (Netherlands) (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 4/6/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1497 |
| **Construction & Engineering — 0.0% ^** | **Construction & Engineering — 0.0% ^** | **Construction & Engineering — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Osmose Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.27%, 6/23/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 745 |
| &nbsp;&nbsp;&nbsp; Pike Corp., Delayed Draw Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.08%, 1/21/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 793 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1538 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
| &nbsp;&nbsp;&nbsp; Bway Holding Co., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.02%, 4/3/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7397 |
| &nbsp;&nbsp;&nbsp; Graham Packaging Co., Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 8/4/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1135 |
| &nbsp;&nbsp;&nbsp; Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.25%, 9/24/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 366 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 360 |
| &nbsp;&nbsp;&nbsp; Reynolds Group Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 703 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Loan Assignments — continued** | **Loan Assignments — continued** | **Loan Assignments — continued** |
| **Containers & Packaging — continued** | **Containers & Packaging — continued** | **Containers & Packaging — continued** |
| &nbsp;&nbsp;&nbsp; Ring Container Technologies LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.25%, 8/12/2028 | 447 | 439 |
| &nbsp;&nbsp;&nbsp; Tekni-Plex, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 4.00%), 7.67%, 9/15/2028 | 524 | 502 |
| &nbsp;&nbsp;&nbsp; Tekni-Plex, Inc., Delayed Draw Term Loan B (ICE LIBOR USD 3 Month + 4.00%), 7.82%, 9/15/2028 | 74 | 71 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10607 |
| **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** | **Diversified Consumer Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Conservice Midco LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 5/13/2027 | 1030 | 994 |
| &nbsp;&nbsp;&nbsp; Ensemble RCM LLC, 1st Lien Term Loan (3-MONTH CME TERM SOFR + 3.75%), 7.94%, 8/3/2026 | 1105 | 1071 |
| &nbsp;&nbsp;&nbsp; Interior Logic Group, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 4/3/2028 | 566 | 357 |
| &nbsp;&nbsp;&nbsp; St. George's University Scholastic Services LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 2/10/2029 | 780 | 758 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3180 |
| **Diversified Financial Services — 0.0% ^** | **Diversified Financial Services — 0.0% ^** | **Diversified Financial Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Sabre Holdings Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; CenturyLink, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 776 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 735 |
| &nbsp;&nbsp;&nbsp; Intelsat Jackson Holdings SA, 1st Lien Term Loan (6-MONTH SOFR + 4.25%), 7.44%, 2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1014 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 978 |
| &nbsp;&nbsp;&nbsp; Numericable US LLC, 1st Lien Term Loan B (France) (ICE LIBOR USD 3 Month + 3.69%), 7.77%, 1/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 564 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2277 |
| **Electric Utilities — 0.0% ^** | **Electric Utilities — 0.0% ^** | **Electric Utilities — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Astoria Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332 |
| &nbsp;&nbsp;&nbsp; Carroll County Energy LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 2/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 656 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp; Exelon Corp., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.50%), 7.24%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 904 |
| &nbsp;&nbsp;&nbsp; PG&E Corp., Exit Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.13%, 6/23/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 511 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2366 |
| **Electrical Equipment — 0.0% ^** | **Electrical Equipment — 0.0% ^** | **Electrical Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Brookfield WEC Holdings, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 8/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1551 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1521 |
| &nbsp;&nbsp;&nbsp; Cortes NP Acquisition Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.55%, 3/2/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1150 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2671 |
| **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Ingram Micro, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 680 |
| **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Banijay Entertainment, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.59%, 3/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1091 |
| &nbsp;&nbsp;&nbsp; Delta 2 (Lux) SARL, 1st Lien Term Loan B (3-MONTH SOFR + 3.25%), 3.75%, 1/15/2030 (k) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 572 |
| &nbsp;&nbsp;&nbsp; WMG Acquisition Corp., 1st Lien Term Loan G (ICE LIBOR USD 1 Month + 2.13%), 6.20%, 1/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1158 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2821 |
| **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** | **Food & Staples Retailing — 0.1%** |
| &nbsp;&nbsp;&nbsp; Moran Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 7.00%), 7.00%, 12/31/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp; Moran Foods LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 7.00%), 10.67%, 4/1/2024 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp; Moran Foods LLC, Tranche A Second Lien Term Loan (ICE LIBOR USD 3 Month + 10.75%), 14.42%, 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4909 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2848 |
| &nbsp;&nbsp;&nbsp; United Natural Foods, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 7.45%, 10/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp; Utz Quality Foods LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.00%), 7.20%, 1/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 656 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4393 |
| **Food Products — 0.1%** | **Food Products — 0.1%** | **Food Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; Atkins Nutritionals, Inc., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.25%), 7.72%, 7/7/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1284 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1281 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Loan Assignments — continued** | **Loan Assignments — continued** | **Loan Assignments — continued** |
| **Food Products — continued** | **Food Products — continued** | **Food Products — continued** |
| &nbsp;&nbsp;&nbsp; B&G Foods, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 10/10/2026 | 1535 | 1442 |
| &nbsp;&nbsp;&nbsp; Shearer's Foods LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 9/23/2027 | 403 | 383 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3106 |
| **Health Care Equipment & Supplies — 0.0% ^** | **Health Care Equipment & Supplies — 0.0% ^** | **Health Care Equipment & Supplies — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Insulet Corp., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.25%), 7.00%, 5/4/2028 | 1249 | 1227 |
| **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** | **Health Care Providers & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; CVS Holdings, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 8/31/2026 | 766 | 649 |
| &nbsp;&nbsp;&nbsp; Envision Healthcare Corp., 1st Lien Term Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1-MONTH CME TERM SOFR + 3.75%), 7.49%, 3/31/2027 | 4528 | 1011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1-MONTH CME TERM SOFR + 4.25%), 7.99%, 3/31/2027 | 1849 | 555 |
| &nbsp;&nbsp;&nbsp; ICON Luxembourg SARL, 1st Lien Term Loan B, (Luxembourg) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 2.25%), 5.94%, 7/3/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 2.25%), 5.94%, 7/3/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; LifePoint Health, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 8.16%, 11/16/2025 (k) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401 |
| &nbsp;&nbsp;&nbsp; PAREXEL International Corp., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.00%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1000 |
| &nbsp;&nbsp;&nbsp; Pathway Vet Alliance LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 3/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 663 |
| &nbsp;&nbsp;&nbsp; PCI Pharma Services, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.50%), 7.17%, 11/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1388 |
| &nbsp;&nbsp;&nbsp; Pearl Intermediate Parent LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 2/14/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 953 |
| &nbsp;&nbsp;&nbsp; Team Health Holdings, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 5.25%), 9.34%, 3/2/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp; U.S. Renal Care, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.13%, 6/26/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2814 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WIRB-Copernicus Group, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%; ICE LIBOR USD 3 Month + 4.00%), 7.82%, <br> 1/8/2027<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1175 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10682 |
| **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** |
| &nbsp;&nbsp;&nbsp; Caesars Resort Collection LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 12/23/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1009 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1001 |
| &nbsp;&nbsp;&nbsp; IRB Holding Corp., 1st Lien Term Loan B |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 2/5/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1-MONTH CME TERM SOFR + 3.00%), 6.89%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 855 |
| &nbsp;&nbsp;&nbsp; UFC Holdings LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 3 Month + 2.75%), 7.11%, 4/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6556 |
| &nbsp;&nbsp;&nbsp; Whataburger, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 8/3/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1084 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9892 |
| **Household Durables — 0.0% ^** | **Household Durables — 0.0% ^** | **Household Durables — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Cabinetworks, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.25%), 7.32%, 5/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 |
| &nbsp;&nbsp;&nbsp; MI Windows & Doors, Inc., 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.50%), 7.69%, 12/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272 |
| &nbsp;&nbsp;&nbsp; Traeger Grills, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 6/29/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp; Traeger Grills, Delayed Draw Term Loan (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 6/29/2028 (k) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 845 |
| **Independent Power and Renewable Electricity Producers — 0.0% ^** | **Independent Power and Renewable Electricity Producers — 0.0% ^** | **Independent Power and Renewable Electricity Producers — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Invenergy LLC, Term Loan (1-MONTH CME TERM SOFR + 3.75%), 7.95%, 8/28/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 |
| **Insurance — 0.0% ^** | **Insurance — 0.0% ^** | **Insurance — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Asurion LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 7/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp; Asurion LLC, 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 5.25%), 9.32%, 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp; Asurion LLC, Term Loan B-7 (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 11/3/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 601 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Loan Assignments — continued** | **Loan Assignments — continued** | **Loan Assignments — continued** |
| **Insurance — continued** | **Insurance — continued** | **Insurance — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; HUB International Ltd., 1st Lien Term Loan B (ICE LIBOR USD 2 Month + 3.00%; ICE LIBOR USD 3 Month + 3.00%), 7.33%, <br> 4/25/2025<br>| 898 | 881 |
| &nbsp;&nbsp;&nbsp; USI, Inc., 1st Lien Term Loan B (3-MONTH SOFR + 3.75%), 6.42%, 5/16/2024 | 423 | 422 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 |
| **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Getty Images, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.50%), 8.63%, 2/19/2026 | 398 | 395 |
| &nbsp;&nbsp;&nbsp; GoodRx, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 10/10/2025 | 745 | 722 |
| &nbsp;&nbsp;&nbsp; Shutterfly, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 9/25/2026 | 916 | 559 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1676 |
| **IT Services — 0.0% ^** | **IT Services — 0.0% ^** | **IT Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Ancestry.com, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 12/6/2027 | 761 | 691 |
| &nbsp;&nbsp;&nbsp; Virtusa Corp., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 2/11/2028 | 443 | 429 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1120 |
| **Leisure Products — 0.0% ^** | **Leisure Products — 0.0% ^** | **Leisure Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; FGI Operating Co. LLC, 1st Lien Term Loan (ICE LIBOR USD 3 Month + 11.00%), 12.00%, 5/16/2023 ‡ (c) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp; Hercules Achievement, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1271 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1218 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1504 |
| **Life Sciences Tools & Services — 0.0% ^** | **Life Sciences Tools & Services — 0.0% ^** | **Life Sciences Tools & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Albany Molecular Research, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.75%; ICE LIBOR USD 3 Month + 3.75%), 8.16%, <br> 8/30/2026<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 827 |
| &nbsp;&nbsp;&nbsp; Avantor Funding, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.25%), 6.32%, 11/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 888 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 880 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1707 |
| **Machinery — 0.1%** | **Machinery — 0.1%** | **Machinery — 0.1%** |
| &nbsp;&nbsp;&nbsp; Alliance Laundry Systems LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.50%), 7.41%, 10/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1508 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1471 |
| &nbsp;&nbsp;&nbsp; Sundyne, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.25%), 8.32%, 3/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 921 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 866 |
| &nbsp;&nbsp;&nbsp; Thyssenkrupp Elevator, 1st Lien Term Loan B-1 (ICE LIBOR USD 6 Month + 3.50%), 6.87%, 7/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 615 |
| &nbsp;&nbsp;&nbsp; Titan Acquisition Ltd., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 5.88%, 3/28/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1444 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1355 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4307 |
| **Media — 0.1%** | **Media — 0.1%** | **Media — 0.1%** |
| &nbsp;&nbsp;&nbsp; Altice Financing SA, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 2.75%), 6.83%, 1/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1691 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%; ICE LIBOR USD 3 Month + 3.50%), <br> 7.91%, 8/21/2026<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2391 |
| &nbsp;&nbsp;&nbsp; Diamond Sports Group LLC, 2nd Lien Term Loan (1-MONTH CME TERM SOFR + 3.25%), 7.14%, 8/24/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1067 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; DIRECTV Financing LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 5.00%), 9.07%, 8/2/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 498 |
| &nbsp;&nbsp;&nbsp; E.W. Scripps Co. (The), 1st Lien Term Loan B-3 (ICE LIBOR USD 1 Month + 2.75%), 6.82%, 1/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1102 |
| &nbsp;&nbsp;&nbsp; iHeartCommunications, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1072 |
| &nbsp;&nbsp;&nbsp; iHeartCommunications, Inc., Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.32%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 639 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 597 |
| &nbsp;&nbsp;&nbsp; Summer (BC) Holdco B SARL, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 4.50%), 8.17%, 12/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 477 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7955 |
| **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** |
| &nbsp;&nbsp;&nbsp; Buckeye Partners LP, 1st Lien Term Loan B-1 (ICE LIBOR USD 1 Month + 2.25%), 6.02%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 740 |
| &nbsp;&nbsp;&nbsp; EPIC Crude Services LP, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 5.00%), 7.08%, 3/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6867 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6020 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6760 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Loan Assignments — continued** | **Loan Assignments — continued** | **Loan Assignments — continued** |
| **Personal Products — 0.1%** | **Personal Products — 0.1%** | **Personal Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; Conair Holdings LLC, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 5/17/2028 | 881 | 739 |
| &nbsp;&nbsp;&nbsp; Nestle Skin Health SA, Term Loan B (Luxembourg) (ICE LIBOR USD 3 Month + 3.75%), 7.42%, 10/1/2026 | 6201 | 5881 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6620 |
| **Pharmaceuticals — 0.0% ^** | **Pharmaceuticals — 0.0% ^** | **Pharmaceuticals — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Jazz Pharmaceuticals plc, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 5/5/2028 | 980 | 971 |
| **Professional Services — 0.0% ^** | **Professional Services — 0.0% ^** | **Professional Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nielsen Holdings plc, Term Loan B-3 (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 3/6/2028 | 920 | 803 |
| &nbsp;&nbsp;&nbsp; Star Merger Sub, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.29%, 2/6/2026 | 812 | 801 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1604 |
| **Road & Rail — 0.0% ^** | **Road & Rail — 0.0% ^** | **Road & Rail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; First Student Bidco, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.00%), 6.64%, 7/21/2028 | 1019 | 956 |
| &nbsp;&nbsp;&nbsp; First Student Bidco, Inc., 1st Lien Term Loan C (ICE LIBOR USD 3 Month + 3.00%), 6.64%, 7/21/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp; Hertz Corp. (The), 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.25%), 7.01%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 972 |
| &nbsp;&nbsp;&nbsp; Hertz Corp. (The), 1st Lien Term Loan C (ICE LIBOR USD 1 Month + 3.25%), 7.01%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2469 |
| **Semiconductors & Semiconductor Equipment — 0.0% ^** | **Semiconductors & Semiconductor Equipment — 0.0% ^** | **Semiconductors & Semiconductor Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Brooks Automation, 2nd Lien Term Loan (1-MONTH SOFR + 5.60%), 7.35%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 |
| **Software — 0.1%** | **Software — 0.1%** | **Software — 0.1%** |
| &nbsp;&nbsp;&nbsp; Camelot Finance LP, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 10/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 |
| &nbsp;&nbsp;&nbsp; DigiCert, Inc., 1st Lien Term Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 1 Month + 4.00%), 8.70%, 10/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 599 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 6 Month + 7.00%), 11.70%, 2/19/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp; Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 7.86%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 901 |
| &nbsp;&nbsp;&nbsp; Hyland Software, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 7/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 603 |
| &nbsp;&nbsp;&nbsp; ION Corp., 1st Lien Term Loan B (3-MONTH CME TERM SOFR + 3.75%), 7.45%, 3/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 538 |
| &nbsp;&nbsp;&nbsp; LogMeIn, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.75%), 8.77%, 8/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp; Netsmart Technologies, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 7.75%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 605 |
| &nbsp;&nbsp;&nbsp; Project Boost Purchaser LLC, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.50%), 7.57%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 764 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 738 |
| &nbsp;&nbsp;&nbsp; Proofpoint, Inc., 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.32%, 8/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 566 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 544 |
| &nbsp;&nbsp;&nbsp; RealPage, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.00%), 7.07%, 4/24/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 511 |
| &nbsp;&nbsp;&nbsp; ThoughtWorks, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/24/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp; Ultimate Software Group, Inc. (The), 1st Lien Term Loan (ICE LIBOR USD 3 Month + 3.25%), 7.00%, 5/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1488 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8498 |
| **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** |
| &nbsp;&nbsp;&nbsp; AppleCaramel Buyer LLC, 1st Lien Term Loan B (1-MONTH CME TERM SOFR + 3.75%), 7.84%, 10/19/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 663 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 638 |
| &nbsp;&nbsp;&nbsp; Claire's Stores, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 6.50%), 10.57%, 12/18/2026 (l) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7671 |
| &nbsp;&nbsp;&nbsp; Consilio, 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 4.00%), 8.07%, 5/12/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 913 |
| &nbsp;&nbsp;&nbsp; Leslie's Poolmart, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 2.50%), 6.57%, 3/9/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1149 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1124 |
| &nbsp;&nbsp;&nbsp; Petco Health and Wellness Co., Inc., Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.92%, 3/3/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 869 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 841 |
| &nbsp;&nbsp;&nbsp; PrimeSource, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 6.99%, 12/28/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1377 |
| &nbsp;&nbsp;&nbsp; Pure Fishing, Inc., 1st Lien Term Loan (ICE LIBOR USD 1 Month + 4.50%), 8.57%, 12/22/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12087 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8211 |
| &nbsp;&nbsp;&nbsp; Serta Simmons Bedding LLC, 1st Lien Term Loan (ICE LIBOR USD 1 Month + 7.50%), 10.79%, 8/10/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp; Staples, Inc., 1st Lien Term Loan (ICE LIBOR USD 3 Month + 5.00%), 7.78%, 4/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1045 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 22150 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Loan Assignments — continued** | **Loan Assignments — continued** | **Loan Assignments — continued** |
| **Technology Hardware, Storage & Peripherals — 0.0% ^** | **Technology Hardware, Storage & Peripherals — 0.0% ^** | **Technology Hardware, Storage & Peripherals — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; KDC US Holdings, Inc., 1st Lien Term Loan B (ICE LIBOR USD 1 Month + 3.75%), 7.82%, 12/22/2025 | 727 | 700 |
| **Textiles, Apparel & Luxury Goods — 0.0% ^** | **Textiles, Apparel & Luxury Goods — 0.0% ^** | **Textiles, Apparel & Luxury Goods — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Birkenstock, 1st Lien Term Loan B (ICE LIBOR USD 3 Month + 3.25%), 7.66%, 4/28/2028 | 670 | 643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Loan Assignments <br>(Cost $162,651)<br>|  | &nbsp;&nbsp;&nbsp; 147477 |
| **Private Placements — 0.3%** | **Private Placements — 0.3%** | **Private Placements — 0.3%** |
| **Commercial Loans — 0.3%** | **Commercial Loans — 0.3%** | **Commercial Loans — 0.3%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8995 Collins LLC (ICE LIBOR USD 1 Month + 7.50%), 0.00%, 6/4/2024 ‡ (b)(Cost $30,600) | 30600 | 29437 |
|  | **SHARES** <br>**(000)**<br>|  |
| **Common Stocks — 0.3%** | **Common Stocks — 0.3%** | **Common Stocks — 0.3%** |
| **Commercial Services & Supplies — 0.0% ^** | **Commercial Services & Supplies — 0.0% ^** | **Commercial Services & Supplies — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Remington LLC ‡ \* | 10425 | &nbsp;&nbsp; — |
| **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Goodman Networks, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| **Diversified Telecommunication Services — 0.1%** | **Diversified Telecommunication Services — 0.1%** | **Diversified Telecommunication Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Frontier Communications Parent, Inc. \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3197 |
| **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Telford Offshore Holdings Ltd. (Cayman Islands) ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| **Food & Staples Retailing — 0.0% ^** | **Food & Staples Retailing — 0.0% ^** | **Food & Staples Retailing — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Moran Foods Backstop Equity ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432 |
| **Health Care Providers & Services — 0.0% ^** | **Health Care Providers & Services — 0.0% ^** | **Health Care Providers & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; International Oncology Care, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1591 |
| **Independent Power and Renewable Electricity Producers — 0.0% ^** | **Independent Power and Renewable Electricity Producers — 0.0% ^** | **Independent Power and Renewable Electricity Producers — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Vistra Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229 |
| **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; MYT Holding Co. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1412 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405 |
| **Media — 0.0% ^** | **Media — 0.0% ^** | **Media — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; iHeartMedia, Inc., Class A \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 |
| **Oil, Gas & Consumable Fuels — 0.0% ^** | **Oil, Gas & Consumable Fuels — 0.0% ^** | **Oil, Gas & Consumable Fuels — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Chesapeake Energy Corp. | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733 |
| &nbsp;&nbsp;&nbsp; EP Energy Corp. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp; Gulfport Energy Corp. \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp; Nine Point Energy Holdings, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp; 10112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1590 |
| **Pharmaceuticals — 0.0% ^** | **Pharmaceuticals — 0.0% ^** | **Pharmaceuticals — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Mallinckrodt plc \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769 |
| **Professional Services — 0.1%** | **Professional Services — 0.1%** | **Professional Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; NMG, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9244 |
| **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** | **Specialty Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Claire's Stores, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1902 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **SHARES**<br> **(000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Common Stocks — continued** | **Common Stocks — continued** | **Common Stocks — continued** |
| **Wireless Telecommunication Services — 0.1%** | **Wireless Telecommunication Services — 0.1%** | **Wireless Telecommunication Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Intelsat SA (Luxembourg) ‡ \* | 129 | 3295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Common Stocks <br>(Cost $20,871)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 23222 |
| **Convertible Preferred Stocks — 0.1%** | **Convertible Preferred Stocks — 0.1%** | **Convertible Preferred Stocks — 0.1%** |
| **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; Claire's Stores, Inc. ‡ \*(Cost $1,304) | 4 | 10184 |
|  | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **Commercial Mortgage-Backed Securities — 0.0% ^** | **Commercial Mortgage-Backed Securities — 0.0% ^** | **Commercial Mortgage-Backed Securities — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Harvest Commercial Capital Loan Trust Series 2019-1, Class M4, 4.64%, 9/25/2046 ‡ (a) (h)(Cost $3,552) | 3555 | 3176 |
|  | **SHARES** <br>**(000)**<br>|  |
| **Preferred Stocks — 0.0% ^** | **Preferred Stocks — 0.0% ^** | **Preferred Stocks — 0.0% ^** |
| **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Goodman Networks, Inc. ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** | **Internet & Direct Marketing Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2436 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Preferred Stocks <br>(Cost $3,207)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 |
|  | **NO. OF** <br> **WARRANTS** <br>**(000)**<br>|  |
| **Warrants — 0.0% ^** | **Warrants — 0.0% ^** | **Warrants — 0.0% ^** |
| **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Cineworld Group expiring 12/31/2049, price 4,149.00 GBP (United Kingdom) \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| **Media — 0.0% ^** | **Media — 0.0% ^** | **Media — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ \* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Warrants <br>(Cost $—)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1528 |
|  | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **Convertible Bonds — 0.0% ^** | **Convertible Bonds — 0.0% ^** | **Convertible Bonds — 0.0% ^** |
| **Media — 0.0% ^** | **Media — 0.0% ^** | **Media — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; DISH Network Corp. 3.38%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 |
| **Oil, Gas & Consumable Fuels — 0.0% ^** | **Oil, Gas & Consumable Fuels — 0.0% ^** | **Oil, Gas & Consumable Fuels — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Gulfport Energy Corp. 10.00% (Cash), 11/28/2022 ‡ (d) (e) (f) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Convertible Bonds <br>(Cost $1,123)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1240 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **NO. OF** <br> **RIGHTS** <br>**(000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **Rights — 0.0% ^** | **Rights — 0.0% ^** | **Rights — 0.0% ^** |
| **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Intelsat Jackson Holdings SA, expiring 12/5/2025 (Luxembourg) ‡ \* (Cost $—) | 27 | &nbsp;&nbsp; — |
|  | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **Short-Term Investments — 72.7%** | **Short-Term Investments — 72.7%** | **Short-Term Investments — 72.7%** |
| **Certificates of Deposits — 5.4%** | **Certificates of Deposits — 5.4%** | **Certificates of Deposits — 5.4%** |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) (SOFR + 4.37), 4.31%, 2/21/2023 (b) | 25000 | 25007 |
| &nbsp;&nbsp;&nbsp; Barclays Bank plc (United Kingdom) (SOFR + 4.64), 4.58%, 5/1/2023 (b) | 20000 | 20014 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) (SOFR + 4.46), 4.40%, 5/17/2023 (b) | 90000 | 90039 |
| &nbsp;&nbsp;&nbsp; Citibank NA , 3.01%, 12/1/2022 | 39000 | 38999 |
| &nbsp;&nbsp;&nbsp; Kookmin Bank (South Korea) , 4.00%, 1/23/2023 | 3000 | 2999 |
| &nbsp;&nbsp;&nbsp; Mizuho Bank Ltd. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 12/14/2022 | 39000 | 39000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.26%), 4.08%, 2/17/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp; 34998 |
| &nbsp;&nbsp;&nbsp; MUFG Bank Ltd. (Japan) (SOFR + 4.29), 4.23%, 3/2/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 |
| &nbsp;&nbsp;&nbsp; Natixis SA (France) (SOFR + 4.46), 4.40%, 5/17/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 70000 | &nbsp;&nbsp;&nbsp;&nbsp; 70030 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (Finland) , 2.21%, 12/1/2022 | &nbsp;&nbsp;&nbsp;&nbsp; 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 29999 |
| &nbsp;&nbsp;&nbsp; Norinchukin Bank (The) (Japan) , 3.90%, 12/14/2022 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 |
| &nbsp;&nbsp;&nbsp; Standard Chartered Bank (United Kingdom) (US Federal Funds Effective Rate (continuous series) + 4.44), 4.38%, 2/2/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20005 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Banking Corp. (Japan) (SOFR + 4.19), 4.09%, 2/10/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 39992 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Trust Bank Ltd. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.12%), 4.06%, 1/17/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.41%), 4.35%, 2/6/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 31000 | &nbsp;&nbsp;&nbsp;&nbsp; 31014 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) (SOFR + 4.51), 4.45%, 5/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Certificates of Deposit <br>(Cost $491,988)<br>|  | &nbsp;&nbsp;&nbsp; 492099 |
| **Commercial Paper — 7.7%** | **Commercial Paper — 7.7%** | **Commercial Paper — 7.7%** |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.57%), 4.51%, 5/8/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10008 |
| &nbsp;&nbsp;&nbsp; BNG Bank NV (Netherlands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 12/1/2022 (m) | &nbsp;&nbsp;&nbsp;&nbsp; 35000 | &nbsp;&nbsp;&nbsp;&nbsp; 34996 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.57%), 4.51%, 5/8/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10005 |
| &nbsp;&nbsp;&nbsp; BofA Securities, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 12/22/2022 (m) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19951 |
| &nbsp;&nbsp;&nbsp; CDP Financial, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.16%, 12/1/2022 (a) (m) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.23%, 12/5/2022 (m) | &nbsp;&nbsp;&nbsp;&nbsp; 25000 | &nbsp;&nbsp;&nbsp;&nbsp; 24987 |
| &nbsp;&nbsp;&nbsp; Commonwealth Bank of Australia (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.53%), 4.46%, 5/12/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 37000 | &nbsp;&nbsp;&nbsp;&nbsp; 37012 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 12/15/2022 (m) | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 39936 |
| &nbsp;&nbsp;&nbsp; Federation des caisses Desjardins du Quebec (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.83%, 12/2/2022 (m) | &nbsp;&nbsp;&nbsp;&nbsp; 19750 | &nbsp;&nbsp;&nbsp;&nbsp; 19746 |
| &nbsp;&nbsp;&nbsp; First Abu Dhabi Bank PJSC (United Arab Emirates) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.84%, 12/13/2022 (m) | &nbsp;&nbsp;&nbsp;&nbsp; 40000 | &nbsp;&nbsp;&nbsp;&nbsp; 39944 |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Short-Term Investments — continued** | **Short-Term Investments — continued** | **Short-Term Investments — continued** |
| **Commercial Paper — continued** | **Commercial Paper — continued** | **Commercial Paper — continued** |
| &nbsp;&nbsp;&nbsp; ING US Funding LLC (Netherlands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.38%), 4.32%, 2/24/2023 (b) | 40000 | 40011 |
| &nbsp;&nbsp;&nbsp; National Australia Bank Ltd. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.51%), 4.45%, 5/4/2023 (b) | 25000 | 25016 |
| &nbsp;&nbsp;&nbsp; National Bank of Canada (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.27%), 4.21%, 3/16/2023 (b) | 30000 | 30002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.27%), 4.21%, 3/21/2023 (b) | 70000 | 70004 |
| &nbsp;&nbsp;&nbsp; Natixis SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.54%), 4.48%, 5/4/2023 (b) | 29000 | 29022 |
| &nbsp;&nbsp;&nbsp; Oversea-Chinese Banking Corp. Ltd. (Singapore) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.15%), 4.08%, 1/13/2023 (b) | 40000 | 39994 |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.38%), 4.32%, 1/6/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.50%), 4.44%, 5/12/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10003 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda Banken AB (Sweden) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.28%), 4.22%, 12/2/2022 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.45%), 4.51%, 5/26/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 60000 | &nbsp;&nbsp;&nbsp;&nbsp; 60000 |
| &nbsp;&nbsp;&nbsp; UBS AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 4.43%), 4.37%, 3/23/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20000 |
| &nbsp;&nbsp;&nbsp; United Overseas Bank Ltd. (Singapore) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 3/2/2023 (m) | &nbsp;&nbsp;&nbsp;&nbsp; 100000 | &nbsp;&nbsp;&nbsp;&nbsp; 98782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Paper <br>(Cost $704,467)<br>|  | &nbsp;&nbsp;&nbsp; 704420 |
|  | **SHARES** <br>**(000)**<br>|  |
| **Investment Companies — 58.7%** | **Investment Companies — 58.7%** | **Investment Companies — 58.7%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.50% (n) (o) <br>(Cost $5,391,247)<br>| 5391247 | 5391247 |
|  | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>|  |
| **Repurchase Agreements — 0.7%** | **Repurchase Agreements — 0.7%** | **Repurchase Agreements — 0.7%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BofA Securities, Inc., 4.19%, dated 11/30/2022, due 1/27/2023, repurchase price $65,439, collateralized by FNMA, 3.64%, <br> due 10/25/2059, with the value of $70,200. <br>(Cost $65,000)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 65000 | &nbsp;&nbsp;&nbsp;&nbsp; 65000 |
| **U.S. Treasury Obligations — 0.2%** | **U.S. Treasury Obligations — 0.2%** | **U.S. Treasury Obligations — 0.2%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bills, 3.41%, 12/15/2022 (m) (p)(Cost $15,249) | &nbsp;&nbsp;&nbsp;&nbsp; 15269 | &nbsp;&nbsp;&nbsp;&nbsp; 15250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments <br>(Cost $6,667,951)<br>|  | 6668016 |
| **Total Investments — 107.1%** <br>**(Cost $9,972,708)**<br>|  | **9829850** |
| **Liabilities in Excess of Other Assets — (7.1)%** |  | **(650764)** |
| **NET ASSETS — 100.0%** |  | **9179086** |

---

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

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

---

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

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ABS | Asset-Backed Securities |
| BSBY | Bloomberg Short Term Bank Yield Index |
| CME | Chicago Mercantile Exchange |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GBP | British Pound |
| ICE | Intercontinental Exchange |
| LIBOR | London Interbank Offered Rate |
| PJSC | Public Joint Stock Company |
| REMIC | Real Estate Mortgage Investment Conduit |
| SCA | Limited partnership with share capital |
| SOFR | Secured Overnight Financing Rate |
| SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
| TBA | To Be Announced; Security is subject to delayed delivery. |
| UMBS | Uniform Mortgage-Backed Securities |
| USD | United States Dollar |

---

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| \* | Non-income producing security.  |
| (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) | Defaulted security. |
| (d) | Security is an interest bearing note with preferred security characteristics. |
| (e) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time <br> and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in <br> effect as of November 30, 2022.<br>|
| (f) | Security has the ability to pay in kind ("PIK") or pay income in cash. When applicable, separate rates of such payments are disclosed. |
| (g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (h) | 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>|
| (i) | 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>|
| (j) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. |
| (k) | All or a portion of this security is unsettled as of November 30, 2022. Unless otherwise indicated, the coupon rate is undetermined. The <br> coupon rate shown may not be accrued for the entire position.<br>|
| (l) | Fund is subject to legal or contractual restrictions on the resale of the security. |
| (m) | The rate shown is the effective yield as of November 30, 2022.  |
| (n) | 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>|
| (o) | The rate shown is the current yield as of November 30, 2022. |
| (p) | All or a portion of this security is deposited with the broker as initial margin for futures contracts. |

---

**TBA Short Commitment**

------

---

| | | |
|:---|:---|:---|
| **SECURITY DESCRIPTION** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 12/25/2052(a) | (434874) | (432971) |
| (Proceeds received of $431,760) |  | (432971) |

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

TBA To Be Announced; Security is subject to delayed delivery. <br> UMBS Uniform Mortgage-Backed Securities

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

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

**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>|
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | (2710) | 03/22/2023 | USD | (308390) | (1745) |
| U.S. Treasury 2 Year Note | &nbsp;&nbsp;&nbsp; (175) | 03/31/2023 | USD | &nbsp;&nbsp; (35972) | &nbsp;&nbsp;&nbsp; (126) |
| U.S. Treasury 5 Year Note | (2636) | 03/31/2023 | USD | (286789) | (1694) |
|  |  |  |  |  | (3565) |

---

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

---

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

---

**Forward foreign currency exchange contracts outstanding as of November 30, 2022 (amounts in thousands):**

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **CURRENCY** <br>**PURCHASED** | **CURRENCY** <br>**PURCHASED** | &nbsp;&nbsp;&nbsp; **CURRENCY** <br>**SOLD** | &nbsp;&nbsp;&nbsp; **CURRENCY** <br>**SOLD** | **COUNTERPARTY** | &nbsp;&nbsp;&nbsp; **SETTLEMENT** <br>**DATE**<br>| &nbsp;&nbsp; **UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| EUR | 10000 | USD | 10022 | HSBC Bank, NA | 12/13/2022 | 393 |
| USD | 10090 | EUR | 10000 | HSBC Bank, NA | 12/13/2022 | (325) |
| Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | Net unrealized appreciation | &nbsp;&nbsp;&nbsp; 68 |

---

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

---

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

---

**Over-the-Counter ("OTC") Credit default swap contracts outstanding — buy protection** <sup>(\*)</sup> **as of November 30, 2022 (amounts in thousands):**

------

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **REFERENCE** <br>**OBLIGATION/INDEX**<br>| **FINANCING** <br>**RATE PAID** <br>**BY THE FUND** <br>**(%)**<br>| &nbsp;&nbsp; **PAYMENT** <br>**FREQUENCY**<br>| **COUNTERPARTY** | &nbsp;&nbsp; **MATURITY** <br>**DATE**<br>| **IMPLIED** <br>**CREDIT** <br>**SPREAD** <br>**(%)**<sup>(a)</sup> <br>| **NOTIONAL** <br>**AMOUNT**<sup>(b)</sup> <br>| **UPFRONT** <br>**PAYMENTS** <br>**(RECEIPTS)** <br>**($)**<sup>(c)</sup> <br>| **UNREALIZED** <br>**APPRECIATION** <br>**(DEPRECIATION)** <br>**($)**<br>| **VALUE** <br>**($)**<br>|
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 14,170 | &nbsp;&nbsp; 2771 | &nbsp;&nbsp; (2732) | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Bank of America NA | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 6,970 | &nbsp;&nbsp; 1309 | &nbsp;&nbsp; (1290) | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Barclays Bank plc | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 13,370 | &nbsp;&nbsp; 3973 | &nbsp;&nbsp; (3936) | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 6,600 | &nbsp;&nbsp; 1840 | &nbsp;&nbsp; (1822) | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| ABX.HE.AAA.06-2 | 0.11 | Monthly | Credit Suisse International | 5/25/2046 | &nbsp;&nbsp; 0.17 | USD 13,380 | &nbsp;&nbsp; 3404 | &nbsp;&nbsp; (3367) | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| CMBX.NA.A.6 | 2.00 | Monthly | Barclays Bank plc | 5/11/2063 | 83.30 | USD 7,270 | &nbsp;&nbsp;&nbsp; (117) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 558 | &nbsp;&nbsp;&nbsp; 441 |
| CMBX.NA.A.6 | 2.00 | Monthly | Citibank, NA | 5/11/2063 | 83.30 | USD 7,000 | &nbsp;&nbsp;&nbsp;&nbsp; (56) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 481 | &nbsp;&nbsp;&nbsp; 425 |
| CMBX.NA.A.6 | 2.00 | Monthly | Goldman Sachs International | 5/11/2063 | 83.30 | USD 7,230 | &nbsp;&nbsp;&nbsp; (108) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp;&nbsp; 439 |
| CMBX.NA.A.6 | 2.00 | Monthly | Goldman Sachs International | 5/11/2063 | 83.30 | USD 7,220 | &nbsp;&nbsp;&nbsp; (128) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 566 | &nbsp;&nbsp;&nbsp; 438 |
| CMBX.NA.A.6 | 2.00 | Monthly | Morgan Stanley | 5/11/2063 | 83.30 | USD 7,260 | &nbsp;&nbsp;&nbsp; (112) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp;&nbsp; 440 |
| CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 70.00 | USD 6,900 | &nbsp;&nbsp; 5854 | &nbsp;&nbsp; (5853) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| CMBX.NA.BBB-.4 | 5.00 | Monthly | Citibank, NA | 2/17/2051 | 70.00 | USD 10,550 | &nbsp;&nbsp; 8434 | &nbsp;&nbsp; (8432) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
|  |  |  |  |  |  |  | 27064 | (24728) | 2336 |

---

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

---

| | |
|:---|:---|
| (\*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium <br> to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to <br> an underlying reference obligation, as defined under the terms of individual swap contracts. |

---

------

**JPMorgan Strategic Income Opportunities Fund** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited) (continued)

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

---

| | |
|:---|:---|
| (a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to <br> make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which <br> may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated <br> to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of <br> greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying <br> reference obligations included in a particular index. |
| (b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, <br> upon occurrence of a credit event. |
| (c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between <br> the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors).  |
| **Abbreviations** |  |
| ABX | Asset-Backed Securities Index |
| CMBX | Commercial Mortgage-Backed Securities Index |
| USD | United States Dollar |

---

**Centrally Cleared Credit default swap contracts outstanding - buy protection**<sup>(\*)</sup> **as of November 30, 2022 (amounts in thousands):**

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **REFERENCE** <br>**OBLIGATION/INDEX**<br>| **FINANCING** <br>**RATE PAID** <br>**BY THE FUND** <br>**(%)**<br>| &nbsp;&nbsp; **PAYMENT** <br>**FREQUENCY**<br>| &nbsp;&nbsp; **MATURITY** <br>**DATE**<br>| **IMPLIED** <br>**CREDIT** <br>**SPREAD** <br>**(%)**<sup>(a)</sup> <br>| **NOTIONAL** <br>**AMOUNT**<sup>(b)</sup> <br>| **UPFRONT** <br>**PAYMENTS** <br>**(RECEIPTS)** <br>**($)**<sup>(c)</sup> <br>| **UNREALIZED** <br>**APPRECIATION** <br>**(DEPRECIATION)** <br>**($)**<br>| **VALUE** <br>**($)**<br>|
| CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.79 | USD 42,650 | 1311 | &nbsp;&nbsp; (2537) | &nbsp;&nbsp; (1226) |
| CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.79 | USD 87,600 | 2692 | &nbsp;&nbsp; (5211) | &nbsp;&nbsp; (2519) |
| CDX.NA.IG.38-V1 | 1.00 | Quarterly | 6/20/2027 | 0.73 | USD 260,300 | (1467) | &nbsp;&nbsp; (2486) | &nbsp;&nbsp; (3953) |
| CDX.NA.IG.39-V1 | 1.00 | Quarterly | 12/20/2027 | 0.80 | USD 454,630 | (1690) | &nbsp;&nbsp; (4175) | &nbsp;&nbsp; (5865) |
| iTraxx.Europe.Main.38-V1 | 1.00 | Quarterly | 12/20/2027 | 0.90 | EUR 147,750 | 1625 | &nbsp;&nbsp; (2546) | &nbsp;&nbsp;&nbsp;&nbsp; (921) |
|  |  |  |  |  |  | 2471 | (16955) | (14484) |

---

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

---

| | |
|:---|:---|
| (\*) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from <br> the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference <br> obligation, as defined under the terms of individual swap contracts. |
| (a) | Implied credit spreads are an indication of the seller's performance risk, related to the likelihood of a credit event occurring that would require a seller to <br> make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which <br> may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated <br> to perform (i.e. make payment) under the swap contract.Increasing values, in absolute terms and relative to notional amounts, are also indicative of <br> greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying <br> reference obligations included in a particular index. |
| (b) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, <br> upon occurrence of a credit event. |
| (c) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between <br> the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| CDX | Credit Default Swap Index |
| EUR | Euro |
| USD | United States Dollar |

---

**Summary of total OTC swap contracts outstanding as of November 30, 2022 (amounts in thousands):**

------

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp; **NET UPFRONT** <br>**PAYMENTS** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(RECEIPTS)** <br>**($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($)**<br>|
| **Assets** |  |  |
| OTC Credit default swap contracts outstanding - buy protection | 27064 | 2336 |

---

------

**JPMorgan Strategic Income Opportunities 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 approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as "Pricing Services"). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values ("NAV") of the Fund is calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with foreign equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.

Certain short term investments may be valued using the amortized cost method, provided it approximates the fair market value of the investment. The amortized cost method of valuation involves valuing a security at its cost initially and thereafter assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the security. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price the Fund would receive if it sold the security. The market value of securities in the Fund can generally be expected to vary inversely with changes in prevailing interest rates.

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. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

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.

------

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

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

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

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

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

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

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

The following table represents each valuation input as presented on the Schedule of Portfolio Investments ("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 | $— | $5056 | $308822 | $313878 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 125674 | &nbsp;&nbsp; 167124 | &nbsp;&nbsp;&nbsp;&nbsp; 292798 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3176 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3176 |
| Common Stocks |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Commercial Services & Supplies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) |
| &nbsp;&nbsp;&nbsp; Communications Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) |
| &nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3197 |
| &nbsp;&nbsp;&nbsp; Energy Equipment & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) |
| &nbsp;&nbsp;&nbsp; Food & Staples Retailing | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp; Health Care Providers & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1591 |
| &nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229 |
| &nbsp;&nbsp;&nbsp; Internet & Direct Marketing Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405 |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 847 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1590 |
| &nbsp;&nbsp;&nbsp; Pharmaceuticals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769 |
| &nbsp;&nbsp;&nbsp; Professional Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9244 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1902 |
| &nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3295 |
| &nbsp;&nbsp;&nbsp; Total Common Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 17612 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23222 |
| Convertible Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; Total Convertible Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1240 |
| Convertible Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10184 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10184 |
| Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Aerospace & Defense | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 988 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 988 |
| &nbsp;&nbsp;&nbsp; Auto Components | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5610 |
| &nbsp;&nbsp;&nbsp; Automobiles | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55411 |
| &nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 603051 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 603051 |
| &nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 199518 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 199518 |

---

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1**<br> Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2**<br> Other significant<br> observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3**<br> Significant<br> unobservable inputs<br>| **Total** |
| &nbsp;&nbsp;&nbsp; Chemicals | $— | $965 | $— | $965 |
| &nbsp;&nbsp;&nbsp; Consumer Finance | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 168850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 168850 |
| &nbsp;&nbsp;&nbsp; Diversified Financial Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23822 |
| &nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28728 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28730 |
| &nbsp;&nbsp;&nbsp; Electric Utilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 163719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 163719 |
| &nbsp;&nbsp;&nbsp; Energy Equipment & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 373 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp; Entertainment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 732 |
| &nbsp;&nbsp;&nbsp; Food & Staples Retailing | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1105 |
| &nbsp;&nbsp;&nbsp; Food Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8520 |
| &nbsp;&nbsp;&nbsp; Gas Utilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9826 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9826 |
| &nbsp;&nbsp;&nbsp; Health Care Providers & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8715 |
| &nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32723 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32723 |
| &nbsp;&nbsp;&nbsp; Household Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp; Insurance | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 208671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 208671 |
| &nbsp;&nbsp;&nbsp; Internet & Direct Marketing Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29950 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29950 |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8315 |
| &nbsp;&nbsp;&nbsp; Multi-Utilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22654 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22531 |
| &nbsp;&nbsp;&nbsp; Personal Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) |
| &nbsp;&nbsp;&nbsp; Pharmaceuticals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15539 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15539 |
| &nbsp;&nbsp;&nbsp; Road & Rail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5310 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3585 |
| &nbsp;&nbsp;&nbsp; Total Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 1629710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp; 1629843 |
| Loan Assignments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Aerospace & Defense | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1170 |
| &nbsp;&nbsp;&nbsp; Auto Components | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2453 |
| &nbsp;&nbsp;&nbsp; Beverages | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 806 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 806 |
| &nbsp;&nbsp;&nbsp; Building Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 820 |
| &nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 733 |
| &nbsp;&nbsp;&nbsp; Chemicals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5538 |
| &nbsp;&nbsp;&nbsp; Commercial Services & Supplies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5830 |
| &nbsp;&nbsp;&nbsp; Communications Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1497 |
| &nbsp;&nbsp;&nbsp; Construction & Engineering | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1538 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1538 |
| &nbsp;&nbsp;&nbsp; Containers & Packaging | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10607 |
| &nbsp;&nbsp;&nbsp; Diversified Consumer Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3180 |
| &nbsp;&nbsp;&nbsp; Diversified Financial Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2277 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2277 |
| &nbsp;&nbsp;&nbsp; Electric Utilities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2366 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2366 |
| &nbsp;&nbsp;&nbsp; Electrical Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2671 |
| &nbsp;&nbsp;&nbsp; Electronic Equipment, Instruments & Components | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp; Entertainment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2821 |
| &nbsp;&nbsp;&nbsp; Food & Staples Retailing | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4393 |
| &nbsp;&nbsp;&nbsp; Food Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3106 |
| &nbsp;&nbsp;&nbsp; Health Care Equipment & Supplies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1227 |
| &nbsp;&nbsp;&nbsp; Health Care Providers & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10682 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10682 |
| &nbsp;&nbsp;&nbsp; Hotels, Restaurants & Leisure | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9892 |

---

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1**<br> Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2**<br> Other significant<br> observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3**<br> Significant<br> unobservable inputs<br>| **Total** |
| &nbsp;&nbsp;&nbsp; Household Durables | $— | $845 | $— | $845 |
| &nbsp;&nbsp;&nbsp; Independent Power and Renewable Electricity Producers | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 364 |
| &nbsp;&nbsp;&nbsp; Insurance | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 |
| &nbsp;&nbsp;&nbsp; Internet & Direct Marketing Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1676 |
| &nbsp;&nbsp;&nbsp; IT Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1120 |
| &nbsp;&nbsp;&nbsp; Leisure Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1218 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1504 |
| &nbsp;&nbsp;&nbsp; Life Sciences Tools & Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1707 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1707 |
| &nbsp;&nbsp;&nbsp; Machinery | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4307 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4307 |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7955 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6760 |
| &nbsp;&nbsp;&nbsp; Personal Products | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6620 |
| &nbsp;&nbsp;&nbsp; Pharmaceuticals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971 |
| &nbsp;&nbsp;&nbsp; Professional Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1604 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1604 |
| &nbsp;&nbsp;&nbsp; Road & Rail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2469 |
| &nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp; Software | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8498 |
| &nbsp;&nbsp;&nbsp; Specialty Retail | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22150 |
| &nbsp;&nbsp;&nbsp; Technology Hardware, Storage & Peripherals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 |
| &nbsp;&nbsp;&nbsp; Textiles, Apparel & Luxury Goods | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 643 |
| &nbsp;&nbsp;&nbsp; Total Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 146738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 739 | &nbsp;&nbsp;&nbsp;&nbsp; 147477 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 706433 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 706433 |
| Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 |
| Private Placements | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 29437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29437 |
| Rights | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) |
| Warrants |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Diversified Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; Entertainment | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(a) |
| &nbsp;&nbsp;&nbsp; Media | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1522 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1522 |
| &nbsp;&nbsp;&nbsp; Total Warrants | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1528 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Certificates of Deposits | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 492099 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 492099 |
| &nbsp;&nbsp;&nbsp; Commercial Paper | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 704420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 704420 |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 5391247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 5391247 |
| &nbsp;&nbsp;&nbsp; Repurchase Agreements | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65000 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15250 |
| Total Short-Term Investments | &nbsp;&nbsp; 5391247 | &nbsp;&nbsp; 1276769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 6668016 |
| **Total Investments in Securities** | $5396857 | $3891151 | $541842 | $9829850 |
| **Liabilities** |  |  |  |  |
| TBA Short Commitment | $— | $(432971) | $— | $(432971) |
| **Total Liabilities in Securities Sold Short** | $— | $(432971) | $— | $(432971) |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Forward Foreign Currency Exchange Contracts | $— | $393 | $— | $393 |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2704 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2704 |

---

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1**<br> Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2**<br> Other significant<br> observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3**<br> Significant<br> unobservable inputs<br>| **Total** |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Forward Foreign Currency Exchange Contracts | $— | $(325) | $— | $(325) |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3565) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3565) |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (44387) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (44387) |
| **Total Net Appreciation/ Depreciation in Other** <br>**Financial Instruments**<br>| $(3565) | $(41615) | $— | $(45180) |

---

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

(a) Amount rounds to less than one thousand.

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 | $467020 | $(4733) | $(61368) | $6252 | $1 | $(94593) | $9029 | $(1839) | $(10947) | $308822 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 220041 | &nbsp;&nbsp;&nbsp; (1632) | &nbsp;&nbsp; (13584) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; (132720) | &nbsp;&nbsp;&nbsp;&nbsp; 84064 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 10947 | &nbsp;&nbsp; 167124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed <br> Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 22988 | &nbsp;&nbsp;&nbsp;&nbsp; (600) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (19598) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3176 |
| &nbsp;&nbsp;&nbsp; Common Stocks | &nbsp;&nbsp;&nbsp;&nbsp; 29167 | &nbsp;&nbsp; 22061 | &nbsp;&nbsp; (24309) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (27928) | &nbsp;&nbsp;&nbsp;&nbsp; 18621 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 17612 |
| &nbsp;&nbsp;&nbsp; Convertible Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp; Convertible Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp; 10161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10184 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp; (3965) | &nbsp;&nbsp;&nbsp;&nbsp; 3931 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(b) | &nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (137) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp; Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (27) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (24) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (83) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 739 |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (1951) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 |
| &nbsp;&nbsp;&nbsp; Private Placements | &nbsp;&nbsp;&nbsp;&nbsp; 25193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 29437 |
| &nbsp;&nbsp;&nbsp; Rights | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(b) |
| &nbsp;&nbsp;&nbsp; Warrants | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1528 |
| **Total** | $781304 | $11104 | $(91798) | $6268 | $148 | $(275059) | $111714 | $(1839) | $— | $541842 |

---

&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 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 $(83,864).

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 Strategic Income Opportunities 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>|
|  | $1591 | Market Comparable Companies  | EBITDA Multiple (b) | 5.0x (5.0x) |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; -(c) | Terms of Restructuring | Expected Recovery | $0.00 ($0.00) |
| &nbsp;&nbsp;&nbsp; Common Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1591 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | Market Comparable Companies  | EBITDA Multiple (b) | 5.0x (5.0x) |
|  |  |  | Liquidity Discount | 30.00% (30.00%) |
| &nbsp;&nbsp;&nbsp; Preferred Stocks | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | Terms of Restructuring | Expected Recovery | 0.01 ($0.01) |
| &nbsp;&nbsp;&nbsp; Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 | Terms of Restructuring | Liquidation Preference | 71.43x (71.43x) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Convertible <br> Bonds<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |  |  |  |
|  | &nbsp;&nbsp; 308822 | Discounted Cash Flow | Constant Prepayment Rate | 2.00% - 20.00% (6.58%) |
|  |  |  | Constant Default Rate | 0.69% - 7.19% (2.63%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.70% - 8.68% (6.89%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed <br>Securities<br>| &nbsp;&nbsp; 308822 |  |  |  |
|  | &nbsp;&nbsp;&nbsp; 167124 | Discounted Cash Flow | Constant Prepayment Rate | 10.00% - 22.29% (10.31%) |
|  |  |  | Constant Default Rate | 0.00% - 6.10% (0.07%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.48% - 14.74% (11.26%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized <br> Mortgage <br>Obligations<br>| &nbsp;&nbsp;&nbsp; 167124 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3176 | Discounted Cash Flow | Constant Prepayment Rate | 100.00% (100.00%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 8.12% (8.12%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial <br> Mortgage- <br>Backed <br> Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3176 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 | Terms of Restructuring | Expected Recovery | 10.90% (10.90%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Loan <br> Assignments<br>| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 286 |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | $481472 |  |  |  |

---

&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 $60,370. 

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

(b) Represents amounts used when the reporting entity has determined that market participants would take into account such multiples when pricing the investments. 

(c) Amount rounds to less than one thousand.

------

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

The Fund utilizes internal pricing matrices to derive a fair value for privately-placed mortgage loans on commercial, multi-family and cooperative apartment properties. These matrices utilize third-party broker indications of a yield spread over several maturities of Treasuries. Each mortgage loan is aligned with the appropriate pricing matrix based on sector, credit quality and average life. The daily fair value for these mortgage loans is calculated using the loan's cash flows, discounted by a rate, which is compromised of the Treasury yield curve point plus the corresponding matrix yield spread. As of November 30, 2022, the total market value of matrix-priced securities represents 0.3% of the Fund's net assets.

**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>| $5492202 | $2311512 | $2412467 | $— | $— | $5391247 | 5391247 | $67385 | $— |

---

&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.

**C. Derivatives** — The Fund used derivative instruments including options, futures contracts, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties' failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund's risk of loss associated with these instruments may exceed their value.

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements ("ISDA agreements"). The Fund's ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty's credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable against collateral posted to a segregated account by one party for the benefit of the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Fund.

Notes (1) — (3) below describe the various derivatives used by the Fund.

**(1). Futures Contracts** — The Fund used currency, index, interest rate, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund's exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial

------

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

margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation on futures contracts. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.

The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day's settlement price, which could effectively prevent liquidation of positions.

The Fund's futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

**(2). Forward Foreign Currency Exchange Contracts—** The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of the foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.

The Fund's forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).

The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

**(3). Swaps —** The Fund engaged in various swap transactions to manage credit, interest rate (e.g., duration, yield curve), currency, inflation and total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter ("OTC swaps") between the Fund and a counterparty or are centrally cleared ("centrally cleared swaps") through a central clearinghouse managed by a Futures Commission Merchant ("FCM") that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as change in net unrealized appreciation/depreciation on swaps. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund's outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund's custodian bank.

The central clearinghouse acts as the counterparty to each centrally cleared swap transaction; therefore credit risk is limited to the failure of the clearinghouse.

The Fund's swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.

<u>Credit Default Swaps</u>

The Fund entered into credit default swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.

------

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

The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.

Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.

If a credit event occurs, the Fund, as a protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund's portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.

------

## 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 I

- **b. Investment Company Act file number:** 811-21295

- **c. CIK number of Registrant:** 0001217286

- **d. LEI of Registrant:** 549300DM5WZMCZZ70R78

- **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 Strategic Income Opportunities Fund

- **b. EDGAR series identifier (if any):** S000022994

- **c. LEI of Series:** 7D65K6RFGRT1E0TUOV35

**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:** $10752444692.35

**Total Liabilities:** $1615955359.81

**Net Assets:** $9136489332.54

**Cash Not Reported:** $1207152.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -401323.04525000 | **1-Year:** 151746.67135000 | **5-Year:** 107958.35134000 | **10-Year:** -32383.09419000 | **30-Year:** 0.00000000

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

- **3-Month:** -1671.00130000 | **1-Year:** 10029.92004000 | **5-Year:** 106359.72946000 | **10-Year:** 213928.53615000 | **30-Year:** 16361.58488000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000066701 | 0.01%                | -0.02%               | 0.11%                |
| Class ID C000066703 | -0.05%               | -0.18%               | 0.14%                |
| Class ID C000066704 | 0.11%                | -0.10%               | 0.12%                |
| Class ID C000066702 | -0.01%               | -0.04%               | 0.09%                |
| Class ID C000195119 | 0.03%                | -0.00%               | 0.13%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-608044.55              | $-37323729.03                              |
| Month 2  | $-9897655.68             | $-14761618.66                              |
| Month 3  | $-3796420.69             | $14278376.55                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                        | Title                                                                                                 | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BNP Paribas SA                                                              | BNP Paribas                                                                                           | CUSIP: 09660YJS7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | STIV             | CORP              | FR        |   10000000 | PA      | $10004770.40   | 0.11%             | 2023-05-08      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Harsco Corp.                                                                | Harsco Corp., Term Loan B-3                                                                           | CUSIP: 41587CAR9<br>LEI: KAO98FK89NPNNPQGUZ43 | Long             | LON              | CORP              | US        |     475317 | PA      | $439967.38     | 0.00%             | 2028-03-10      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                | Saxon Asset Securities Trust, Series 2002-3, Class AF6                                                | CUSIP: 805564MG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     842011 | PA      | $763528.76     | 0.01%             | 2031-05-25      | Variable      | 5.41%                 | No            |                  3 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                         | American Axle & Manufacturing, Inc., 1st Lien Term Loan B                                             | CUSIP: 02406MAP2<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | LON              | CORP              | US        |     841815 | PA      | $837866.61     | 0.01%             | 2024-04-06      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp.                                                              | DISH DBS Corp.                                                                                        | CUSIP: 25470XAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3283000 | PA      | $3119703.58    | 0.03%             | 2024-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Hercules Achievement, Inc.                                                  | Hercules Achievement, Inc., 1st Lien Term Loan                                                        | CUSIP: 42703UAG0<br>LEI: 549300YOKDS0ZSYJRX81 | Long             | LON              | CORP              | US        |    1270857 | PA      | $1218205.08    | 0.01%             | 2024-12-16      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| NMG, Inc.                                                                   | NMG, Inc.                                                                                             | CUSIP: 62929P102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       5214 | NS      | $925485.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Gulfport Energy Operating Corp.                                             | Gulfport Energy Operating Corp., Escrow                                                               | CUSIP: 402ESCAS6<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |     310000 | PA      | $387.50        | 0.00%             | 2025-05-15      | Fixed         | 6.38%                 | No            |                  3 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2006-5, Class A2C                                             | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8017280 | PA      | $2693556.74    | 0.03%             | 2036-11-25      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| Envision Healthcare Corp.                                                   | Envision Healthcare Corp., 1st Lien Term Loan                                                         | CUSIP: 29373UAF8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1849152 | PA      | $554745.49     | 0.01%             | 2027-03-31      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| Nabors Industries Ltd.                                                      | Nabors Industries Ltd.                                                                                | CUSIP: 629571AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     385000 | PA      | $370081.25     | 0.00%             | 2026-01-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                                         | Nexstar Media, Inc.                                                                                   | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |    1320000 | PA      | $1244654.40    | 0.01%             | 2027-07-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2007-OPT3, Class 2A3                                                | CUSIP: 83612KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2878624 | PA      | $2729295.13    | 0.03%             | 2037-08-25      | Floating      | 4.22%                 | No            |                  3 | On Loan: No      |
| Reynolds Group Holdings, Inc.                                               | Reynolds Group Holdings, Inc., 1st Lien Term Loan                                                     | CUSIP: 76173FAW7<br>LEI: 5493002QNV81KCX40V06 | Long             | LON              | CORP              | US        |     713759 | PA      | $702667.41     | 0.01%             | 2026-02-05      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Nmg Research Ltd.                                                                                     | CUSIP: 62929P110<br>LEI: N/A                  | N/A              | DO               |  | GB        |      34470 | NS      | $1522539.90    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 5 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2636 | NC      | $-1693731.86   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                     | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B1                                                   | CUSIP: 35564KCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14158000 | PA      | $11575647.34   | 0.13%             | 2033-08-25      | Floating      | 6.52%                 | Yes           |                  2 | On Loan: No      |
| Gulfport Energy Corp.                                                       | Gulfport Energy Corp.                                                                                 | CUSIP: 402635502<br>LEI: 254900DJRGZBUZ3F5038 | Long             | EC               | CORP              | US        |       1408 | NS      | $114174.72     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Tekni-Plex, Inc.                                                            | Tekni-Plex, Inc., 1st Lien Term Loan                                                                  | CUSIP: 00216EAE9<br>LEI: 549300TPLK304J3RNC85 | Long             | LON              | CORP              | US        |     523661 | PA      | $501871.01     | 0.01%             | 2028-09-15      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| GA Global Funding Trust                                                     | GA Global Funding Trust                                                                               | CUSIP: 36143L2E4<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    9685000 | PA      | $9425873.27    | 0.10%             | 2024-09-13      | Floating      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| CCO Holdings LLC                                                            | CCO Holdings LLC                                                                                      | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     130000 | PA      | $119503.80     | 0.00%             | 2028-02-01      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                              | FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class B1                            | CUSIP: 35564KDX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   11110000 | PA      | $9971225.00    | 0.11%             | 2033-08-25      | Floating      | 6.92%                 | Yes           |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                     | Quikrete Holdings, Inc., 1st Lien Term Loan B                                                         | CUSIP: 74839XAG4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     833976 | PA      | $820423.71     | 0.01%             | 2028-06-11      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-41CB, Class 2A17                                                  | CUSIP: 02149CBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     303824 | PA      | $171306.49     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Serta Simmons Bedding LLC                                                   | Serta Simmons Bedding LLC, 1st Lien Term Loan                                                         | CUSIP: 81753HAG6<br>LEI: 549300M4F4V4WFPNI116 | Long             | LON              | CORP              | US        |     717478 | PA      | $329874.65     | 0.00%             | 2023-08-10      | Variable      | 10.79%                | No            |                  2 | On Loan: No      |
| IRB Holding Corp.                                                           | IRB Holding Corp., 1st Lien Term Loan B                                                               | CUSIP: 44988LAF4<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |     403267 | PA      | $395633.50     | 0.00%             | 2025-02-05      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | UBS AG                                                                                                | CUSIP: 902674YL8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   35250000 | PA      | $34926745.52   | 0.38%             | 2024-08-09      | Floating      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| ThoughtWorks, Inc.                                                          | ThoughtWorks, Inc., 1st Lien Term Loan                                                                | CUSIP: 90010LAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     654977 | PA      | $648263.18     | 0.01%             | 2028-03-24      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                           | Eversource Energy, Series T                                                                           | CUSIP: 30040WAM0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   13250000 | PA      | $13194279.78   | 0.14%             | 2023-08-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| Interior Logic Group                                                        | Interior Logic Group, 1st Lien Term Loan B                                                            | CUSIP: 82666KAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     565518 | PA      | $357486.74     | 0.00%             | 2028-04-03      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                          | Canadian Imperial Bank of Commerce                                                                    | CUSIP: 13607HVD1<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   29750000 | PA      | $29672146.93   | 0.32%             | 2023-06-22      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                      | Tenet Healthcare Corp.                                                                                | CUSIP: 88033GDA5<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |    2560000 | PA      | $2409958.40    | 0.03%             | 2027-11-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| RASC Trust                                                                  | RASC Trust, Series 2005-KS2, Class M1                                                                 | CUSIP: 76110WN69<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     108843 | PA      | $108347.36     | 0.00%             | 2035-03-25      | Floating      | 4.69%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2005-1, Class 1A1                                               | CUSIP: 05946XPV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609346 | PA      | $533146.51     | 0.01%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                       | Sumitomo Mitsui Financial Group, Inc.                                                                 | CUSIP: 86562MBA7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    3095000 | PA      | $3098664.02    | 0.03%             | 2023-07-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust            | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-8, Class 1A8            | CUSIP: 93934FCM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64907 | PA      | $59630.51      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Titan Acquisition Ltd.                                                      | Titan Acquisition Ltd., 1st Lien Term Loan B                                                          | CUSIP: C8856UAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1444437 | PA      | $1355286.17    | 0.01%             | 2025-03-28      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 10 Year Note                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -2276 | NC      | $-1771622.24   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Hertz Corp.                                                                 | Hertz Corp., Escrow                                                                                   | CUSIP: 428ESCAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1035000 | PA      | $87975.00      | 0.00%             | 2026-08-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                         | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 1A1                         | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     730368 | PA      | $694447.55     | 0.01%             | 2035-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                                        | Siemens Financieringsmaatschappij NV                                                                  | CUSIP: 82620KBB8<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |   23990000 | PA      | $23822070.00   | 0.26%             | 2024-03-11      | Floating      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                  | Allison Transmission, Inc.                                                                            | CUSIP: 019736AF4<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     880000 | PA      | $831811.90     | 0.01%             | 2029-06-01      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| KeyBank NA                                                                  | KeyBank NA                                                                                            | CUSIP: 49327M3B8<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   11945000 | PA      | $11869660.14   | 0.13%             | 2024-01-03      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg SARL                                                        | ICON Luxembourg SARL, 1st Lien Term Loan B                                                            | CUSIP: L5000DAD9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     182652 | PA      | $181634.58     | 0.00%             | 2028-07-03      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A1                                        | CUSIP: 30247DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10734926 | PA      | $7229294.50    | 0.08%             | 2036-10-25      | Floating      | 4.28%                 | No            |                  3 | On Loan: No      |
| U.S. Renal Care, Inc.                                                       | U.S. Renal Care, Inc., 1st Lien Term Loan B                                                           | CUSIP: 90290PAN4<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    2814471 | PA      | $1563804.78    | 0.02%             | 2026-06-26      | Variable      | 9.12%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1                                       | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   63933000 | PA      | $54032482.67   | 0.59%             | 2040-01-25      | Floating      | 7.02%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |  147750000 | PA      | $-2546330.88   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Ownit Mortgage Loan Trust                                                   | Ownit Mortgage Loan Trust, Series 2006-1, Class AV                                                    | CUSIP: 69121PDB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     187651 | PA      | $186857.31     | 0.00%             | 2035-12-25      | Floating      | 4.50%                 | No            |                  3 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2006-FM1, Class A1                                                                | CUSIP: 362334PF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10610643 | PA      | $7440566.82    | 0.08%             | 2036-04-25      | Floating      | 4.36%                 | No            |                  3 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                             | CHL Mortgage Pass-Through Trust, Series 2006-20, Class 1A36                                           | CUSIP: 12544ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395464 | PA      | $202948.22     | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    7220000 | PA      | $566053.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                        | Mitsubishi UFJ Financial Group, Inc.                                                                  | CUSIP: 606822AZ7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    6777000 | PA      | $6789756.96    | 0.07%             | 2023-07-26      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                                                       | Terwin Mortgage Trust, Series 2006-3, Class 2A2                                                       | CUSIP: 881561V92<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1658925 | PA      | $1574202.15    | 0.02%             | 2037-04-25      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Telford Offshore Ltd.                                                       | Telford Offshore Ltd.                                                                                 | CUSIP: N/A<br>LEI: 254900ACC7Q7VVZK7Y27       | Long             | DBT              | CORP              | KY        |    5483981 | PA      | $2741.99       | 0.00%             | 2164-12-31      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| Rite Aid Corp.                                                              | Rite Aid Corp.                                                                                        | CUSIP: 767754CL6<br>LEI: 529900W353T1JY1DKT44 | Long             | DBT              | CORP              | US        |    1185000 | PA      | $737295.15     | 0.01%             | 2026-11-15      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                      | Merrill Lynch Mortgage Investors Trust, Series 2006-MLN1, Class A2C                                   | CUSIP: 59023AAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   24158440 | PA      | $10801231.07   | 0.12%             | 2037-07-25      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings SA                                                | Intelsat Jackson Holdings SA, 1st Lien Term Loan                                                      | CUSIP: L5137LAQ8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1013646 | PA      | $977914.79     | 0.01%             | 2029-02-01      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                   | HCA, Inc.                                                                                             | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4590000 | PA      | $4582488.33    | 0.05%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                                       | Lehman Mortgage Trust, Series 2006-4, Class 3A1                                                       | CUSIP: 52520RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36070 | PA      | $30396.78      | 0.00%             | 2021-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                                | Verizon Communications, Inc.                                                                          | CUSIP: 92343VGD0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    2436000 | PA      | $2420014.85    | 0.03%             | 2024-03-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Pfizer, Inc.                                                                | Pfizer, Inc.                                                                                          | CUSIP: 717081EQ2<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |   11225000 | PA      | $11218893.04   | 0.12%             | 2023-09-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-31CB, Class A3                                                    | CUSIP: 02148HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1416188 | PA      | $865388.39     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Envision Healthcare Corp.                                                   | Envision Healthcare Corp.                                                                             | CUSIP: 29373TAA2<br>LEI: 549300OL60X0LPKY8N60 | Long             | DBT              | CORP              | US        |    5940000 | PA      | $1722600.00    | 0.02%             | 2026-10-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec                                 | Federation des Caisses Desjardins du Quebec                                                           | CUSIP: 31428GM26<br>LEI: 549300B2Q47IR0CR5B54 | Long             | STIV             | CORP              | CA        |   19750000 | PA      | $19745813.00   | 0.22%             | 2022-12-02      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Leslie's Poolmart, Inc.                                                     | Leslie's Poolmart, Inc., 1st Lien Term Loan B                                                         | CUSIP: 52706YAJ2<br>LEI: 549300MZRH1GJYUMRM83 | Long             | LON              | CORP              | US        |    1149241 | PA      | $1124279.20    | 0.01%             | 2028-03-09      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2007-SA4, Class 3A1                                                               | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7603882 | PA      | $5461331.18    | 0.06%             | 2037-10-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A1                                                 | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1150481 | PA      | $319500.24     | 0.00%             | 2036-11-25      | Floating      | 4.16%                 | Yes           |                  3 | On Loan: No      |
| Natixis SA                                                                  | Natixis SA                                                                                            | CUSIP: 63873QXY5<br>LEI: 2549003L5ZG5M2ZSE107 | Long             | STIV             | CORP              | FR        |   70000000 | PA      | $70030097.20   | 0.77%             | 2023-05-17      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC, 1st Lien Term Loan B-3                                                                   | CUSIP: 04649VAZ3<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     535000 | PA      | $411415.00     | 0.00%             | 2028-01-31      | Variable      | 9.32%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC2, Class A2B                            | CUSIP: 81378GAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2963087 | PA      | $2544420.44    | 0.03%             | 2037-01-25      | Floating      | 4.18%                 | No            |                  3 | On Loan: No      |
| Citigroup, Inc.                                                             | Citigroup, Inc.                                                                                       | CUSIP: 172967LL3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    6911000 | PA      | $6917611.06    | 0.08%             | 2024-05-17      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2007-7, Class 1A2                                                      | CUSIP: 36249BAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     834857 | PA      | $776835.75     | 0.01%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Parexel International Corp.                                                 | Parexel International Corp., 1st Lien Term Loan                                                       | CUSIP: 71911KAC8<br>LEI: 254900PHGVI5379Z9791 | Long             | LON              | CORP              | US        |    1040770 | PA      | $999534.69     | 0.01%             | 2028-11-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                                  | RALI Trust, Series 2006-QS18, Class 3A3                                                               | CUSIP: 74922RAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11734 | PA      | $6804.14       | 0.00%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| National Bank of Canada                                                     | National Bank of Canada                                                                               | CUSIP: 63307NHV2<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | STIV             | CORP              | CA        |   30000000 | PA      | $30002363.40   | 0.33%             | 2023-03-16      | Floating      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                              | Option One Mortgage Loan Trust, Series 2005-3, Class M2                                               | CUSIP: 68389FHT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     325992 | PA      | $324132.74     | 0.00%             | 2035-08-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Frontier Communications Parent, Inc.                                        | Frontier Communications Parent, Inc.                                                                  | CUSIP: 35909D109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     124068 | NS      | $3197232.36    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Gulfport Energy Corp.                                                       | Gulfport Energy Corp.                                                                                 | CUSIP: 402635601<br>LEI: 254900DJRGZBUZ3F5038 | Long             | EP               | CORP              | US        |         81 | NS      | $469172.95     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                        | Clear Channel Outdoor Holdings, Inc.                                                                  | CUSIP: 18453HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2980000 | PA      | $2568310.35    | 0.03%             | 2027-08-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Ancestry.com, Inc.                                                          | Ancestry.com, Inc., 1st Lien Term Loan B                                                              | CUSIP: 03952HAD6<br>LEI: 2549009ADY4208OH2Y47 | Long             | LON              | CORP              | US        |     761122 | PA      | $690558.02     | 0.01%             | 2027-12-06      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment, Inc.                                             | Live Nation Entertainment, Inc.                                                                       | CUSIP: 538034AV1<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |     731000 | PA      | $732383.78     | 0.01%             | 2027-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                 | Toronto-Dominion Bank (The)                                                                           | CUSIP: 89114TZF2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   16535000 | PA      | $16276557.95   | 0.18%             | 2024-09-10      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Thyssenkrupp Elevator                                                       | Thyssenkrupp Elevator, 1st Lien Term Loan B-1                                                         | CUSIP: D9000BAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     642567 | PA      | $615257.53     | 0.01%             | 2027-07-30      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| INEOS Enterprises Holdings Ltd.                                             | INEOS Enterprises Holdings Ltd., 1st Lien Term Loan B                                                 | CUSIP: G4770QAJ4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1542543 | PA      | $1469750.49    | 0.02%             | 2026-08-28      | Variable      | 8.23%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                                           | Nationstar Home Equity Loan Trust, Series 2007-A, Class M3                                            | CUSIP: 63860HAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1800000 | PA      | $1491783.30    | 0.02%             | 2037-03-25      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2006-D, Class 5A2                                               | CUSIP: 058933AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     372121 | PA      | $317789.61     | 0.00%             | 2036-05-20      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp.                                                     | Chesapeake Energy Corp.                                                                               | CUSIP: 165167735<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | EC               | CORP              | US        |       7084 | NS      | $733194.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                     | FHLMC STACR REMIC Trust, Series 2021-HQA1, Class B2                                                   | CUSIP: 35564KCP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18730000 | PA      | $14049948.01   | 0.15%             | 2033-08-25      | Floating      | 8.52%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust                                | Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-B, Class M2                                 | CUSIP: 456606FB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     705709 | PA      | $682245.74     | 0.01%             | 2034-11-25      | Floating      | 4.46%                 | No            |                  3 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                        | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-5, Class 1A1                        | CUSIP: 225458TF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12368 | PA      | $11717.23      | 0.00%             | 2020-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                       | Westpac Banking Corp.                                                                                 | CUSIP: 961214EA7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    1779000 | PA      | $1781413.21    | 0.02%             | 2023-05-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                              | Adjustable Rate Mortgage Trust, Series 2005-5, Class 5A1                                              | CUSIP: 007036LS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2258659 | PA      | $1744272.22    | 0.02%             | 2035-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-25CB, Class A9                                                    | CUSIP: 02147VAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2102887 | PA      | $1176629.38    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                        | American Express Co.                                                                                  | CUSIP: 025816CJ6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   20970000 | PA      | $20793175.51   | 0.23%             | 2023-11-03      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2014-10, Class 1A1                                              | CUSIP: 17323FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     946318 | PA      | $923746.32     | 0.01%             | 2036-11-25      | Floating      | 3.49%                 | Yes           |                  2 | On Loan: No      |
| Mallinckrodt International Finance SA                                       | Mallinckrodt International Finance SA                                                                 | CUSIP: 561233AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    2021000 | PA      | $1035762.50    | 0.01%             | 2029-06-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                      | Merrill Lynch Mortgage Investors Trust, Series 2006-RM2, Class A1A                                    | CUSIP: 590216AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12027955 | PA      | $3360242.68    | 0.04%             | 2037-05-25      | Floating      | 4.41%                 | No            |                  3 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 2 Year Note                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -175 | NC      | $-126411.55    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| eBay, Inc.                                                                  | eBay, Inc.                                                                                            | CUSIP: 278642AT0<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |   28164000 | PA      | $28162834.29   | 0.31%             | 2023-01-30      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                          | Canadian Imperial Bank of Commerce                                                                    | CUSIP: 13607GKW3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    7480000 | PA      | $7482730.20    | 0.08%             | 2023-03-17      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MYT Holding Co.                                                             | MYT Holding Co.                                                                                       | CUSIP: 55406N103<br>LEI: 549300853MX08B1AUK51 | Long             | EC               | CORP              | US        |    1412191 | NS      | $405298.82     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                       | NextEra Energy Capital Holdings, Inc.                                                                 | CUSIP: 65339KBV1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   59602000 | PA      | $59554725.48   | 0.65%             | 2023-03-01      | Floating      | 4.37%                 | 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        | 5391246849 | NS      | $5391246848.86 | 59.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Commonwealth Bank of Australia                                              | Commonwealth Bank of Australia                                                                        | CUSIP: 20272A2N5<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | STIV             | CORP              | AU        |   37000000 | PA      | $37011769.70   | 0.41%             | 2023-05-12      | Floating      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                 | Toronto-Dominion Bank (The)                                                                           | CUSIP: 89114TZC9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   34000000 | PA      | $33916972.00   | 0.37%             | 2023-06-02      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Pike Corp.                                                                  | Pike Corp., Delayed Draw Term Loan B                                                                  | CUSIP: 72108PAR5<br>LEI: 549300P4EKEP6HK0NC58 | Long             | LON              | CORP              | US        |     809593 | PA      | $793020.36     | 0.01%             | 2028-01-21      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| Numericable US LLC                                                          | Numericable US LLC, 1st Lien Term Loan B                                                              | CUSIP: F6628DAL8<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     589921 | PA      | $564112.41     | 0.01%             | 2026-01-31      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                                  | iHeartCommunications, Inc., 1st Lien Term Loan                                                        | CUSIP: 45174UAF5<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |    1146502 | PA      | $1072598.42    | 0.01%             | 2026-05-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| B&G Foods, Inc.                                                             | B&G Foods, Inc., 1st Lien Term Loan B                                                                 | CUSIP: 05508TAU6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1535000 | PA      | $1442255.30    | 0.02%             | 2026-10-10      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                       | Athene Global Funding                                                                                 | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   48250000 | PA      | $47321630.44   | 0.52%             | 2024-05-24      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2007-5, Class 1AV1                                                     | CUSIP: 3622ECAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6013970 | PA      | $1919092.73    | 0.02%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  3 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2006-1, Class A2                                                       | CUSIP: 362341Z36<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3897017 | PA      | $1267153.22    | 0.01%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  3 | On Loan: No      |
| Bank of Nova Scotia (The)                                                   | Bank of Nova Scotia (The)                                                                             | CUSIP: 0641596F8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   22015000 | PA      | $21750713.67   | 0.24%             | 2024-07-31      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC                                        | Prime Security Services Borrower LLC, 1st Lien Term Loan B                                            | CUSIP: 03765VAK6<br>LEI: 549300O6QPZVWXV2DC15 | Long             | LON              | CORP              | US        |    1370752 | PA      | $1350026.25    | 0.01%             | 2026-09-23      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                                 | Allied Universal Holdco LLC, 1st Lien Term Loan B                                                     | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |     752350 | PA      | $710203.73     | 0.01%             | 2028-05-12      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                                | DNB Bank ASA                                                                                          | CUSIP: 23329PAD2<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |   24480000 | PA      | $24480000.00   | 0.27%             | 2022-12-02      | Floating      | 3.72%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                        | Royal Bank of Canada                                                                                  | CUSIP: 78015M7L8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | STIV             | CORP              | CA        |   10000000 | PA      | $10002635.10   | 0.11%             | 2023-05-12      | Floating      | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Consilio                                                                    | Consilio, 1st Lien Term Loan B                                                                        | CUSIP: 36171NAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     960300 | PA      | $913245.30     | 0.01%             | 2028-05-12      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Cineworld Group                                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |      66607 | NS      | $0.08          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                              | Carrington Mortgage Loan Trust, Series 2006-NC5, Class A3                                             | CUSIP: 144539AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14820889 | PA      | $12337831.59   | 0.14%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  3 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  477737000 | PA      | $483160351.64  | 5.29%             | 2052-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Netsmart Technologies, Inc.                                                 | Netsmart Technologies, Inc., 1st Lien Term Loan B                                                     | CUSIP: 64119DAM7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     630272 | PA      | $604670.02     | 0.01%             | 2027-10-01      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    7260000 | PA      | $552640.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2015-R4, Class 5A1                                              | CUSIP: 05990RAP6<br>LEI: 549300R847L762RQF071 | Long             | ABS-MBS          | CORP              | US        |    3273505 | PA      | $3230380.83    | 0.04%             | 2036-10-25      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Gulfport Energy Corp.                                                       | Gulfport Energy Corp.                                                                                 | CUSIP: 402635AR7<br>LEI: 254900DJRGZBUZ3F5038 | Long             | DBT              | CORP              | US        |     833923 | PA      | $831229.43     | 0.01%             | 2026-05-17      | Fixed         | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                  | Charles Schwab Corp. (The)                                                                            | CUSIP: 808513BM6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   51729000 | PA      | $51377522.65   | 0.56%             | 2024-03-18      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2006-WM2, Class A2A                            | CUSIP: 81376GAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16651023 | PA      | $11322892.21   | 0.12%             | 2036-09-25      | Floating      | 4.36%                 | No            |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2014-11, Class 4A1                                              | CUSIP: 17323JAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     611851 | PA      | $598731.54     | 0.01%             | 2036-07-25      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| Sabre Holdings Corp.                                                        | Sabre Holdings Corp., 1st Lien Term Loan B                                                            | CUSIP: 78571YBG4<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |     196422 | PA      | $180831.91     | 0.00%             | 2027-12-17      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Cortes NP Acquisition Corp.                                                 | Cortes NP Acquisition Corp., 1st Lien Term Loan B                                                     | CUSIP: 92537EAC2<br>LEI: 549300ZT8RQ5VK10E643 | Long             | LON              | CORP              | US        |    1180719 | PA      | $1149725.08    | 0.01%             | 2027-03-02      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                                                    | FBR Securitization Trust, Series 2005-2, Class M2                                                     | CUSIP: 30246QAH6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1452602 | PA      | $1444183.31    | 0.02%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  3 | On Loan: No      |
| National Australia Bank Ltd.                                                | National Australia Bank Ltd.                                                                          | CUSIP: 63254GVU6<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | STIV             | CORP              | AU        |   25000000 | PA      | $25016463.75   | 0.27%             | 2023-05-04      | Floating      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2006-4, Class A2C                                             | CUSIP: 66988XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9983517 | PA      | $4244027.09    | 0.05%             | 2036-09-25      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| Fremont Home Loan Trust                                                     | Fremont Home Loan Trust, Series 2006-1, Class 1A1                                                     | CUSIP: 35729PNX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |          1 | PA      | $1.45          | 0.00%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                     | Fremont Home Loan Trust, Series 2005-1, Class M6                                                      | CUSIP: 35729PJG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4124000 | PA      | $3162872.93    | 0.03%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  3 | On Loan: No      |
| Dominion Energy, Inc.                                                       | Dominion Energy, Inc., Series D                                                                       | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   22700000 | PA      | $22653829.11   | 0.25%             | 2023-09-15      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                              | Carrington Mortgage Loan Trust, Series 2006-NC1, Class M2                                             | CUSIP: 144531EZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18441000 | PA      | $14216021.22   | 0.16%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                    | Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE7, Class A2B                                  | CUSIP: 61756YAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1205529 | PA      | $1160280.66    | 0.01%             | 2037-07-25      | Floating      | 5.04%                 | No            |                  3 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                              | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3                                              | CUSIP: 542514TT1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   39419117 | PA      | $13980384.00   | 0.15%             | 2046-03-25      | Floating      | 4.42%                 | No            |                  3 | On Loan: No      |
| Caesars Resort Collection LLC                                               | Caesars Resort Collection LLC, 1st Lien Term Loan B                                                   | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |    1009073 | PA      | $1001414.45    | 0.01%             | 2024-12-23      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Chesapeake Energy Corp.                                                     | Chesapeake Energy Corp., Escrow                                                                       | CUSIP: 165ESCAC8<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |    5690000 | PA      | $128025.00     | 0.00%             | 2026-09-15      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Altice France Holding SA                                                    | Altice France Holding SA                                                                              | CUSIP: 02156TAB0<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |    1070000 | PA      | $845300.00     | 0.01%             | 2027-05-15      | Fixed         | 10.50%                | Yes           |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                       | CWABS Asset-Backed Certificates Trust, Series 2007-2, Class 2A3                                       | CUSIP: 12668NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1534315 | PA      | $1496578.95    | 0.02%             | 2037-08-25      | Floating      | 4.18%                 | No            |                  3 | On Loan: No      |
| Intelsat SA                                                                 | Intelsat SA                                                                                           | CUSIP: N/A<br>LEI: 549300YV2L21F4K80V46       | Long             | EC               | CORP              | LU        |     129215 | NS      | $3294989.90    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Star Merger Sub, Inc.                                                       | Star Merger Sub, Inc., 1st Lien Term Loan B                                                           | CUSIP: 26483NAN0<br>LEI: RI37BMPWE56BCJ747E14 | Long             | LON              | CORP              | US        |     812377 | PA      | $800597.93     | 0.01%             | 2026-02-06      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan, Inc. Home Equity Loan Trust                        | Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Series 2006-HE1, Class M1                       | CUSIP: 65536HCS5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     216855 | PA      | $215886.63     | 0.00%             | 2036-02-25      | Floating      | 4.66%                 | No            |                  3 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                 | ACE Securities Corp. Home Equity Loan Trust, Series 2006-CW1, Class A2D                               | CUSIP: 00441QAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8696723 | PA      | $6861330.17    | 0.08%             | 2036-07-25      | Floating      | 4.56%                 | No            |                  3 | On Loan: No      |
| GoodRx, Inc.                                                                | GoodRx, Inc., 1st Lien Term Loan                                                                      | CUSIP: 38245HAC1<br>LEI: 25490061CWK7F0OTY260 | Long             | LON              | CORP              | US        |     745404 | PA      | $722229.55     | 0.01%             | 2025-10-10      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R3, Class M8 | CUSIP: 03072SA62<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6973000 | PA      | $5809429.44    | 0.06%             | 2035-05-25      | Floating      | 6.17%                 | No            |                  3 | On Loan: No      |
| ING US Funding LLC                                                          | ING US Funding LLC                                                                                    | CUSIP: 44988GCD8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   40000000 | PA      | $40011058.00   | 0.44%             | 2023-02-24      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    7000000 | PA      | $480971.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                                   | Bank of Nova Scotia (The)                                                                             | CUSIP: 0641593W4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   19125000 | PA      | $18951345.00   | 0.21%             | 2024-04-15      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    6600000 | PA      | $-1821664.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Gulfport Energy Corp.                                                       | Gulfport Energy Corp.                                                                                 | CUSIP: 402635AQ9<br>LEI: 254900DJRGZBUZ3F5038 | Long             | DBT              | CORP              | US        |      37090 | PA      | $36970.20      | 0.00%             | 2026-05-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Petco Health & Wellness Co., Inc.                                           | Petco Health & Wellness Co., Inc., Term Loan B                                                        | CUSIP: 71601HAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     868639 | PA      | $840773.21     | 0.01%             | 2028-03-03      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                        | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 4A1                        | CUSIP: 22541SZL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     642350 | PA      | $606971.88     | 0.01%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DISH Network Corp.                                                          | DISH Network Corp.                                                                                    | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |    1190000 | PA      | $770525.00     | 0.01%             | 2026-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                           | Duke Energy Corp.                                                                                     | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   38977000 | PA      | $38797066.19   | 0.42%             | 2023-06-10      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                 | Toronto-Dominion Bank (The)                                                                           | CUSIP: 89114QCR7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   34000000 | PA      | $33673786.32   | 0.37%             | 2024-03-04      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| Madison IAQ LLC                                                             | Madison IAQ LLC, 1st Lien Term Loan                                                                   | CUSIP: 55759VAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2006600 | PA      | $1902517.66    | 0.02%             | 2028-06-21      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Conair Holdings LLC                                                         | Conair Holdings LLC, 1st Lien Term Loan B                                                             | CUSIP: 20600RAB8<br>LEI: 549300804G00T34FLV17 | Long             | LON              | CORP              | US        |     881323 | PA      | $739209.93     | 0.01%             | 2028-05-17      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Nestle Skin Health SA                                                       | Nestle Skin Health SA, Term Loan B                                                                    | CUSIP: L8908YAE8<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |    6200999 | PA      | $5881275.87    | 0.06%             | 2026-10-01      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Frontier Communications Holdings LLC                                        | Frontier Communications Holdings LLC                                                                  | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     485162 | PA      | $387258.73     | 0.00%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Alliance Laundry Systems LLC                                                | Alliance Laundry Systems LLC, 1st Lien Term Loan B                                                    | CUSIP: 01862LAW8<br>LEI: 549300YBOGK6MBI5ND34 | Long             | LON              | CORP              | US        |    1507862 | PA      | $1470542.08    | 0.02%             | 2027-10-08      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2006-1, Class 2A1                                               | CUSIP: 05949TBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213869 | PA      | $181404.08     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Astoria Energy LLC                                                          | Astoria Energy LLC, 1st Lien Term Loan B                                                              | CUSIP: 04626LAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     336929 | PA      | $331524.66     | 0.00%             | 2027-12-10      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2014-R7, Class 1A1                                              | CUSIP: 05963SAA0<br>LEI: 549300UKLRORHBR16839 | Long             | ABS-MBS          | CORP              | US        |     552825 | PA      | $549390.40     | 0.01%             | 2036-05-26      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Insulet Corp.                                                               | Insulet Corp., 1st Lien Term Loan B                                                                   | CUSIP: 45784QAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1249188 | PA      | $1226552.22    | 0.01%             | 2028-05-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2006-FF8, Class M1                                         | CUSIP: 320278AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5245889 | PA      | $4769747.56    | 0.05%             | 2036-07-25      | Floating      | 4.42%                 | No            |                  3 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2005-50CB, Class 4A1                                                   | CUSIP: 12668ALL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15921 | PA      | $14923.32      | 0.00%             | 2020-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                 | Capital One Financial Corp.                                                                           | CUSIP: 14040HBV6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    4331000 | PA      | $4330911.39    | 0.05%             | 2023-01-30      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust, Series 2007-1, Class 2A1A                                             | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          1 | PA      | $1.16          | 0.00%             | 2037-03-19      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Pactiv Evergreen Group Holdings, Inc.                                       | Pactiv Evergreen Group Holdings, Inc., 1st Lien Term Loan B                                           | CUSIP: 76173FAY3<br>LEI: 5493002QNV81KCX40V06 | Long             | LON              | CORP              | US        |     365681 | PA      | $359910.79     | 0.00%             | 2028-09-24      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                         | MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A2                                        | CUSIP: 576449AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5124549 | PA      | $1627825.27    | 0.02%             | 2036-11-25      | Floating      | 4.26%                 | No            |                  3 | On Loan: No      |
| Option One Mortgage Loan Trust                                              | Option One Mortgage Loan Trust, Series 2004-3, Class M2                                               | CUSIP: 68389FFU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     464581 | PA      | $436293.33     | 0.00%             | 2034-11-25      | Floating      | 4.90%                 | No            |                  3 | On Loan: No      |
| General Mills, Inc.                                                         | General Mills, Inc.                                                                                   | CUSIP: 370334CC6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    8218000 | PA      | $8242599.43    | 0.09%             | 2023-10-17      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                | Saxon Asset Securities Trust, Series 2005-3, Class M4                                                 | CUSIP: 805564SV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3380000 | PA      | $2793981.35    | 0.03%             | 2035-11-25      | Floating      | 1.52%                 | No            |                  3 | On Loan: No      |
| Met Tower Global Funding                                                    | Met Tower Global Funding                                                                              | CUSIP: 58989VAA2<br>LEI: 635400OFJCY9IOGBGY57 | Long             | DBT              | CORP              | US        |   18040000 | PA      | $18045164.49   | 0.20%             | 2023-01-17      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| EPIC Crude Services LP                                                      | EPIC Crude Services LP, 1st Lien Term Loan B                                                          | CUSIP: 29428XAB6<br>LEI: 549300FRS682IQ7J9S42 | Long             | LON              | CORP              | US        |    6866938 | PA      | $6020038.10    | 0.07%             | 2026-03-02      | Variable      | 7.08%                 | No            |                  2 | On Loan: No      |
| 8995 Collins LLC                                                            | 8995 Collins LLC                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   30600000 | PA      | $29437200.00   | 0.32%             | 2024-06-04      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Whataburger                                                                 | Whataburger, 1st Lien Term Loan B                                                                     | CUSIP: 96244UAF4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1141375 | PA      | $1084123.63    | 0.01%             | 2028-08-03      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC, Term Loan B-7                                                                            | CUSIP: 04649VAW0<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     628144 | PA      | $601315.65     | 0.01%             | 2024-11-03      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                  | GCAT Trust, Series 2019-NQM3, Class A1                                                                | CUSIP: 36167VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4643477 | PA      | $4298431.05    | 0.05%             | 2059-11-25      | Variable      | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding                                        | Brighthouse Financial Global Funding                                                                  | CUSIP: 10921U2B3<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |    5750000 | PA      | $5684597.55    | 0.06%             | 2024-04-12      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| Claire's Stores, Inc.                                                       | Claire's Stores, Inc.                                                                                 | CUSIP: N/A<br>LEI: 549300N5HNYXI6JY7625       | Long             | EC               | CORP              | US        |       5853 | NS      | $1902225.00    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Altice Financing SA                                                         | Altice Financing SA, 1st Lien Term Loan B                                                             | CUSIP: L0178UAK2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1691132 | PA      | $1648854.11    | 0.02%             | 2026-01-31      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2007-HE1, Class A2B                            | CUSIP: 81377JAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6730742 | PA      | $1485203.62    | 0.02%             | 2036-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-324655.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2007-1, Class A1A                                             | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15012274 | PA      | $9772777.50    | 0.11%             | 2037-03-25      | Floating      | 4.17%                 | No            |                  3 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2007-S2, Class A4                                                                 | CUSIP: 749583AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426232 | PA      | $333418.78     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intelsat Jackson Holdings SA                                                | Intelsat Jackson Holdings SA                                                                          | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |    9260000 | PA      | $8519200.00    | 0.09%             | 2030-03-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Sabre Holdings Corp.                                                        | Sabre Holdings Corp., 1st Lien Term Loan B                                                            | CUSIP: 78571YBF6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | LON              | CORP              | US        |     313108 | PA      | $288256.83     | 0.00%             | 2027-12-17      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                                             | Starbucks Corp.                                                                                       | CUSIP: 855244BB4<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |   30468000 | PA      | $30288995.93   | 0.33%             | 2024-02-14      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| PG&E Corp.                                                                  | PG&E Corp., Exit Term Loan                                                                            | CUSIP: 69338CAH4<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | LON              | CORP              | US        |     519597 | PA      | $511044.20     | 0.01%             | 2025-06-23      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust, Series 2005-1, Class 2A1                                                             | CUSIP: 45254NMN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4716717 | PA      | $4318314.88    | 0.05%             | 2035-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-7, Class M1  | CUSIP: 03072SHR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     139676 | PA      | $138497.90     | 0.00%             | 2033-08-25      | Floating      | 4.81%                 | No            |                  3 | On Loan: No      |
| RBSSP Resecuritization Trust                                                | RBSSP Resecuritization Trust, Series 2012-6, Class 10A2                                               | CUSIP: 74931TBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468977 | PA      | $465604.58     | 0.01%             | 2036-08-26      | Floating      | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2004-5CB, Class 2A1                                                    | CUSIP: 12667FDC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55853 | PA      | $51975.41      | 0.00%             | 2019-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-24CB, Class A1                                                    | CUSIP: 02146TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     890769 | PA      | $516652.50     | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Getty Images, Inc.                                                          | Getty Images, Inc., 1st Lien Term Loan B                                                              | CUSIP: 37427UAJ9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     397921 | PA      | $394737.57     | 0.00%             | 2026-02-19      | Variable      | 8.62%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | UBS AG                                                                                                | CUSIP: 902674YC8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   12200000 | PA      | $12117768.95   | 0.13%             | 2024-02-09      | Floating      | 4.17%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A3                                                 | CUSIP: 83611DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1108688 | PA      | $307925.40     | 0.00%             | 2036-11-25      | Floating      | 4.38%                 | Yes           |                  3 | On Loan: No      |
| Gates Global LLC                                                            | Gates Global LLC, 1st Lien Term Loan                                                                  | CUSIP: 36740UAT9<br>LEI: 549300XI79MQJV13DW27 | Long             | LON              | CORP              | US        |    1262987 | PA      | $1231412.77    | 0.01%             | 2027-03-31      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B2                                       | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18550000 | PA      | $16036738.41   | 0.18%             | 2041-10-25      | Floating      | 9.52%                 | Yes           |                  3 | On Loan: No      |
| Sundyne                                                                     | Sundyne, 1st Lien Term Loan B                                                                         | CUSIP: 85519WAC8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     920916 | PA      | $865661.08     | 0.01%             | 2027-03-17      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                 | ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM2, Class A2D                               | CUSIP: 00442KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5140145 | PA      | $2123513.81    | 0.02%             | 2037-02-25      | Floating      | 4.41%                 | No            |                  3 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   14170000 | PA      | $-2732238.78   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                                        | Royal Bank of Canada                                                                                  | CUSIP: 78014XJE8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | STIV             | CORP              | CA        |   20000000 | PA      | $20003127.00   | 0.22%             | 2023-01-06      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Bank Ltd.                                                            | Mizuho Bank Ltd.                                                                                      | CUSIP: 60710RUT0<br>LEI: RB0PEZSDGCO3JS6CEU02 | Long             | STIV             | CORP              | JP        |   35000000 | PA      | $34997981.90   | 0.38%             | 2023-02-17      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                                                     | Standard Chartered Bank                                                                               | CUSIP: 85325VBH2<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | STIV             | CORP              | GB        |   20000000 | PA      | $20005092.20   | 0.22%             | 2023-02-02      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A2                                                 | CUSIP: 83611DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14198434 | PA      | $3943625.12    | 0.04%             | 2036-11-25      | Floating      | 4.28%                 | Yes           |                  3 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                             | Sumitomo Mitsui Trust Bank Ltd.                                                                       | CUSIP: 86564MWG9<br>LEI: 5493006GGLR4BTEL8O61 | Long             | STIV             | CORP              | JP        |   31000000 | PA      | $31013880.25   | 0.34%             | 2023-02-06      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-28CB, Class A17                                                   | CUSIP: 02147TAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410059 | PA      | $220574.92     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust, Series 2019-HY2, Class A1                                                  | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7403710 | PA      | $7291045.80    | 0.08%             | 2058-05-25      | Floating      | 5.04%                 | Yes           |                  3 | On Loan: No      |
| Truist Financial Corp.                                                      | Truist Financial Corp.                                                                                | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   24125000 | PA      | $23568195.00   | 0.26%             | 2025-06-09      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2006-FR4, Class A1                             | CUSIP: 81377GAM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11891560 | PA      | $5121355.90    | 0.06%             | 2036-08-25      | Floating      | 4.30%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   13380000 | PA      | $-3367167.42   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                                          | Vail Resorts, Inc.                                                                                    | CUSIP: 91879QAL3<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |     432000 | PA      | $431550.62     | 0.00%             | 2025-05-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Wheel Pros, Inc.                                                            | Wheel Pros, Inc., 1st Lien Term Loan                                                                  | CUSIP: 96289EAG4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     506876 | PA      | $334309.83     | 0.00%             | 2028-05-11      | Variable      | 8.82%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                       | Sumitomo Mitsui Financial Group, Inc.                                                                 | CUSIP: 86562MAW0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    2650000 | PA      | $2649920.87    | 0.03%             | 2023-01-17      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                              | Long Beach Mortgage Loan Trust, Series 2004-3, Class M1                                               | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     694354 | PA      | $647847.14     | 0.01%             | 2034-07-25      | Floating      | 4.90%                 | No            |                  3 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |  260300000 | PA      | $-2485759.71   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B1                                       | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13000000 | PA      | $11944584.60   | 0.13%             | 2041-10-25      | Floating      | 6.62%                 | Yes           |                  3 | On Loan: No      |
| Mizuho Bank Ltd.                                                            | Mizuho Bank Ltd.                                                                                      | CUSIP: 60710RR80<br>LEI: RB0PEZSDGCO3JS6CEU02 | Long             | STIV             | CORP              | JP        |   39000000 | PA      | $38999896.65   | 0.43%             | 2022-12-14      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                                             | Sumitomo Mitsui Trust Bank Ltd.                                                                       | CUSIP: 86564MTY4<br>LEI: 5493006GGLR4BTEL8O61 | Long             | STIV             | CORP              | JP        |   20000000 | PA      | $19999891.00   | 0.22%             | 2023-01-17      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FGI Operating Co. LLC                                                       | FGI Operating Co. LLC, 1st Lien Term Loan                                                             | CUSIP: 30252KAF4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2622299 | PA      | $285830.61     | 0.00%             | 2023-05-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| First Abu Dhabi Bank PJSC                                                   | First Abu Dhabi Bank PJSC                                                                             | CUSIP: 31849MMD0<br>LEI: 2138002Y3WMK6RZS8H90 | Long             | STIV             | CORP              | AE        |   40000000 | PA      | $39943738.80   | 0.44%             | 2022-12-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Photo Holdings Merger Sub, Inc.                                             | Photo Holdings Merger Sub, Inc.                                                                       | CUSIP: 719245AD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2815000 | PA      | $1732618.54    | 0.02%             | 2026-10-01      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Specialty Underwriting & Residential Finance Trust                          | Specialty Underwriting & Residential Finance Trust, Series 2006-BC5, Class A1                         | CUSIP: 84751NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3650251 | PA      | $2853119.27    | 0.03%             | 2037-11-25      | Floating      | 4.32%                 | No            |                  3 | On Loan: No      |
| BNC Mortgage Loan Trust                                                     | BNC Mortgage Loan Trust, Series 2006-1, Class A4                                                      | CUSIP: 055682AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26141000 | PA      | $15902608.10   | 0.17%             | 2036-10-25      | Floating      | 3.69%                 | No            |                  3 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                             | NovaStar Mortgage Funding Trust, Series 2006-4, Class A2D                                             | CUSIP: 66988XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3777410 | PA      | $1605684.98    | 0.02%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| American Express Co.                                                        | American Express Co.                                                                                  | CUSIP: 025816BT5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    8926000 | PA      | $8922123.80    | 0.10%             | 2023-02-27      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-24CB, Class A23                                                   | CUSIP: 02146TAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1605079 | PA      | $930957.41     | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                            | Bank of Montreal                                                                                      | CUSIP: 06367WYQ0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   14560000 | PA      | $14376125.25   | 0.16%             | 2024-07-09      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                          | BMW US Capital LLC                                                                                    | CUSIP: 05565EBV6<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    2280000 | PA      | $2255788.68    | 0.02%             | 2024-08-12      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                             | CHL Mortgage Pass-Through Trust, Series 2006-15, Class A1                                             | CUSIP: 12543UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1014775 | PA      | $529356.37     | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Proofpoint, Inc.                                                            | Proofpoint, Inc., 1st Lien Term Loan B                                                                | CUSIP: 74345HAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     565725 | PA      | $543627.78     | 0.01%             | 2028-08-31      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| iHeartMedia, Inc.                                                           | iHeartMedia, Inc., Class A                                                                            | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      70579 | NS      | $567455.16     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Hertz Corp. (The)                                                           | Hertz Corp. (The), Escrow                                                                             | CUSIP: 428ESCAB3<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |    4923000 | PA      | $147690.00     | 0.00%             | 2024-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Natural Foods, Inc.                                                  | United Natural Foods, Inc., 1st Lien Term Loan B                                                      | CUSIP: 91116KAB1<br>LEI: 549300GKGW6WPZ282D40 | Long             | LON              | CORP              | US        |     379470 | PA      | $377280.72     | 0.00%             | 2025-10-22      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| HUB International Ltd.                                                      | HUB International Ltd., 1st Lien Term Loan B                                                          | CUSIP: 44332EAP1<br>LEI: 549300JQT6ATTUNS5E06 | Long             | LON              | CORP              | US        |     898296 | PA      | $880590.66     | 0.01%             | 2025-04-25      | Variable      | 7.33%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                       | Westpac Banking Corp.                                                                                 | CUSIP: 961214EK5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |     920000 | PA      | $919462.66     | 0.01%             | 2023-01-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| LogMeIn, Inc.                                                               | LogMeIn, Inc., 1st Lien Term Loan B                                                                   | CUSIP: 54142KAD3<br>LEI: 549300D12V5KRBV00592 | Long             | LON              | CORP              | US        |     408449 | PA      | $261235.50     | 0.00%             | 2027-08-31      | Variable      | 8.77%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                                | Chase Mortgage Finance Trust, Series 2005-S1, Class 1A15                                              | CUSIP: 16162WKV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     634596 | PA      | $594507.83     | 0.01%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2005-WMC1, Class M1                                                               | CUSIP: 362341PU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1583514 | PA      | $1531986.06    | 0.02%             | 2035-09-25      | Floating      | 4.78%                 | No            |                  3 | On Loan: No      |
| JPMorgan Seasoned Mortgage Trust                                            | JPMorgan Seasoned Mortgage Trust, Series 2014-1, Class A2                                             | CUSIP: 46643VAC1<br>LEI: 549300PO5OQO1J76ZY81 | Long             | ABS-MBS          | CORP              | US        |    4199149 | PA      | $4016718.44    | 0.04%             | 2033-05-25      | Floating      | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Avantor Funding, Inc.                                                       | Avantor Funding, Inc., 1st Lien Term Loan B                                                           | CUSIP: 05350NAL8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     887827 | PA      | $880280.21     | 0.01%             | 2027-11-08      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| API Group DE                                                                | API Group DE, 1st Lien Term Loan                                                                      | CUSIP: 00186XAB9<br>LEI: 549300XP4G7B4QYA0G83 | Long             | LON              | CORP              | US        |     837767 | PA      | $828551.19     | 0.01%             | 2026-10-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                      | Structured Asset Investment Loan Trust, Series 2006-2, Class A3                                       | CUSIP: 86358EE69<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     137684 | PA      | $137141.13     | 0.00%             | 2036-04-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                              | BNP Paribas SA                                                                                        | CUSIP: 05586FEM5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | STIV             | CORP              | FR        |   90000000 | PA      | $90038696.40   | 0.99%             | 2023-05-17      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                  | Verus Securitization Trust, Series 2020-1, Class B1                                                   | CUSIP: 92536PAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1998000 | PA      | $1285515.40    | 0.01%             | 2060-01-25      | Variable      | 3.62%                 | Yes           |                  3 | On Loan: No      |
| HSI Asset Securitization Corp. Trust                                        | HSI Asset Securitization Corp. Trust, Series 2006-HE2, Class 2A3                                      | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21833934 | PA      | $5761560.29    | 0.06%             | 2036-12-25      | Floating      | 4.38%                 | No            |                  3 | On Loan: No      |
| Remington LLC                                                               | Remington LLC                                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |   10425437 | NS      | $10.43         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GSR Mortgage Loan Trust                                                     | GSR Mortgage Loan Trust, Series 2006-2F, Class 2A1                                                    | CUSIP: 362334BN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850835 | PA      | $742020.47     | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goodman Networks, Inc.                                                      | Goodman Networks, Inc.                                                                                | CUSIP: 38239H105<br>LEI: 549300UMUT10TOBP5N08 | Long             | EC               | CORP              | US        |     212830 | NS      | $0.21          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| American Honda Finance Corp.                                                | American Honda Finance Corp.                                                                          | CUSIP: 02665WDG3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   25250000 | PA      | $25253578.68   | 0.28%             | 2023-05-10      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2014-10, Class 4A1                                              | CUSIP: 17323FAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2474519 | PA      | $2365382.27    | 0.03%             | 2037-02-25      | Floating      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                                        | Royal Bank of Canada                                                                                  | CUSIP: 78016EZV2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   53659000 | PA      | $52940094.96   | 0.58%             | 2024-07-29      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                            | Bank of Montreal                                                                                      | CUSIP: 06367WYH0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    9200000 | PA      | $9203036.00    | 0.10%             | 2023-03-10      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Brookfield WEC Holdings, Inc.                                               | Brookfield WEC Holdings, Inc., 1st Lien Term Loan                                                     | CUSIP: 11284EAM5<br>LEI: 5493002M6GRSU1IWMG57 | Long             | LON              | CORP              | US        |    1551118 | PA      | $1520901.74    | 0.02%             | 2025-08-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Windstream Holdings, Inc.                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | US        |        402 | NS      | $5628.00       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Adient US LLC                                                               | Adient US LLC, Term Loan B                                                                            | CUSIP: 00687MAC5<br>LEI: 213800SOTRCDGZUHL712 | Long             | LON              | CORP              | US        |     895098 | PA      | $882790.62     | 0.01%             | 2028-04-10      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2005-J11, Class 5A1                                                    | CUSIP: 12668AJT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     175046 | PA      | $129335.46     | 0.00%             | 2020-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                                   | Soundview Home Loan Trust, Series 2006-NLC1, Class A4                                                 | CUSIP: 83611DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6218589 | PA      | $1727033.42    | 0.02%             | 2036-11-25      | Floating      | 4.52%                 | Yes           |                  3 | On Loan: No      |
| New Century Home Equity Loan Trust                                          | New Century Home Equity Loan Trust, Series 2005-1, Class M6                                           | CUSIP: 64352VKF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3954858 | PA      | $3535282.35    | 0.04%             | 2035-03-25      | Floating      | 5.24%                 | No            |                  3 | On Loan: No      |
| Utz Quality Foods LLC                                                       | Utz Quality Foods LLC, 1st Lien Term Loan B                                                           | CUSIP: 91809EAE1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     662147 | PA      | $656234.48     | 0.01%             | 2028-01-20      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| AppleCaramel Buyer LLC                                                      | AppleCaramel Buyer LLC, 1st Lien Term Loan B                                                          | CUSIP: 96350TAC4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     663262 | PA      | $637812.84     | 0.01%             | 2027-10-19      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                                 | Truist Bank                                                                                           | CUSIP: 89788JAD1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   12375000 | PA      | $12262320.30   | 0.13%             | 2024-01-17      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2005-J6, Class 2A1                                                     | CUSIP: 12667GVN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165711 | PA      | $143240.72     | 0.00%             | 2025-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Traeger Grills                                                              | Traeger Grills, Delayed Draw Term Loan                                                                | CUSIP: 87251RAL7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      11835 | PA      | $9472.76       | 0.00%             | 2028-06-29      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Formula One Holdings Ltd.                                                   | Formula One Holdings Ltd., 1st Lien Term Loan B                                                       | CUSIP: L2465BAS5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     575000 | PA      | $571946.75     | 0.01%             | 2024-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Goodman Networks, Inc.                                                      | Goodman Networks, Inc.                                                                                | CUSIP: 38239H204<br>LEI: 549300UMUT10TOBP5N08 | Long             | EP               | CORP              | US        |     253218 | NS      | $2532.18       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CWABS, Inc., Asset-Backed Certificates                                      | CWABS, Inc. Asset-Backed Certificates, Series 2004-1, Class M2                                        | CUSIP: 126671Z33<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     338030 | PA      | $332882.50     | 0.00%             | 2034-03-25      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| Prime Mortgage Trust                                                        | Prime Mortgage Trust, Series 2005-2, Class 2A1                                                        | CUSIP: 74160MHU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     743526 | PA      | $721115.04     | 0.01%             | 2032-10-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Team Health Holdings, Inc.                                                  | Team Health Holdings, Inc., 1st Lien Term Loan B                                                      | CUSIP: 87817JAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     597712 | PA      | $412421.10     | 0.00%             | 2027-03-02      | Variable      | 9.34%                 | No            |                  2 | On Loan: No      |
| Norinchukin BK NY BR                                                        | Norinchukin Bank (The)                                                                                | CUSIP: 65602Y2L3<br>LEI: 549300KQZJBM38M51L16 | Long             | STIV             | CORP              | US        |   10000000 | PA      | $9999956.30    | 0.11%             | 2022-12-14      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2006-FF14, Class A5                                        | CUSIP: 32027LAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5927930 | PA      | $5756177.04    | 0.06%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  3 | On Loan: No      |
| CDP Financial, Inc.                                                         | CDP Financial, Inc.                                                                                   | CUSIP: 12509TM53<br>LEI: 549300OXMGVYFCBFV096 | Long             | STIV             | CORP              | CA        |   25000000 | PA      | $24986757.00   | 0.27%             | 2022-12-05      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Natixis SA                                                                  | Natixis SA                                                                                            | CUSIP: 63873LDW2<br>LEI: 2549003L5ZG5M2ZSE107 | Long             | STIV             | CORP              | FR        |   29000000 | PA      | $29021937.63   | 0.32%             | 2023-05-04      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Moran Foods LLC                                                             | Moran Foods LLC, 1st Lien Term Loan                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |      73458 | PA      | $59010.64      | 0.00%             | 2038-12-31      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Solenis International LP                                                    | Solenis International LP, 1st Lien Term Loan B                                                        | CUSIP: 68163YAB1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     358292 | PA      | $342169.34     | 0.00%             | 2028-11-09      | Variable      | 7.44%                 | No            |                  2 | On Loan: No      |
| Caterpillar Financial Services Corp.                                        | Caterpillar Financial Services Corp.                                                                  | CUSIP: 14913R2M8<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    7970000 | PA      | $7918987.94    | 0.09%             | 2024-05-17      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                  | Bear Stearns Asset-Backed Securities Trust, Series 2004-SD1, Class M2                                 | CUSIP: 07384YSG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     783562 | PA      | $656504.21     | 0.01%             | 2042-12-25      | Variable      | 5.82%                 | No            |                  3 | On Loan: No      |
| Garda World Security Corp.                                                  | Garda World Security Corp., 1st Lien Term Loan B                                                      | CUSIP: C4000KAD6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     625000 | PA      | $598906.25     | 0.01%             | 2026-10-30      | Variable      | 8.93%                 | No            |                  2 | On Loan: No      |
| Staples, Inc.                                                               | Staples, Inc.                                                                                         | CUSIP: 855030AN2<br>LEI: XQM2JINI1UL7642TU573 | Long             | DBT              | CORP              | US        |    4018000 | PA      | $3584598.43    | 0.04%             | 2026-04-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                               | Six Flags Entertainment Corp.                                                                         | CUSIP: 83001AAB8<br>LEI: 549300JYTDUAA4JQ3717 | Long             | DBT              | CORP              | US        |    1790000 | PA      | $1739942.65    | 0.02%             | 2024-07-31      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Clarios Global LP                                                           | Clarios Global LP                                                                                     | CUSIP: 18060TAA3<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | CA        |     451000 | PA      | $450712.43     | 0.00%             | 2025-05-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| Shearer's Foods LLC                                                         | Shearer's Foods LLC, 1st Lien Term Loan                                                               | CUSIP: 82087UAL1<br>LEI: 549300AQWIJSYS2CIH04 | Long             | LON              | CORP              | US        |     402952 | PA      | $382602.96     | 0.00%             | 2027-09-23      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |   13370000 | PA      | $-3936466.69   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ESC Co.                                                                     | ESC Co., Escrow                                                                                       | CUSIP: 458ESCAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3770000 | PA      | $377.00        | 0.00%             | 2025-07-15      | Fixed         | 9.75%                 | No            |                  3 | On Loan: No      |
| Hyland Software, Inc.                                                       | Hyland Software, Inc., 1st Lien Term Loan                                                             | CUSIP: 44908XAT5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     612232 | PA      | $602669.26     | 0.01%             | 2024-07-01      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                                 | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   36200000 | PA      | $35591194.55   | 0.39%             | 2025-04-22      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                                 | CUSIP: 06051GHE2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   44117000 | PA      | $44055039.44   | 0.48%             | 2024-03-05      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                        | Mitsubishi UFJ Financial Group, Inc.                                                                  | CUSIP: 606822AS3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    1250000 | PA      | $1251146.74    | 0.01%             | 2023-03-02      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin Mortgage Loan Trust                            | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-5, Class 1A                             | CUSIP: 59025RAW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23456251 | PA      | $14727297.97   | 0.16%             | 2037-10-25      | Floating      | 4.89%                 | No            |                  3 | On Loan: No      |
| American Home Mortgage Assets Trust                                         | American Home Mortgage Assets Trust, Series 2006-2, Class 2A1                                         | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886654 | PA      | $741075.69     | 0.01%             | 2046-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Cabinetworks                                                                | Cabinetworks, 1st Lien Term Loan B                                                                    | CUSIP: 00488YAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     381434 | PA      | $276131.76     | 0.00%             | 2028-05-17      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| PCI Pharma Services, Inc.                                                   | PCI Pharma Services, Inc., 1st Lien Term Loan                                                         | CUSIP: 69515EAH5<br>LEI: 549300SL20D7D39KSB12 | Long             | LON              | CORP              | US        |    1443025 | PA      | $1388305.49    | 0.02%             | 2027-11-30      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| United Overseas Bank Ltd.                                                   | United Overseas Bank Ltd.                                                                             | CUSIP: 91127QQ28<br>LEI: IO66REGK3RCBAMA8HR66 | Long             | STIV             | CORP              | SG        |  100000000 | PA      | $98782022.00   | 1.08%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                                      | Banc of America Alternative Loan Trust, Series 2006-4, Class 2A1                                      | CUSIP: 05950AAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231044 | PA      | $201409.10     | 0.00%             | 2021-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Brooks Automation                                                           | Brooks Automation, 2nd Lien Term Loan                                                                 | CUSIP: 02090CAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     251250 | PA      | $209793.75     | 0.00%             | 2030-02-01      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment Trust                                        | Fieldstone Mortgage Investment Trust, Series 2006-2, Class 2A3                                        | CUSIP: 31659EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2662951 | PA      | $1295600.49    | 0.01%             | 2036-07-25      | Floating      | 4.58%                 | No            |                  3 | On Loan: No      |
| Intelsat Jackson Holdings SA                                                | Intelsat Jackson Holdings SA                                                                          | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             |  | CORP              | LU        |      13531 | NS      | $135.31        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Jazz Pharmaceuticals plc                                                    | Jazz Pharmaceuticals plc, 1st Lien Term Loan B                                                        | CUSIP: G5080AAF9<br>LEI: 635400WUEO2NSG5OIU34 | Long             | LON              | CORP              | LU        |     979798 | PA      | $971225.15     | 0.01%             | 2028-05-05      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                   | Toyota Motor Credit Corp.                                                                             | CUSIP: 89236TKE4<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   28979000 | PA      | $28999231.40   | 0.32%             | 2023-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                                | DNB Bank ASA                                                                                          | CUSIP: 2332K1MF4<br>LEI: 549300GKFG0RYRRQ1414 | Long             | STIV             | CORP              | NO        |   40000000 | PA      | $39936216.80   | 0.44%             | 2022-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                   | Toyota Motor Credit Corp.                                                                             | CUSIP: 89236TJE6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   23196000 | PA      | $23183010.24   | 0.25%             | 2023-04-06      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2007-5CB, Class 1A31                                                   | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445949 | PA      | $244668.51     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                             | Goldman Sachs Group, Inc. (The)                                                                       | CUSIP: 38141GXW9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   12046000 | PA      | $11909501.84   | 0.13%             | 2024-03-08      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2014-R7, Class 2A1                                              | CUSIP: 05963SAD4<br>LEI: 549300UKLRORHBR16839 | Long             | ABS-MBS          | CORP              | US        |     282236 | PA      | $277885.57     | 0.00%             | 2036-09-26      | Floating      | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                                   | Bank of Nova Scotia (The)                                                                             | CUSIP: 0641598L3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   25800000 | PA      | $25660462.51   | 0.28%             | 2023-09-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Ensemble RCM LLC                                                            | Ensemble RCM LLC, 1st Lien Term Loan                                                                  | CUSIP: 29359BAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1105063 | PA      | $1070994.20    | 0.01%             | 2026-08-03      | Variable      | 7.94%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2006-NC3, Class A1                             | CUSIP: 81377CAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9590172 | PA      | $6036873.15    | 0.07%             | 2036-09-25      | Floating      | 4.32%                 | No            |                  3 | On Loan: No      |
| Spirit Aerosystems, Inc.                                                    | Spirit Aerosystems, Inc., 1st Lien Term Loan B                                                        | CUSIP: 84857HAX8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     437075 | PA      | $433932.76     | 0.00%             | 2025-01-15      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                       | NextEra Energy Capital Holdings, Inc.                                                                 | CUSIP: 65339KBT6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   28182000 | PA      | $28175747.26   | 0.31%             | 2023-02-22      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                | MASTR Alternative Loan Trust, Series 2004-7, Class 10A1                                               | CUSIP: 576434TN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     524629 | PA      | $468117.06     | 0.01%             | 2034-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NMG, Inc.                                                                   | NMG, Inc.                                                                                             | CUSIP: 62929P102<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      46864 | NS      | $8318360.00    | 0.09%             |  |  |  | No            |                  3 | On Loan: No      |
| E.W. Scripps Co.                                                            | E.W. Scripps Co., 1st Lien Term Loan B-3                                                              | CUSIP: 26928BAM1<br>LEI: 549300U1OW41QPKYW028 | Long             | LON              | CORP              | US        |    1135375 | PA      | $1101722.49    | 0.01%             | 2028-01-07      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSABX                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    6970000 | PA      | $-1290221.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2014-10, Class 3A1                                              | CUSIP: 17323FAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550808 | PA      | $546394.55     | 0.01%             | 2036-07-25      | Floating      | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Carroll County Energy LLC                                                   | Carroll County Energy LLC, 1st Lien Term Loan B                                                       | CUSIP: 14474FAW4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     656248 | PA      | $619058.12     | 0.01%             | 2026-02-16      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Pierce Fenner & Smith, Inc.                                   | Merrill Lynch Pierce Fenner & Smith, Inc.                                                             | CUSIP: 0TU001F06<br>LEI: 8NAV47T0Y26Q87Y0QP81 | Long             | RA               | CORP              | US        |   65000000 | PA      | $65000000.00   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| LifePoint Health, Inc.                                                      | LifePoint Health, Inc., 1st Lien Term Loan B                                                          | CUSIP: 75915TAD4<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | LON              | CORP              | US        |     432706 | PA      | $400850.45     | 0.00%             | 2025-11-16      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Pure Fishing, Inc.                                                          | Pure Fishing, Inc., 1st Lien Term Loan                                                                | CUSIP: 78471PAB6<br>LEI: 549300U8UI4Y1KEUGM58 | Long             | LON              | CORP              | US        |   12087304 | PA      | $8210784.56    | 0.09%             | 2025-12-22      | Variable      | 8.57%                 | No            |                  2 | On Loan: No      |
| Truck Hero, Inc.                                                            | Truck Hero, Inc., 1st Lien Term Loan                                                                  | CUSIP: 89778PAG2<br>LEI: 54930007KT5CX7XNSD31 | Long             | LON              | CORP              | US        |     472271 | PA      | $398124.82     | 0.00%             | 2028-01-31      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Genesis Energy LP                                                           | Genesis Energy LP                                                                                     | CUSIP: 37185LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      55000 | PA      | $52945.75      | 0.00%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                       | CWABS Trust, Series 2006-11, Class 3AV2                                                               | CUSIP: 12666TAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     714748 | PA      | $709531.09     | 0.01%             | 2046-09-25      | Floating      | 4.20%                 | No            |                  3 | On Loan: No      |
| GSR Mortgage Loan Trust                                                     | GSR Mortgage Loan Trust, Series 2006-3F, Class 2A7                                                    | CUSIP: 362334JV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601937 | PA      | $591930.43     | 0.01%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                 | Capital One Financial Corp.                                                                           | CUSIP: 14040HCL7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   34251000 | PA      | $33488915.25   | 0.37%             | 2024-12-06      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                      | Credit Suisse Group AG                                                                                | CUSIP: 225401AE8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    8640000 | PA      | $8629127.34    | 0.09%             | 2023-12-14      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                      | Structured Asset Investment Loan Trust, Series 2005-HE3, Class M2                                     | CUSIP: 86358EWY8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4475000 | PA      | $3572657.87    | 0.04%             | 2035-09-25      | Floating      | 4.75%                 | No            |                  3 | On Loan: No      |
| Clarios Global LP                                                           | Clarios Global LP                                                                                     | CUSIP: 69867DAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     928000 | PA      | $919304.64     | 0.01%             | 2026-05-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: No      |
| UFC Holdings LLC                                                            | UFC Holdings LLC, 1st Lien Term Loan B-3                                                              | CUSIP: 90266UAJ2<br>LEI: 549300JEOTH7UMZ3C491 | Long             | LON              | CORP              | US        |    6677884 | PA      | $6556413.21    | 0.07%             | 2026-04-29      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                              | QUALCOMM, Inc.                                                                                        | CUSIP: 747525AS2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    5308000 | PA      | $5310268.75    | 0.06%             | 2023-01-30      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Wesco Aircraft Holdings, Inc.                                               | Wesco Aircraft Holdings, Inc.                                                                         | CUSIP: 97789LAB2<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |    1347000 | PA      | $855345.00     | 0.01%             | 2026-11-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2006-S12, Class 3A9                                                               | CUSIP: 74958EAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000507 | PA      | $900101.43     | 0.01%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BofA Securities, Inc.                                                       | BofA Securities, Inc.                                                                                 | CUSIP: 06054PMN3<br>LEI: 549300HN4UKV1E2R3U73 | Long             | STIV             | CORP              | US        |   20000000 | PA      | $19950585.60   | 0.22%             | 2022-12-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Triton Water Holdings, Inc.                                                 | Triton Water Holdings, Inc., 1st Lien Term Loan B                                                     | CUSIP: 89678QAB2<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | LON              | CORP              | US        |     876182 | PA      | $806087.54     | 0.01%             | 2028-03-31      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| PrimeSource                                                                 | PrimeSource, 1st Lien Term Loan B                                                                     | CUSIP: 70082HAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1589777 | PA      | $1377144.50    | 0.02%             | 2027-12-28      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                      | Residential Asset Securitization Trust, Series 2006-R1, Class A2                                      | CUSIP: 76113MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          1 | PA      | $0.41          | 0.00%             | 2046-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| DirectV Financing LLC                                                       | DirectV Financing LLC, 1st Lien Term Loan                                                             | CUSIP: 25460HAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     521082 | PA      | $498341.66     | 0.01%             | 2027-08-02      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                                   | First Student Bidco, Inc., 1st Lien Term Loan B                                                       | CUSIP: 33718FAD2<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |    1019188 | PA      | $956446.46     | 0.01%             | 2028-07-21      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                            | Bank of Montreal                                                                                      | CUSIP: 06373L4Q9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | STIV             | CORP              | CA        |   10000000 | PA      | $10008219.90   | 0.11%             | 2023-05-08      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                                | Mizuho Financial Group, Inc.                                                                          | CUSIP: 60687YAQ2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   12478000 | PA      | $12484255.72   | 0.14%             | 2023-03-05      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   42650000 | PA      | $-2537354.82   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -391311000 | PA      | $-389599014.38 | -4.26%            | 2052-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                              | Adjustable Rate Mortgage Trust, Series 2005-10, Class 1A21                                            | CUSIP: 007036TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     470678 | PA      | $403201.85     | 0.00%             | 2036-01-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                          | Credit Agricole SA                                                                                    | CUSIP: 22535WAF4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    2368000 | PA      | $2371461.92    | 0.03%             | 2023-04-24      | Floating      | 5.34%                 | Yes           |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2006-NC2, Class A1                                                                | CUSIP: 362463AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4826139 | PA      | $2667502.86    | 0.03%             | 2036-06-25      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| New York Life Global Funding                                                | New York Life Global Funding                                                                          | CUSIP: 64952WDV2<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    1920000 | PA      | $1919867.39    | 0.02%             | 2023-10-21      | Floating      | 4.18%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                          | Atmos Energy Corp.                                                                                    | CUSIP: 049560AV7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    5445000 | PA      | $5439239.79    | 0.06%             | 2023-03-09      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   10550000 | PA      | $-8432300.73   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS Holdings                                                                | CVS Holdings, 1st Lien Term Loan                                                                      | CUSIP: 58401DAC8<br>LEI: 549300660CLPRNK19Z91 | Long             | LON              | CORP              | US        |     765618 | PA      | $649435.38     | 0.01%             | 2026-08-31      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                         | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                         | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81604 | PA      | $79956.12      | 0.00%             | 2020-02-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Ingram Micro, Inc.                                                          | Ingram Micro, Inc., 1st Lien Term Loan B                                                              | CUSIP: 45258FAB6<br>LEI: 549300KJMEWPKRQZHX63 | Long             | LON              | CORP              | US        |     691250 | PA      | $680231.48     | 0.01%             | 2028-06-30      | Variable      | 7.17%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                                      | Bear Stearns ARM Trust, Series 2005-12, Class 22A1                                                    | CUSIP: 07387AGC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2242919 | PA      | $2058742.13    | 0.02%             | 2036-02-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Hertz Corp.                                                                 | Hertz Corp., Escrow                                                                                   | CUSIP: 428ESCAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1345000 | PA      | $114325.00     | 0.00%             | 2028-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2007-HE1, Class A2C                            | CUSIP: 81377JAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17098148 | PA      | $3772634.46    | 0.04%             | 2036-12-25      | Floating      | 4.36%                 | No            |                  3 | On Loan: No      |
| Venator Finance SARL                                                        | Venator Finance SARL                                                                                  | CUSIP: 9226ALAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     770000 | PA      | $564025.00     | 0.01%             | 2025-07-01      | Fixed         | 9.50%                 | Yes           |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2006-HE3, Class A2C                                                               | CUSIP: 36244KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     113541 | PA      | $113214.37     | 0.00%             | 2046-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Nielsen Holdings plc                                                        | Nielsen Holdings plc, Term Loan B-3                                                                   | CUSIP: 45674PAF1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     919540 | PA      | $803448.49     | 0.01%             | 2028-03-06      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| RealPage, Inc.                                                              | RealPage, Inc., 1st Lien Term Loan B                                                                  | CUSIP: 75605VAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     534600 | PA      | $510879.80     | 0.01%             | 2028-04-24      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                          | Metropolitan Life Global Funding I                                                                    | CUSIP: 59217GEQ8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    1625000 | PA      | $1603943.15    | 0.02%             | 2024-09-27      | Floating      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| Hertz Corp. (The)                                                           | Hertz Corp. (The), 1st Lien Term Loan B                                                               | CUSIP: 42804VBB6<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |     997087 | PA      | $971741.43     | 0.01%             | 2028-06-30      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| St. George's University Scholastic Services LLC                             | St. George's University Scholastic Services LLC, 1st Lien Term Loan B                                 | CUSIP: 78957LAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     780497 | PA      | $757573.97     | 0.01%             | 2029-02-10      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                            | Cooper-Standard Automotive, Inc.                                                                      | CUSIP: 216762AF1<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |    5662000 | PA      | $2367324.21    | 0.03%             | 2026-11-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                       | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF1, Class M6                      | CUSIP: 863576FN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3537000 | PA      | $3190063.81    | 0.03%             | 2036-02-25      | Floating      | 4.84%                 | No            |                  3 | On Loan: No      |
| Vistra Corp.                                                                | Vistra Corp.                                                                                          | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |       9412 | NS      | $228993.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hertz Corp. (The)                                                           | Hertz Corp. (The), 1st Lien Term Loan C                                                               | CUSIP: 42804VBC4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | LON              | CORP              | US        |     190291 | PA      | $185454.06     | 0.00%             | 2028-06-30      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2005-SA2, Class 2A2                                                               | CUSIP: 76111XVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     628960 | PA      | $572058.06     | 0.01%             | 2035-06-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                              | Banc of America Mortgage Trust, Series 2007-3, Class 1A1                                              | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1164610 | PA      | $994079.29     | 0.01%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                       | Westpac Banking Corp.                                                                                 | CUSIP: 961214DT7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    1023000 | PA      | $1022609.29    | 0.01%             | 2023-01-11      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust, Series 2015-3, Class A4B                                                   | CUSIP: 89172HAZ0<br>LEI: 549300ZHISOOIT5VZP03 | Long             | ABS-MBS          | CORP              | US        |     299189 | PA      | $297285.73     | 0.00%             | 2054-03-25      | Variable      | 3.50%                 | Yes           |                  3 | On Loan: No      |
| High Ridge Partners                                                         | High Ridge Partners, Escrow                                                                           | CUSIP: 429ESCAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3888000 | PA      | $0.04          | 0.00%             | 2025-03-15      | Fixed         | 8.88%                 | No            |                  3 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                         | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1                        | CUSIP: 1248P1AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6782702 | PA      | $6138470.71    | 0.07%             | 2036-10-25      | Floating      | 4.32%                 | No            |                  3 | On Loan: No      |
| CenterPoint Energy Resources Corp.                                          | CenterPoint Energy Resources Corp.                                                                    | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    4390000 | PA      | $4386471.14    | 0.05%             | 2023-03-02      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                                  | iHeartCommunications, Inc., Term Loan B                                                               | CUSIP: 45174UAG3<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |     638386 | PA      | $597088.65     | 0.01%             | 2026-05-01      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Nationstar Home Equity Loan Trust                                           | Nationstar Home Equity Loan Trust, Series 2007-B, Class M1                                            | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4158000 | PA      | $3690081.96    | 0.04%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  3 | On Loan: No      |
| Toronto-Dominion Bank                                                       | Toronto-Dominion Bank (The)                                                                           | CUSIP: 89115BCT5<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |   10000000 | PA      | $10002714.70   | 0.11%             | 2023-05-15      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                                | Exelon Corp., 1st Lien Term Loan B                                                                    | CUSIP: 30204KAD8<br>LEI: 5493004JBPWTPTK8LB51 | Long             | LON              | CORP              | US        |     913681 | PA      | $904351.96     | 0.01%             | 2027-12-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Ring Container Technologies LLC                                             | Ring Container Technologies LLC, 1st Lien Term Loan B                                                 | CUSIP: 76680YAG7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     446625 | PA      | $439255.69     | 0.00%             | 2028-08-12      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                        | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-7, Class 3A1                        | CUSIP: 225458G28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6952 | PA      | $6574.94       | 0.00%             | 2020-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                             | Goldman Sachs Group, Inc. (The)                                                                       | CUSIP: 38141GWU4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     471000 | PA      | $471455.75     | 0.01%             | 2023-02-23      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| TransDigm Group, Inc.                                                       | TransDigm Group, Inc., 1st Lien Term Loan F                                                           | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     506925 | PA      | $498844.29     | 0.01%             | 2025-12-09      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| First Student Bidco, Inc.                                                   | First Student Bidco, Inc., 1st Lien Term Loan C                                                       | CUSIP: 33718FAB6<br>LEI: 2549006DRO2F06AA1391 | Long             | LON              | CORP              | US        |     379053 | PA      | $355718.60     | 0.00%             | 2028-07-21      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| DigiCert, Inc.                                                              | DigiCert, Inc., 1st Lien Term Loan                                                                    | CUSIP: 24022KAJ8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     445000 | PA      | $403005.35     | 0.00%             | 2029-02-19      | Variable      | 11.70%                | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust, Series 2004-6, Class 1A2                                                             | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     442957 | PA      | $419826.86     | 0.00%             | 2034-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| MI Windows & Doors, Inc.                                                    | MI Windows & Doors, Inc., 1st Lien Term Loan B                                                        | CUSIP: 55336CAJ1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     276014 | PA      | $271529.02     | 0.00%             | 2027-12-18      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| American Honda Finance Corp.                                                | American Honda Finance Corp.                                                                          | CUSIP: 02665WDV0<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2650757.48    | 0.03%             | 2023-02-22      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CenturyLink, Inc.                                                           | CenturyLink, Inc., 1st Lien Term Loan B                                                               | CUSIP: 15669GAH7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     776133 | PA      | $734741.45     | 0.01%             | 2027-03-15      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                | Bear Stearns Asset-Backed Securities I Trust, Series 2004-AC5, Class A1                               | CUSIP: 073879GM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1839427 | PA      | $1677030.76    | 0.02%             | 2034-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2007-AMC1, Class A1                                             | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6603926 | PA      | $3670640.36    | 0.04%             | 2036-12-25      | Floating      | 4.20%                 | Yes           |                  3 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                       | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M4                                        | CUSIP: 41753CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3555000 | PA      | $3175446.51    | 0.03%             | 2046-09-25      | Variable      | 4.64%                 | Yes           |                  3 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                            | Skandinaviska Enskilda Banken AB                                                                      | CUSIP: 83050WCK8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | STIV             | CORP              | SE        |   10000000 | PA      | $10000155.00   | 0.11%             | 2022-12-02      | Floating      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                 | ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM2, Class A2C                               | CUSIP: 00442KAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4875732 | PA      | $2014339.36    | 0.02%             | 2037-02-25      | Floating      | 4.32%                 | No            |                  3 | On Loan: No      |
| Virtusa Corp.                                                               | Virtusa Corp., 1st Lien Term Loan B                                                                   | CUSIP: 92828KAK8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     443250 | PA      | $429123.62     | 0.00%             | 2028-02-11      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| Bausch Health Americas, Inc.                                                | Bausch Health Americas, Inc.                                                                          | CUSIP: 91911XAV6<br>LEI: KOO0397YRO83WY5MGD97 | Long             | DBT              | CORP              | US        |    2805000 | PA      | $1818883.99    | 0.02%             | 2026-04-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Intelsat Jackson Holdings SA                                                | Intelsat Jackson Holdings SA                                                                          | CUSIP: N/A<br>LEI: 8XJ8KF85PBKK1TLMFN29       | Long             |  | CORP              | LU        |      13531 | NS      | $135.31        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2006-S9, Class A1                                                                 | CUSIP: 749577AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1456621 | PA      | $1153763.79    | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RAMP Trust                                                                  | RAMP Trust, Series 2005-EFC6, Class M4                                                                | CUSIP: 76112BK58<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2540000 | PA      | $2151654.32    | 0.02%             | 2035-11-25      | Floating      | 4.93%                 | No            |                  3 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust, Series 2006-9, Class 2A1A                                             | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2657578 | PA      | $2154930.87    | 0.02%             | 2036-11-19      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Telford Offshore Holdings Ltd.                                              | Telford Offshore Holdings Ltd.                                                                        | CUSIP: N/A<br>LEI: 254900MJ1ONJOBEVV564       | Long             | EC               | CORP              | KY        |     204135 | NS      | $0.20          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| JPMorgan Mortgage Trust                                                     | JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3                                                    | CUSIP: 466247VQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     456513 | PA      | $303435.41     | 0.00%             | 2020-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2007-4, Class A1                                                       | CUSIP: 3622EBAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1004724 | PA      | $302200.19     | 0.00%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  3 | On Loan: No      |
| ESC Co.                                                                     | ESC Co., Escrow                                                                                       | CUSIP: 458ESCAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1228000 | PA      | $122.80        | 0.00%             | 2024-10-15      | Fixed         | 8.50%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                                    | U.S. Treasury Bills                                                                                   | CUSIP: 912796X79<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   15269000 | PA      | $15250384.49   | 0.17%             | 2022-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KeyBank NA                                                                  | KeyBank NA                                                                                            | CUSIP: 49327M3D4<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |   12750000 | PA      | $12613644.62   | 0.14%             | 2024-06-14      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                                 | Truist Bank                                                                                           | CUSIP: 89788JAC3<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |    6070000 | PA      | $6070736.59    | 0.07%             | 2023-03-09      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                 | Toronto-Dominion Bank (The)                                                                           | CUSIP: 89114QCE6<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   24440000 | PA      | $24440000.00   | 0.27%             | 2022-12-01      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                    | Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE2, Class A2B                                  | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11415860 | PA      | $5487668.87    | 0.06%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2005-9, Class M5                                                       | CUSIP: 362341HS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3878000 | PA      | $3273805.66    | 0.04%             | 2035-08-25      | Floating      | 5.02%                 | No            |                  3 | On Loan: No      |
| Jackson National Life Global Funding                                        | Jackson National Life Global Funding                                                                  | CUSIP: 46849LTN1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   39249000 | PA      | $39252728.66   | 0.43%             | 2023-01-06      | Floating      | 4.42%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                                  | AT&T, Inc.                                                                                            | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   16560000 | PA      | $16437317.89   | 0.18%             | 2024-03-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust I LLC                                              | Angel Oak Mortgage Trust I LLC, Series 2019-1, Class A2                                               | CUSIP: 03464MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104896 | PA      | $104223.10     | 0.00%             | 2048-11-25      | Variable      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $392673.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rite Aid Corp.                                                              | Rite Aid Corp.                                                                                        | CUSIP: 767754CK8<br>LEI: 529900W353T1JY1DKT44 | Long             | DBT              | CORP              | US        |     489000 | PA      | $367383.05     | 0.00%             | 2025-07-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                     | FHLMC STACR REMIC Trust, Series 2021-DNA1, Class B2                                                   | CUSIP: 35564KBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19195000 | PA      | $14182853.43   | 0.16%             | 2051-01-25      | Floating      | 8.27%                 | Yes           |                  3 | On Loan: No      |
| New York Life Global Funding                                                | New York Life Global Funding                                                                          | CUSIP: 64952WDM2<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    1270000 | PA      | $1269277.18    | 0.01%             | 2023-01-10      | Floating      | 4.19%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. (The)                                                          | Southern Co. (The), Series 2021                                                                       | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    1260000 | PA      | $1255965.90    | 0.01%             | 2023-05-10      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                             | CHL Mortgage Pass-Through Trust, Series 2007-5, Class A6                                              | CUSIP: 12544VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1061234 | PA      | $431884.18     | 0.00%             | 2037-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2006-S10, Class 1A1                                                               | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1028235 | PA      | $810075.89     | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Oversea-Chinese Banking Corp. Ltd.                                          | Oversea-Chinese Banking Corp. Ltd.                                                                    | CUSIP: 69034CNM6<br>LEI: 5493007O3QFXCPOGWK22 | Long             | STIV             | CORP              | SG        |   40000000 | PA      | $39993716.80   | 0.44%             | 2023-01-13      | Floating      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Kookmin Bank                                                                | Kookmin Bank                                                                                          | CUSIP: 48668MY72<br>LEI: 549300XXMOJSIW8P4769 | Long             | STIV             | CORP              | KR        |    3000000 | PA      | $2998753.89    | 0.03%             | 2023-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Six Flags Theme Parks, Inc.                                                 | Six Flags Theme Parks, Inc.                                                                           | CUSIP: 83001WAC8<br>LEI: 5493003MX0ZXTM8EVY68 | Long             | DBT              | CORP              | US        |     262000 | PA      | $262648.72     | 0.00%             | 2025-07-01      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2007-2, Class AF4A                                                     | CUSIP: 3622EUAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6151354 | PA      | $1847287.19    | 0.02%             | 2037-03-25      | Variable      | 6.48%                 | No            |                  3 | On Loan: No      |
| Citicorp Mortgage Securities Trust                                          | Citicorp Mortgage Securities Trust, Series 2007-5, Class 1A9                                          | CUSIP: 17312KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     887839 | PA      | $737850.55     | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                            | Principal Life Global Funding II                                                                      | CUSIP: 74256LEM7<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    5260000 | PA      | $5219024.60    | 0.06%             | 2024-04-12      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Claire's Stores, Inc.                                                       | Claire's Stores, Inc., 1st Lien Term Loan B                                                           | CUSIP: 17958DAL1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    8619343 | PA      | $7671215.13    | 0.08%             | 2026-12-18      | Variable      | 10.57%                | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | UBS AG                                                                                                | CUSIP: 90276JPR1<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | STIV             | CORP              | CH        |   20000000 | PA      | $20000257.60   | 0.22%             | 2023-03-23      | Floating      | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Banking Corp.                                               | Sumitomo Mitsui Banking Corp.                                                                         | CUSIP: 86565FGM8<br>LEI: 549300MS3WYYVQ4HXM15 | Long             | STIV             | CORP              | JP        |   40000000 | PA      | $39991941.20   | 0.44%             | 2023-02-10      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Nine Point Energy Holdings, Inc.                                            | Nine Point Energy Holdings, Inc.                                                                      | CUSIP: N/A<br>LEI: 549300FCL6TQ7WK78C08       | Long             | EC               | CORP              | US        |   10112105 | NS      | $10.11         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BNG Bank NV                                                                 | BNG Bank NV                                                                                           | CUSIP: 09657SM10<br>LEI: 529900GGYMNGRQTDOO93 | Long             | STIV             | CORP              | NL        |   35000000 | PA      | $34996302.60   | 0.38%             | 2022-12-01      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                                         | Starwood Mortgage Residential Trust, Series 2019-INV1, Class A3                                       | CUSIP: 85572JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2279849 | PA      | $2163695.18    | 0.02%             | 2049-09-27      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Spectrum Brands, Inc.                                                       | Spectrum Brands, Inc.                                                                                 | CUSIP: 84762LAU9<br>LEI: 549300VU3EH2E73C1Q04 | Long             | DBT              | CORP              | US        |     284000 | PA      | $279546.89     | 0.00%             | 2025-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                          | NACC Reperforming Loan REMIC Trust, Series 2004-R1, Class A1                                          | CUSIP: 62951MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     925268 | PA      | $773451.32     | 0.01%             | 2034-03-25      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Buckeye Partners LP                                                         | Buckeye Partners LP, 1st Lien Term Loan B-1                                                           | CUSIP: 11823LAK1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | LON              | CORP              | US        |     749340 | PA      | $739636.20     | 0.01%             | 2026-11-01      | Variable      | 6.02%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2005-B, Class 3M1                                               | CUSIP: 05946XSG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2031623 | PA      | $1990369.96    | 0.02%             | 2035-04-20      | Floating      | 4.61%                 | No            |                  3 | On Loan: No      |
| RALI Trust                                                                  | RALI Trust, Series 2003-QS20, Class CB                                                                | CUSIP: 76110HMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42728 | PA      | $27773.09      | 0.00%             | 2018-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Atkins Nutritionals, Inc.                                                   | Atkins Nutritionals, Inc., 1st Lien Term Loan B                                                       | CUSIP: 04761PAF2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1284028 | PA      | $1280818.26    | 0.01%             | 2024-07-07      | Variable      | 7.72%                 | No            |                  2 | On Loan: No      |
| Mallinckrodt plc                                                            | Mallinckrodt plc                                                                                      | CUSIP: N/A<br>LEI: 549300LMDE3RUP8Z3L60       | Long             | EC               | CORP              | IE        |      71021 | NS      | $768802.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust            | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-7, Class 1A2            | CUSIP: 93934FBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382847 | PA      | $324558.84     | 0.00%             | 2035-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corp. Trust                                        | HSI Asset Securitization Corp. Trust, Series 2007-NC1, Class A2                                       | CUSIP: 40430TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6849550 | PA      | $4634415.02    | 0.05%             | 2037-04-25      | Floating      | 3.73%                 | No            |                  3 | On Loan: No      |
| NatWest Markets plc                                                         | NatWest Markets plc                                                                                   | CUSIP: 63906YAC2<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $8364714.00    | 0.09%             | 2024-08-12      | Floating      | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                    | Morgan Stanley ABS Capital I, Inc. Trust, Series 2007-HE1, Class A1                                   | CUSIP: 617526AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4225145 | PA      | $2785815.55    | 0.03%             | 2036-11-25      | Floating      | 4.18%                 | No            |                  3 | On Loan: No      |
| CDP Financial, Inc.                                                         | CDP Financial, Inc.                                                                                   | CUSIP: 12509TM12<br>LEI: 549300OXMGVYFCBFV096 | Long             | STIV             | CORP              | CA        |   15000000 | PA      | $14998415.40   | 0.16%             | 2022-12-01      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                                 | CUSIP: 06051GJX8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   25250000 | PA      | $25029062.50   | 0.27%             | 2024-05-28      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                          | Northwestern Mutual Global Funding                                                                    | CUSIP: 66815L2C2<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |     190000 | PA      | $188398.80     | 0.00%             | 2024-03-25      | Floating      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                                               | Nomura Resecuritization Trust, Series 2015-2R, Class 4A1                                              | CUSIP: 65540UAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1096260 | PA      | $1055551.06    | 0.01%             | 2036-12-26      | Floating      | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Summer (BC) Holdco B SARL                                                   | Summer (BC) Holdco B SARL, 1st Lien Term Loan B                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     519043 | PA      | $476709.73     | 0.01%             | 2026-12-04      | Variable      | 8.17%                 | No            |                  2 | On Loan: No      |
| Asurion LLC                                                                 | Asurion LLC, 1st Lien Term Loan B                                                                     | CUSIP: 04649VAY6<br>LEI: 549300KNQVXGIOXWK278 | Long             | LON              | CORP              | US        |     349675 | PA      | $302381.46     | 0.00%             | 2027-07-31      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-J3, Class 2A1                                                     | CUSIP: 021469AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152545 | PA      | $103746.44     | 0.00%             | 2020-12-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    7230000 | PA      | $547008.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2006-FM3, Class A1                                                                | CUSIP: 36245TAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15520901 | PA      | $7360906.65    | 0.08%             | 2036-11-25      | Floating      | 4.18%                 | No            |                  3 | On Loan: No      |
| Graham Packaging Co., Inc.                                                  | Graham Packaging Co., Inc., 1st Lien Term Loan                                                        | CUSIP: 38469EAD5<br>LEI: 549300YS0ZFT826HIK72 | Long             | LON              | CORP              | US        |    1162476 | PA      | $1134867.02    | 0.01%             | 2027-08-04      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| MASTR Asset-Backed Securities Trust                                         | MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3                                        | CUSIP: 576449AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6570559 | PA      | $2092392.69    | 0.02%             | 2036-11-25      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| Duff & Phelps Corp.                                                         | Duff & Phelps Corp., 1st Lien Term Loan B                                                             | CUSIP: 24440EAB3<br>LEI: 549300FDREJLOIGXY104 | Long             | LON              | CORP              | US        |     776964 | PA      | $733120.30     | 0.01%             | 2027-04-09      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| KDC US Holdings, Inc.                                                       | KDC US Holdings, Inc., 1st Lien Term Loan B                                                           | CUSIP: C4953EAD7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     727271 | PA      | $699692.55     | 0.01%             | 2025-12-22      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                     | GSR Mortgage Loan Trust, Series 2006-9F, Class 9A1                                                    | CUSIP: 3622X7AS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21759 | PA      | $20955.46      | 0.00%             | 2021-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                          | New Century Home Equity Loan Trust, Series 2003-5, Class AI7                                          | CUSIP: 64352VEF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        806 | PA      | $774.57        | 0.00%             | 2033-11-25      | Variable      | 4.83%                 | No            |                  3 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |  454630000 | PA      | $-4174541.21   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank plc                                                           | Barclays Bank plc                                                                                     | CUSIP: 06742T2L9<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | STIV             | CORP              | GB        |   20000000 | PA      | $20014438.20   | 0.22%             | 2023-05-01      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2005-NC1, Class M2                                                                | CUSIP: 36242DUH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5664554 | PA      | $5384369.15    | 0.06%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  3 | On Loan: No      |
| USI, Inc.                                                                   | USI, Inc., Term Loan                                                                                  | CUSIP: 90351NAE5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     423346 | PA      | $422156.60     | 0.00%             | 2024-05-16      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                                       | WMG Acquisition Corp., 1st Lien Term Loan G                                                           | CUSIP: 92929LAV0<br>LEI: 549300NAS11NXI33CP80 | Long             | LON              | CORP              | US        |    1177608 | PA      | $1157977.40    | 0.01%             | 2028-01-20      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| EP Energy Corp.                                                             | EP Energy Corp.                                                                                       | CUSIP: 268785201<br>LEI: 549300Z6HPQS1H5IYQ07 | Long             | EC               | CORP              | US        |     106117 | NS      | $742819.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Bway Holding Co.                                                            | Bway Holding Co., 1st Lien Term Loan                                                                  | CUSIP: 05604XAP1<br>LEI: 549300DNGHXL0OMHW304 | Long             | LON              | CORP              | US        |    7630917 | PA      | $7397258.68    | 0.08%             | 2024-04-03      | Variable      | 7.02%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                                 | Toronto-Dominion Bank (The)                                                                           | CUSIP: 89114QCL0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     450000 | PA      | $448484.47     | 0.00%             | 2023-09-28      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| John Deere Capital Corp.                                                    | John Deere Capital Corp.                                                                              | CUSIP: 24422EUG2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |     925000 | PA      | $925705.38     | 0.01%             | 2023-06-07      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                          | Metropolitan Life Global Funding I                                                                    | CUSIP: 59217GGW3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   17221000 | PA      | $17104426.06   | 0.19%             | 2024-01-07      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Shutterfly, Inc.                                                            | Shutterfly, Inc., 1st Lien Term Loan B                                                                | CUSIP: 82568QAN4<br>LEI: 549300I1C8WJQ5FZE154 | Long             | LON              | CORP              | US        |     915750 | PA      | $559184.42     | 0.01%             | 2026-09-25      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                | MASTR Alternative Loan Trust, Series 2005-5, Class 3A1                                                | CUSIP: 576434T20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1662076 | PA      | $868658.05     | 0.01%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                       | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC5, Class A4                      | CUSIP: 86359SAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     665415 | PA      | $646466.08     | 0.01%             | 2036-12-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| ICON Luxembourg SARL                                                        | ICON Luxembourg SARL, 1st Lien Term Loan B                                                            | CUSIP: L5000DAC1<br>LEI: 635400PUWMHSPI2DDA35 | Long             | LON              | CORP              | LU        |     733099 | PA      | $729015.15     | 0.01%             | 2028-07-03      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                          | Metropolitan Life Global Funding I                                                                    | CUSIP: 59217GEF2<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   21850000 | PA      | $21855194.40   | 0.24%             | 2023-01-13      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| GSAMP Trust                                                                 | GSAMP Trust, Series 2007-HE1, Class A2C                                                               | CUSIP: 3622MDAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8199848 | PA      | $7680568.49    | 0.08%             | 2047-03-25      | Floating      | 4.19%                 | No            |                  3 | On Loan: No      |
| Wesco Aircraft Holdings, Inc.                                               | Wesco Aircraft Holdings, Inc.                                                                         | CUSIP: 97789LAA4<br>LEI: 529900P5VTXZS191P208 | Long             | DBT              | CORP              | US        |     530000 | PA      | $132500.00     | 0.00%             | 2027-11-15      | Fixed         | 13.12%                | Yes           |                  2 | On Loan: No      |
| American Express Co.                                                        | American Express Co.                                                                                  | CUSIP: 025816CU1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    3319000 | PA      | $3307437.00    | 0.04%             | 2024-05-03      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Cooper-Standard Automotive, Inc.                                            | Cooper-Standard Automotive, Inc.                                                                      | CUSIP: 216762AG9<br>LEI: ITCH5B3Q4RTX2PH9UN62 | Long             | DBT              | CORP              | US        |     995000 | PA      | $1040891.72    | 0.01%             | 2024-06-01      | Fixed         | 13.00%                | Yes           |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                            | Skandinaviska Enskilda Banken AB                                                                      | CUSIP: 83050WEF7<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | STIV             | CORP              | SE        |   60000000 | PA      | $60000024.00   | 0.66%             | 2023-05-26      | Floating      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| National Bank of Canada                                                     | National Bank of Canada                                                                               | CUSIP: 63307NHW0<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | STIV             | CORP              | CA        |   70000000 | PA      | $70003594.50   | 0.77%             | 2023-03-21      | Floating      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                   | Toyota Motor Credit Corp., Series B                                                                   | CUSIP: 89236TJP1<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8891345.16    | 0.10%             | 2024-09-13      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| BMW US Capital LLC                                                          | BMW US Capital LLC                                                                                    | CUSIP: 05565EBN4<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   53505000 | PA      | $53155341.61   | 0.58%             | 2024-04-01      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Albany Molecular Research, Inc.                                             | Albany Molecular Research, Inc., 1st Lien Term Loan                                                   | CUSIP: 01242HAM0<br>LEI: CHZJRCSC4ACUSUD2MV11 | Long             | LON              | CORP              | US        |     999674 | PA      | $826690.38     | 0.01%             | 2026-08-30      | Variable      | 8.16%                 | No            |                  2 | On Loan: No      |
| Osmose Holdings, Inc.                                                       | Osmose Holdings, Inc., 1st Lien Term Loan                                                             | CUSIP: 68835HAH3<br>LEI: 549300FSLVHLFZ3S0D82 | Long             | LON              | CORP              | US        |     792000 | PA      | $745184.88     | 0.01%             | 2028-06-23      | Variable      | 7.27%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                              | Securitized Asset-Backed Receivables LLC Trust, Series 2007-HE1, Class A2D                            | CUSIP: 81377JAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6520870 | PA      | $1438693.65    | 0.02%             | 2036-12-25      | Floating      | 4.48%                 | No            |                  3 | On Loan: No      |
| FNMA/FHLMC                                                                  | FNMA/FHLMC UMBS, Single Family, 30 Year                                                               | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  173874000 | PA      | $177771578.71  | 1.95%             | 2052-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                       | Athene Global Funding                                                                                 | CUSIP: 04685A3B5<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   25500000 | PA      | $24896634.81   | 0.27%             | 2024-08-19      | Floating      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2020-1, Class B1                                                     | CUSIP: 03464RAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2907000 | PA      | $2449671.34    | 0.03%             | 2059-12-25      | Variable      | 3.76%                 | Yes           |                  3 | On Loan: No      |
| Sirius XM Radio, Inc.                                                       | Sirius XM Radio, Inc.                                                                                 | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1382683.50    | 0.02%             | 2029-07-01      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                         | Thornburg Mortgage Securities Trust, Series 2002-4, Class 3A                                          | CUSIP: 885220CC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     424517 | PA      | $394755.01     | 0.00%             | 2042-12-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| MYT Holding LLC                                                             | MYT Holding LLC, Series A                                                                             | CUSIP: 55406N202<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    2435646 | NS      | $3230275.51    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| GCAT Trust                                                                  | GCAT Trust, Series 2020-NQM1, Class A1                                                                | CUSIP: 36167FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4069509 | PA      | $3828217.70    | 0.04%             | 2060-01-25      | Variable      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                              | Long Beach Mortgage Loan Trust, Series 2006-11, Class 1A                                              | CUSIP: 542512AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13596559 | PA      | $9250447.56    | 0.10%             | 2036-12-25      | Floating      | 4.20%                 | No            |                  3 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2006-J2, Class A1                                                      | CUSIP: 12668BTD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2468653 | PA      | $1022607.00    | 0.01%             | 2036-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    6900000 | PA      | $-5853256.13   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Gulfport Energy Operating Corp.                                             | Gulfport Energy Operating Corp., Escrow                                                               | CUSIP: 402ESCAT4<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    1020000 | PA      | $1275.00       | 0.00%             | 2026-01-15      | Fixed         | 6.38%                 | No            |                  3 | On Loan: No      |
| Bausch Health Cos., Inc.                                                    | Bausch Health Cos., Inc.                                                                              | CUSIP: 91911KAP7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |    2035000 | PA      | $1465200.00    | 0.02%             | 2025-12-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: No      |
| ESC Co.                                                                     | ESC Co., Escrow                                                                                       | CUSIP: 458ESCAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8719000 | PA      | $871.90        | 0.00%             | 2023-08-01      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                        | Clear Channel Outdoor Holdings, Inc., 1st Lien Term Loan B                                            | CUSIP: 18452RAD7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    2619083 | PA      | $2391091.50    | 0.03%             | 2026-08-21      | Variable      | 7.91%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia                                                         | Bank of Nova Scotia (The)                                                                             | CUSIP: 06417MH40<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | STIV             | CORP              | CA        |   25000000 | PA      | $25007494.00   | 0.27%             | 2023-02-21      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Ultimate Software Group, Inc. (The)                                         | Ultimate Software Group, Inc. (The), 1st Lien Term Loan                                               | CUSIP: 90385KAK7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1542680 | PA      | $1488038.56    | 0.02%             | 2026-05-04      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Invenergy Thermal Operating I LLC                                           | Invenergy Thermal Operating I LLC, Term Loan                                                          | CUSIP: 46123UAG3<br>LEI: 549300JF5R5BXJAMZL67 | Long             | LON              | CORP              | US        |     369524 | PA      | $364443.28     | 0.00%             | 2025-08-28      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| Staples, Inc.                                                               | Staples, Inc., 1st Lien Term Loan                                                                     | CUSIP: 855031AQ3<br>LEI: XQM2JINI1UL7642TU573 | Long             | LON              | CORP              | US        |    1174153 | PA      | $1045113.70    | 0.01%             | 2026-04-16      | Variable      | 7.78%                 | No            |                  2 | On Loan: No      |
| Birkenstock                                                                 | Birkenstock, 1st Lien Term Loan B                                                                     | CUSIP: L0527CAB0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     670153 | PA      | $643347.27     | 0.01%             | 2028-04-28      | Variable      | 7.66%                 | No            |                  2 | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                                 | ACE Securities Corp. Home Equity Loan Trust, Series 2007-WM2, Class A2B                               | CUSIP: 00442KAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5241603 | PA      | $2165566.36    | 0.02%             | 2037-02-25      | Floating      | 4.22%                 | No            |                  3 | On Loan: No      |
| Credit Suisse AG                                                            | Credit Suisse AG                                                                                      | CUSIP: 22550UAB7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   31600000 | PA      | $30054760.00   | 0.33%             | 2024-02-02      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| Banijay Entertainment                                                       | Banijay Entertainment, 1st Lien Term Loan B                                                           | CUSIP: F6456UAB9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1100314 | PA      | $1090686.03    | 0.01%             | 2025-03-01      | Variable      | 7.59%                 | No            |                  2 | On Loan: No      |
| PQ Corp.                                                                    | PQ Corp., 1st Lien Term Loan B                                                                        | CUSIP: 27922JAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1511975 | PA      | $1482990.44    | 0.02%             | 2028-06-09      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Diamond Sports Group LLC                                                    | Diamond Sports Group LLC, 2nd Lien Term Loan                                                          | CUSIP: 25277BAG3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1067341 | PA      | $168778.63     | 0.00%             | 2026-08-24      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                             | Nordea Bank Abp                                                                                       | CUSIP: 65558UTV4<br>LEI: 529900ODI3047E2LIV03 | Long             | STIV             | CORP              | FI        |   30000000 | PA      | $29998659.00   | 0.33%             | 2022-12-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Moran Foods Backstop Equity                                                 | Moran Foods Backstop Equity                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     172532 | NS      | $431329.98     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Conservice Midco LLC                                                        | Conservice Midco LLC, 1st Lien Term Loan                                                              | CUSIP: 20848PAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1029543 | PA      | $994363.57     | 0.01%             | 2027-05-13      | Variable      | 8.32%                 | No            |                  2 | On Loan: No      |
| Moran Foods LLC                                                             | Moran Foods LLC, 1st Lien Term Loan B                                                                 | CUSIP: 61647DAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     564267 | PA      | $453292.23     | 0.00%             | 2024-04-01      | Variable      | 10.67%                | No            |                  3 | On Loan: No      |
| American Home Mortgage Assets Trust                                         | American Home Mortgage Assets Trust, Series 2007-4, Class A4                                          | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3816554 | PA      | $3309124.21    | 0.04%             | 2037-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                            | Principal Life Global Funding II                                                                      | CUSIP: 74256LER6<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   15047000 | PA      | $14884191.46   | 0.16%             | 2024-08-23      | Floating      | 4.18%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                         | CDI                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |   87600000 | PA      | $-5211542.37   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corp. Trust                                        | HSI Asset Securitization Corp. Trust, Series 2007-NC1, Class A3                                       | CUSIP: 40430TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3069899 | PA      | $2083394.79    | 0.02%             | 2037-04-25      | Floating      | 3.77%                 | No            |                  3 | On Loan: No      |
| Envision Healthcare Corp.                                                   | Envision Healthcare Corp., 1st Lien Term Loan                                                         | CUSIP: 29373UAG6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4527797 | PA      | $1011192.85    | 0.01%             | 2027-03-31      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| Moran Foods LLC                                                             | Moran Foods LLC, Tranche A 2nd Lien Term Loan                                                         | CUSIP: 61647DAF9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4909424 | PA      | $2847465.97    | 0.03%             | 2024-10-01      | Variable      | 14.42%                | No            |                  2 | On Loan: No      |
| Traeger Grills                                                              | Traeger Grills, 1st Lien Term Loan                                                                    | CUSIP: 87251RAK9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     359036 | PA      | $287365.62     | 0.00%             | 2028-06-29      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                               | Centex Home Equity Loan Trust, Series 2005-A, Class M2                                                | CUSIP: 152314MJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2651561 | PA      | $2535387.23    | 0.03%             | 2035-01-25      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2006-SA4, Class 2A1                                                               | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538863 | PA      | $442219.35     | 0.00%             | 2036-11-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| DigiCert, Inc.                                                              | DigiCert, Inc., 1st Lien Term Loan                                                                    | CUSIP: 24022KAB5<br>LEI: 549300EF826JEEUCHZ67 | Long             | LON              | CORP              | US        |     599244 | PA      | $575490.31     | 0.01%             | 2026-10-16      | Variable      | 8.70%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                            | Skandinaviska Enskilda Banken AB                                                                      | CUSIP: 83051GAL2<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   20420000 | PA      | $20418475.85   | 0.22%             | 2022-12-12      | Floating      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| MUFG Bank Ltd.                                                              | MUFG Bank Ltd.                                                                                        | CUSIP: 55380UAU1<br>LEI: C3GTMMZIHMY46P4OIX74 | Long             | STIV             | CORP              | JP        |   10000000 | PA      | $10000359.00   | 0.11%             | 2023-03-02      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Loan Trust                       | Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-GEL4, Class M1                     | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2117399 | PA      | $2050849.04    | 0.02%             | 2036-10-25      | Floating      | 4.61%                 | Yes           |                  3 | On Loan: No      |
| Intl Oncology Care, Inc.                                                    | Intl Oncology Care, Inc.                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |     157709 | NS      | $1591283.81    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust                               | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2, Class A1                              | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6636831 | PA      | $6113221.26    | 0.07%             | 2037-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| Commscope, Inc.                                                             | Commscope, Inc., 1st Lien Term Loan B-2                                                               | CUSIP: 20337EAQ4<br>LEI: 724500R0MD16646Q8383 | Long             | LON              | CORP              | NL        |    1559822 | PA      | $1496945.44    | 0.02%             | 2026-04-06      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| Gulfport Energy Operating Corp.                                             | Gulfport Energy Operating Corp., Escrow                                                               | CUSIP: 402ESCAQ0<br>LEI: 549300FJX18IDUFPHD40 | Long             | DBT              | CORP              | US        |    1510000 | PA      | $1887.50       | 0.00%             | 2024-10-15      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Trinseo Materials Operating SCA                                             | Trinseo Materials Operating SCA                                                                       | CUSIP: 89668QAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     500000 | PA      | $400625.00     | 0.00%             | 2025-09-01      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                           | HSBC Holdings plc                                                                                     | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   37007000 | PA      | $36883332.60   | 0.40%             | 2024-05-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                      | UBS AG                                                                                                | CUSIP: 902674YG9<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |   21250000 | PA      | $21200780.96   | 0.23%             | 2023-06-01      | Floating      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| Citibank NA                                                                 | Citibank NA                                                                                           | CUSIP: 17305T6N7<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | STIV             | CORP              | US        |   39000000 | PA      | $38999033.19   | 0.43%             | 2022-12-01      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| Genesys Telecom Holdings US, Inc.                                           | Genesys Telecom Holdings US, Inc., 1st Lien Term Loan B                                               | CUSIP: 39479UAQ6<br>LEI: 549300CVRD4OUCPHWQ42 | Long             | LON              | CORP              | US        |     929656 | PA      | $901190.00     | 0.01%             | 2027-12-01      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, Connecticut Avenue Securities, Series 2021-R02, Class 2B2                                       | CUSIP: 20754KAJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |    2350000 | PA      | $1915915.99    | 0.02%             | 2041-11-25      | Floating      | 9.72%                 | Yes           |                  2 | On Loan: No      |
| WIRB-Copernicus Group, Inc.                                                 | WIRB-Copernicus Group, Inc., 1st Lien Term Loan B                                                     | CUSIP: 23343FAB0<br>LEI: 254900CEZYHAWVXDTS47 | Long             | LON              | CORP              | US        |    1253494 | PA      | $1175150.44    | 0.01%             | 2027-01-08      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                             | CHL Mortgage Pass-Through Trust, Series 2005-21, Class A2                                             | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275796 | PA      | $170294.09     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tekni-Plex, Inc.                                                            | Tekni-Plex, Inc., Delayed Draw Term Loan B                                                            | CUSIP: 00216EAF6<br>LEI: 549300TPLK304J3RNC85 | Long             | LON              | CORP              | US        |      74422 | PA      | $71325.38      | 0.00%             | 2028-09-15      | Variable      | 7.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CDSCMBX                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |    7270000 | PA      | $558227.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Pathway Vet Alliance LLC                                                    | Pathway Vet Alliance LLC, 1st Lien Term Loan                                                          | CUSIP: 70323KAE8<br>LEI: 2549001HRKTHAW7MOH74 | Long             | LON              | CORP              | US        |     755623 | PA      | $662522.96     | 0.01%             | 2027-03-31      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| Camelot Finance LP                                                          | Camelot Finance LP, 1st Lien Term Loan B                                                              | CUSIP: L2000AAD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     695529 | PA      | $683573.11     | 0.01%             | 2026-10-30      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                            | Credit Suisse AG                                                                                      | CUSIP: 22550UAD3<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   26850000 | PA      | $26176910.78   | 0.29%             | 2023-08-09      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Claire's Stores, Inc.                                                       | Claire's Stores, Inc.                                                                                 | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |       4526 | NS      | $10183500.00   | 0.11%             |  |  |  | No            |                  3 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                             | Goldman Sachs Group, Inc. (The)                                                                       | CUSIP: 38141GZQ0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2650000 | PA      | $2652970.65    | 0.03%             | 2024-03-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                           | American Electric Power Co., Inc., Series A                                                           | CUSIP: 025537AS0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   22880000 | PA      | $22741236.92   | 0.25%             | 2023-11-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2020-R01, Class 1B1                                       | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   62892000 | PA      | $57612461.88   | 0.63%             | 2040-01-25      | Floating      | 7.27%                 | Yes           |                  3 | On Loan: No      |
| ION Corp.                                                                   | ION Corp., 1st Lien Term Loan B                                                                       | CUSIP: 42328DAF5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     554886 | PA      | $538006.09     | 0.01%             | 2028-03-11      | Variable      | 7.45%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                      | GSAA Home Equity Trust, Series 2006-19, Class A2                                                      | CUSIP: 362244AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3319450 | PA      | $923785.40     | 0.01%             | 2036-12-25      | Floating      | 4.40%                 | No            |                  3 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                     | FHLMC STACR REMIC Trust, Series 2021-HQA2, Class B1                                                   | CUSIP: 35564KGR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16225000 | PA      | $13610222.81   | 0.15%             | 2033-12-25      | Floating      | 6.67%                 | Yes           |                  2 | On Loan: No      |
| Pearl Intermediate Parent LLC                                               | Pearl Intermediate Parent LLC, 1st Lien Term Loan B-3                                                 | CUSIP: 70476XAK1<br>LEI: 549300V0HK8MSXZNOM91 | Long             | LON              | CORP              | US        |    1031595 | PA      | $952935.69     | 0.01%             | 2025-02-14      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                         | Post Holdings, Inc.                                                                                   | CUSIP: 737446AM6<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     285000 | PA      | $277830.83     | 0.00%             | 2027-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Spirit Aerosystems, Inc.                                                    | Spirit Aerosystems, Inc., 1st Lien Term Loan B                                                        | CUSIP: 84857HAY6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     240000 | PA      | $236800.80     | 0.00%             | 2027-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp.                                                           | IRB Holding Corp., 1st Lien Term Loan B                                                               | CUSIP: 44988LAH0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     889162 | PA      | $854485.16     | 0.01%             | 2027-12-15      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| Project Boost Purchaser LLC                                                 | Project Boost Purchaser LLC, 1st Lien Term Loan B                                                     | CUSIP: 74339NAB2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     764396 | PA      | $737802.45     | 0.01%             | 2026-06-01      | Variable      | 7.57%                 | No            |                  2 | On Loan: No      |
| Gemini HDPE LLC                                                             | Gemini HDPE LLC, 1st Lien Term Loan B                                                                 | CUSIP: 36866KAB8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    1039220 | PA      | $1011420.75    | 0.01%             | 2027-12-31      | Variable      | 7.41%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                              | Enbridge, Inc.                                                                                        | CUSIP: 29250NBD6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   21499000 | PA      | $21478823.40   | 0.24%             | 2023-02-17      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corp. Trust                                        | HSI Asset Securitization Corp. Trust, Series 2007-NC1, Class A4                                       | CUSIP: 40430TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4024641 | PA      | $2749991.06    | 0.03%             | 2037-04-25      | Floating      | 3.87%                 | No            |                  3 | On Loan: No      |
| HarborView Mortgage Loan Trust                                              | HarborView Mortgage Loan Trust, Series 2004-9, Class 2A                                               | CUSIP: 41161PHS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359018 | PA      | $295187.17     | 0.00%             | 2034-12-19      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust I

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer