# EDGAR Filing Document

**Accession Number:** 0001303608
**File Stem:** 0001752724-23-016717
**Filing Date:** 2023-1
**Character Count:** 541305
**Document Hash:** ecc38b4ffaa5d703b8db3f6df463e53a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016717.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016717

**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 Institutional Trust
- **CENTRAL INDEX KEY:** 0001303608
- **IRS NUMBER:** 201491791
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21638
- **FILM NUMBER:** 23563093

**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

## Series and Classes Contracts Data

### JPMorgan Intermediate Bond Trust (Series ID: S000007336)

| Class ID   | Class Name                       | Ticker Symbol   |
|:---|:---|:---|
| C000020140 | JPMorgan Intermediate Bond Trust |  |

## Nport-Ex

**JPMorgan Intermediate Bond Trust**

**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 Intermediate Bond Trust** <br>**SCHEDULE OF PORTFOLIO INVESTMENTS** <br>AS OF November 30, 2022 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **U.S. Treasury Obligations — 37.0%** | **U.S. Treasury Obligations — 37.0%** | **U.S. Treasury Obligations — 37.0%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 8/15/2029 | 500 | 568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 5/15/2040 | 750 | 480 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.13%, 6/30/2023 | 600 | 584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 1/31/2024 | 2000 | 1915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 2/15/2025 | 500 | 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 2/28/2025 | 1500 | 1400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 7/31/2025 | 1600 | 1445 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/2025 | 500 | 474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 5/31/2026 | 3000 | 2682 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 10/31/2026 | 3000 | 2694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 9/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 580 | &nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 10/31/2027 | 2500 | &nbsp;&nbsp; 2128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/31/2028 | 2000 | &nbsp;&nbsp; 1753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 9/30/2028 | 3000 | &nbsp;&nbsp; 2601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/15/2028 | 1600 | &nbsp;&nbsp; 1540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2032 | 5000 | &nbsp;&nbsp; 4687 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.32%, 8/15/2023 (a) | 1890 | &nbsp;&nbsp; 1832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.73%, 2/15/2024 (a) | 1206 | &nbsp;&nbsp; 1144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 5/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.22%, 5/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 5/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 8/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.08%, 11/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 2/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.34%, 8/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.46%, 11/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.33%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 5/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 8/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $31,833)<br>|  | 30225 |
| **Corporate Bonds — 24.4%** | **Corporate Bonds — 24.4%** | **Corporate Bonds — 24.4%** |
| **Aerospace & Defense — 1.1%** | **Aerospace & Defense — 1.1%** | **Aerospace & Defense — 1.1%** |
| &nbsp;&nbsp;&nbsp; Boeing Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.43%, 2/4/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 2/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc. 3.85%, 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; Leidos, Inc. 2.30%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp; Northrop Grumman Corp. 2.93%, 1/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp; Raytheon Technologies Corp. 4.13%, 11/16/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp; Textron, Inc. 3.00%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 903 |

---

------

**JPMorgan Intermediate Bond Trust** <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** |
| **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Lear Corp. 2.60%, 1/15/2032 | 14 | 11 |
| **Automobiles — 0.5%** | **Automobiles — 0.5%** | **Automobiles — 0.5%** |
| &nbsp;&nbsp;&nbsp; General Motors Co. 6.13%, 10/1/2025 | 50 | 51 |
| &nbsp;&nbsp;&nbsp; Mercedes-Benz Finance North America LLC (Germany) 2.13%, 3/10/2025 (b) | 150 | 140 |
| &nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (b) | 200 | 180 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| **Banks — 3.4%** | **Banks — 3.4%** | **Banks — 3.4%** |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 1/11/2023 | 90 | 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c) | 42 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.67%), 1.84%, 2/4/2025 (c) | 154 | 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.15%), 1.32%, 6/19/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) | &nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) | &nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/10/2025 | &nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 9/29/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.15%), 2.67%, 1/29/2031 (c) | &nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp; Citizens Financial Group, Inc. 2.64%, 9/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; Fifth Third Bancorp 2.38%, 1/28/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.71%), 0.98%, 5/24/2025 (c) | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 1.59%, 5/24/2027 (c) | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027 | &nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025 | &nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) 4.25%, 4/14/2025 (b) | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp; US Bancorp Series X, 3.15%, 4/27/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 6/3/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 7/22/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c) | &nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 158 |
|  |  | &nbsp;&nbsp; 2816 |
| **Beverages — 0.3%** | **Beverages — 0.3%** | **Beverages — 0.3%** |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029 | &nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp; Constellation Brands, Inc. 2.88%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; Keurig Dr Pepper, Inc. 4.42%, 5/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; PepsiCo, Inc. 1.63%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 220 |
| **Biotechnology — 0.4%** | **Biotechnology — 0.4%** | **Biotechnology — 0.4%** |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc. 4.25%, 11/14/2028 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; Amgen, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 2/22/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |

---

------

**JPMorgan Intermediate Bond Trust** <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** |
| **Biotechnology — continued** | **Biotechnology — continued** | **Biotechnology — continued** |
| &nbsp;&nbsp;&nbsp; Biogen, Inc. 2.25%, 5/1/2030 | 40 | 33 |
| &nbsp;&nbsp;&nbsp; Gilead Sciences, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/1/2025 | 25 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 3/1/2026 | 57 | 55 |
| &nbsp;&nbsp;&nbsp; Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 28 | 22 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 300 |
| **Capital Markets — 1.7%** | **Capital Markets — 1.7%** | **Capital Markets — 1.7%** |
| &nbsp;&nbsp;&nbsp; Blackstone Secured Lending Fund 3.65%, 7/14/2023 | 55 | 54 |
| &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029 | 47 | 45 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) (SOFR + 1.72%), 3.04%, 5/28/2032 (c) | 150 | 113 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.82%), 1.54%, 9/10/2027 (c) | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.11%), 2.64%, 2/24/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | &nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp; Invesco Finance plc 3.75%, 1/15/2026 | &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b) | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.47%), 4.29%, 11/10/2023 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.88%), 1.59%, 5/4/2027 (c) | &nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 1.79%, 2/13/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp; Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; S&P Global, Inc. 2.90%, 3/1/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
|  |  | &nbsp;&nbsp; 1382 |
| **Chemicals — 0.3%** | **Chemicals — 0.3%** | **Chemicals — 0.3%** |
| &nbsp;&nbsp;&nbsp; International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; LYB International Finance III LLC 2.25%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp; PPG Industries, Inc. 1.20%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; RPM International, Inc. 2.95%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp; Sherwin-Williams Co. (The) 3.30%, 2/1/2025 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 245 |
| **Commercial Services & Supplies — 0.2%** | **Commercial Services & Supplies — 0.2%** | **Commercial Services & Supplies — 0.2%** |
| &nbsp;&nbsp;&nbsp; Republic Services, Inc. 3.38%, 11/15/2027 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** |
| &nbsp;&nbsp;&nbsp; Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) 4.13%, 7/3/2023 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |

---

------

**JPMorgan Intermediate Bond Trust** <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; Avolon Holdings Funding Ltd. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 7/1/2024 (b) | 120 | 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/15/2026 (b) | 90 | 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 11/18/2027 (b) | 334 | 270 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp. (SOFR + 1.37%), 4.17%, 5/9/2025 (c) | 42 | 41 |
| &nbsp;&nbsp;&nbsp; General Motors Financial Co., Inc. 2.35%, 1/8/2031 | 200 | 155 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 860 |
| **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** | **Containers & Packaging — 0.2%** |
| &nbsp;&nbsp;&nbsp; Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | 41 | 36 |
| &nbsp;&nbsp;&nbsp; Packaging Corp. of America 3.00%, 12/15/2029 | 100 | 86 |
| &nbsp;&nbsp;&nbsp; WRKCo, Inc. 3.00%, 9/15/2024 | 80 | 77 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 199 |
| **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** | **Diversified Financial Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc. 3.65%, 4/5/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; Private Export Funding Corp. Series KK, 3.55%, 1/15/2024 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 197 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 282 |
| **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** | **Diversified Telecommunication Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc. 2.10%, 3/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| **Electric Utilities — 2.2%** | **Electric Utilities — 2.2%** | **Electric Utilities — 2.2%** |
| &nbsp;&nbsp;&nbsp; American Electric Power Co., Inc. 2.30%, 3/1/2030 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp; Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp; Duke Energy Corp. 3.75%, 4/15/2024 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; Duquesne Light Holdings, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 10/1/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 1/7/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; Edison International 4.13%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; Entergy Mississippi LLC 2.85%, 6/1/2028 | &nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp; Evergy Metro, Inc. 3.15%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp; Fells Point Funding Trust 3.05%, 1/31/2027 (b) | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; ITC Holdings Corp. 2.95%, 5/14/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.51%, 10/1/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.96%, 6/27/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; NRG Energy, Inc. 2.45%, 12/2/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; OGE Energy Corp. 0.70%, 5/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 2/16/2024 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp; Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp; 132 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC Series A-1, 5.05%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; Southern Co. (The) Series 21-B, 1.75%, 3/15/2028 | &nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp; 140 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; Virginia Electric and Power Co. 3.45%, 2/15/2024 | 21 | 21 |
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | 100 | 98 |
|  |  | &nbsp;&nbsp; 1838 |
| **Electrical Equipment — 0.2%** | **Electrical Equipment — 0.2%** | **Electrical Equipment — 0.2%** |
| &nbsp;&nbsp;&nbsp; Eaton Corp. 3.10%, 9/15/2027 | 140 | 131 |
| **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** |
| &nbsp;&nbsp;&nbsp; Arrow Electronics, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 3/1/2023 | 16 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 1/12/2028 | 100 | 92 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Schlumberger Investment SA 2.65%, 6/26/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| **Entertainment — 0.1%** | **Entertainment — 0.1%** | **Entertainment — 0.1%** |
| &nbsp;&nbsp;&nbsp; Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp; Walt Disney Co. (The) 7.70%, 10/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| **Equity Real Estate Investment Trusts (REITs) — 2.3%** | **Equity Real Estate Investment Trusts (REITs) — 2.3%** | **Equity Real Estate Investment Trusts (REITs) — 2.3%** |
| &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc. 2.00%, 5/18/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; American Tower Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp; AvalonBay Communities, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 1/15/2031 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp; Boston Properties LP 3.20%, 1/15/2025 | &nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp; Brixmor Operating Partnership LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; Corporate Office Properties LP 2.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; Crown Castle, Inc. 2.25%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; Equinix, Inc. 2.00%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; Essex Portfolio LP 1.65%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; Extra Space Storage LP 2.35%, 3/15/2032 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp; Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp; Healthcare Realty Holdings LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp; Healthpeak Properties, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; Kilroy Realty LP 2.65%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; Life Storage LP 2.20%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; Mid-America Apartments LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 2/15/2031 | 36 | 28 |
| &nbsp;&nbsp;&nbsp; Office Properties Income Trust  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 6/15/2026 | 17 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 2/1/2027 | 70 | 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/15/2031 | 29 | 19 |
| &nbsp;&nbsp;&nbsp; Physicians Realty LP 2.63%, 11/1/2031 | 37 | 29 |
| &nbsp;&nbsp;&nbsp; Public Storage 2.25%, 11/9/2031 | 36 | 29 |
| &nbsp;&nbsp;&nbsp; Realty Income Corp. 3.65%, 1/15/2028 | 150 | 141 |
| &nbsp;&nbsp;&nbsp; Sabra Health Care LP 3.20%, 12/1/2031 | 52 | 39 |
| &nbsp;&nbsp;&nbsp; Safehold Operating Partnership LP 2.80%, 6/15/2031 | 88 | 68 |
| &nbsp;&nbsp;&nbsp; Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | 150 | 143 |
| &nbsp;&nbsp;&nbsp; SITE Centers Corp. 3.63%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; UDR, Inc. 2.10%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; Ventas Realty LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 5/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; Welltower, Inc. 4.50%, 1/15/2024 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp; WP Carey, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2033 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
|  |  | &nbsp;&nbsp; 1901 |
| **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** |
| &nbsp;&nbsp;&nbsp; 7-Eleven, Inc. 1.30%, 2/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; Alimentation Couche-Tard, Inc. (Canada) 3.55%, 7/26/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust 5.93%, 1/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 150 |
| **Food Products — 0.5%** | **Food Products — 0.5%** | **Food Products — 0.5%** |
| &nbsp;&nbsp;&nbsp; Archer-Daniels-Midland Co. 3.25%, 3/27/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; Campbell Soup Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 4/24/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; Cargill, Inc. 1.70%, 2/2/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp; Kellogg Co. 3.40%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp; Smithfield Foods, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 4/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; Tyson Foods, Inc. 3.95%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 445 |
| **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp. 2.63%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; ONE Gas, Inc. 2.00%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Health Care Equipment & Supplies — 0.0% ^** | **Health Care Equipment & Supplies — 0.0% ^** | **Health Care Equipment & Supplies — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Becton Dickinson and Co. 1.96%, 2/11/2031 | 50 | 40 |
| **Health Care Providers & Services — 0.4%** | **Health Care Providers & Services — 0.4%** | **Health Care Providers & Services — 0.4%** |
| &nbsp;&nbsp;&nbsp; Cigna Corp. 3.50%, 6/15/2024 | 72 | 71 |
| &nbsp;&nbsp;&nbsp; CommonSpirit Health 2.78%, 10/1/2030 | 50 | 40 |
| &nbsp;&nbsp;&nbsp; HCA, Inc. 4.13%, 6/15/2029 | 150 | 137 |
| &nbsp;&nbsp;&nbsp; Humana, Inc. 3.95%, 3/15/2027 | 50 | 48 |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc. 2.30%, 5/15/2031 | 73 | 61 |
| &nbsp;&nbsp;&nbsp; Universal Health Services, Inc. 2.65%, 10/15/2030 (b) | 4 | 3 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 360 |
| **Hotels, Restaurants & Leisure — 0.2%** | **Hotels, Restaurants & Leisure — 0.2%** | **Hotels, Restaurants & Leisure — 0.2%** |
| &nbsp;&nbsp;&nbsp; Expedia Group, Inc. 3.25%, 2/15/2030 | 100 | 86 |
| &nbsp;&nbsp;&nbsp; McDonald's Corp. 2.13%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| **Household Durables — 0.2%** | **Household Durables — 0.2%** | **Household Durables — 0.2%** |
| &nbsp;&nbsp;&nbsp; Lennar Corp. 5.25%, 6/1/2026 | &nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| **Insurance — 1.0%** | **Insurance — 1.0%** | **Insurance — 1.0%** |
| &nbsp;&nbsp;&nbsp; Aon Global Ltd. 3.88%, 12/15/2025 | &nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp; Assurant, Inc. 4.20%, 9/27/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; Athene Global Funding  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 1/8/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.73%, 10/2/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp; Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp; CNA Financial Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding 2.30%, 4/11/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; Principal Financial Group, Inc. 3.10%, 11/15/2026 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp; Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 804 |
| **Internet & Direct Marketing Retail — 0.2%** | **Internet & Direct Marketing Retail — 0.2%** | **Internet & Direct Marketing Retail — 0.2%** |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc. 3.60%, 4/13/2032 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp; eBay, Inc. 2.60%, 5/10/2031 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 175 |
| **IT Services — 0.1%** | **IT Services — 0.1%** | **IT Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| **Leisure Products — 0.1%** | **Leisure Products — 0.1%** | **Leisure Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; Hasbro, Inc. 3.90%, 11/19/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| **Machinery — 0.0% ^** | **Machinery — 0.0% ^** | **Machinery — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Otis Worldwide Corp. 2.57%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Media — 0.7%** | **Media — 0.7%** | **Media — 0.7%** |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.91%, 7/23/2025 | 160 | 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 2/1/2032 | 50 | 38 |
| &nbsp;&nbsp;&nbsp; Comcast Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 2/15/2025 | 77 | 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 8/15/2025 | 80 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 3/1/2026 | 16 | 15 |
| &nbsp;&nbsp;&nbsp; Cox Communications, Inc. 1.80%, 10/1/2030 (b) | 67 | 51 |
| &nbsp;&nbsp;&nbsp; Fox Corp. 4.71%, 1/25/2029 | 35 | 34 |
| &nbsp;&nbsp;&nbsp; Paramount Global 4.00%, 1/15/2026 | 100 | 96 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 544 |
| **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** | **Metals & Mining — 0.1%** |
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; Steel Dynamics, Inc. 1.65%, 10/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| **Multiline Retail — 0.1%** | **Multiline Retail — 0.1%** | **Multiline Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; Dollar General Corp. 4.13%, 5/1/2028 | &nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| **Multi-Utilities — 0.4%** | **Multi-Utilities — 0.4%** | **Multi-Utilities — 0.4%** |
| &nbsp;&nbsp;&nbsp; CenterPoint Energy, Inc. 1.45%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | &nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; Public Service Enterprise Group, Inc. 2.88%, 6/15/2024 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp; Puget Energy, Inc. 2.38%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; WEC Energy Group, Inc. 3.55%, 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 316 |
| **Oil, Gas & Consumable Fuels — 1.7%** | **Oil, Gas & Consumable Fuels — 1.7%** | **Oil, Gas & Consumable Fuels — 1.7%** |
| &nbsp;&nbsp;&nbsp; APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc. 2.72%, 1/12/2032 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC 2.90%, 7/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp; Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; Chevron USA, Inc. 3.85%, 1/15/2028 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp; Coterra Energy, Inc. 3.90%, 5/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp; Ecopetrol SA (Colombia) 4.13%, 1/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 2/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp; Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b) | &nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; HF Sinclair Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 10/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; Marathon Petroleum Corp. 4.70%, 5/1/2025 | &nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** |
| &nbsp;&nbsp;&nbsp; MPLX LP 4.25%, 12/1/2027 | 27 | 26 |
| &nbsp;&nbsp;&nbsp; NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | 22 | 18 |
| &nbsp;&nbsp;&nbsp; ONEOK Partners LP 5.00%, 9/15/2023 | 28 | 28 |
| &nbsp;&nbsp;&nbsp; Ovintiv Exploration, Inc. 5.38%, 1/1/2026 | 40 | 40 |
| &nbsp;&nbsp;&nbsp; Phillips 66 1.30%, 2/15/2026 | 28 | 25 |
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 1/15/2026 | 50 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 8/15/2030 | 72 | 57 |
| &nbsp;&nbsp;&nbsp; Plains All American Pipeline LP 4.65%, 10/15/2025 | 30 | 29 |
| &nbsp;&nbsp;&nbsp; Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | 20 | 19 |
| &nbsp;&nbsp;&nbsp; Targa Resources Partners LP 4.00%, 1/15/2032 | 14 | 12 |
| &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The) 2.60%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
|  |  | &nbsp;&nbsp; 1356 |
| **Pharmaceuticals — 0.6%** | **Pharmaceuticals — 0.6%** | **Pharmaceuticals — 0.6%** |
| &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 7/26/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 11/13/2030 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp; Mylan, Inc. 4.55%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp; Zoetis, Inc. 2.00%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 463 |
| **Road & Rail — 0.6%** | **Road & Rail — 0.6%** | **Road & Rail — 0.6%** |
| &nbsp;&nbsp;&nbsp; CSX Corp. 3.25%, 6/1/2027 | &nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp; JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; Norfolk Southern Corp. 2.55%, 11/1/2029 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp; Triton Container International Ltd. (Bermuda) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 39 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 475 |
| **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** |
| &nbsp;&nbsp;&nbsp; Broadcom, Inc. 3.19%, 11/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; Marvell Technology, Inc. 2.95%, 4/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; Microchip Technology, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.97%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.98%, 9/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; NXP BV (China) 2.50%, 5/11/2031 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp; QUALCOMM, Inc. 4.25%, 5/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; Xilinx, Inc. 2.38%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 325 |
| **Software — 0.6%** | **Software — 0.6%** | **Software — 0.6%** |
| &nbsp;&nbsp;&nbsp; Intuit, Inc. 1.65%, 7/15/2030 | &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp; Oracle Corp. 2.88%, 3/25/2031 | &nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |

---

------

**JPMorgan Intermediate Bond Trust** <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** |
| **Software — continued** | **Software — continued** | **Software — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 9/15/2027 | 174 | 149 |
| &nbsp;&nbsp;&nbsp; VMware, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 8/15/2026 | 25 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 8/15/2028 | 15 | 12 |
| &nbsp;&nbsp;&nbsp; Workday, Inc. 3.50%, 4/1/2027 | 30 | 28 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 466 |
| **Specialty Retail — 0.2%** | **Specialty Retail — 0.2%** | **Specialty Retail — 0.2%** |
| &nbsp;&nbsp;&nbsp; Advance Auto Parts, Inc. 3.50%, 3/15/2032 | 50 | 42 |
| &nbsp;&nbsp;&nbsp; AutoZone, Inc. 1.65%, 1/15/2031 | 83 | 64 |
| &nbsp;&nbsp;&nbsp; O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | 62 | 59 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** |
| &nbsp;&nbsp;&nbsp; Dell International LLC 5.30%, 10/1/2029 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| **Tobacco — 0.3%** | **Tobacco — 0.3%** | **Tobacco — 0.3%** |
| &nbsp;&nbsp;&nbsp; Altria Group, Inc. 2.45%, 2/4/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 193 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 257 |
| **Trading Companies & Distributors — 0.5%** | **Trading Companies & Distributors — 0.5%** | **Trading Companies & Distributors — 0.5%** |
| &nbsp;&nbsp;&nbsp; Air Lease Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 9/15/2023 | &nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 12/1/2027 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC 3.88%, 5/1/2023 (b) | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 433 |
| **Wireless Telecommunication Services — 0.4%** | **Wireless Telecommunication Services — 0.4%** | **Wireless Telecommunication Services — 0.4%** |
| &nbsp;&nbsp;&nbsp; Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 (b) | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 4/15/2030 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/15/2031 | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $22,242)<br>|  | 19954 |
| **Collateralized Mortgage Obligations — 12.7%** | **Collateralized Mortgage Obligations — 12.7%** | **Collateralized Mortgage Obligations — 12.7%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | &nbsp;&nbsp;&nbsp; 387 | &nbsp;&nbsp;&nbsp;&nbsp; 381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 2.72%, 6/20/2034 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 1A4, 5.50%, 6/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class 2A1, 3.45%, 11/25/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Mortgage Securities VII, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |

---

------

**JPMorgan Intermediate Bond Trust** <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; FHLMC - GNMA Series 24, Class ZE, 6.25%, 11/25/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1470, Class F, 2.03%, 2/15/2023 (d) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2568, Class KG, 5.50%, 2/15/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1466, Class PZ, 7.50%, 2/15/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1491, Class I, 7.50%, 4/15/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1518, Class G, IF, 4.68%, 5/15/2023 (d) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1798, Class F, 5.00%, 5/15/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1541, Class O, 3.13%, 7/15/2023 (d) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1608, Class L, 6.50%, 9/15/2023 | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1602, Class SA, IF, 11.66%, 10/15/2023 (d) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2283, Class K, 6.50%, 12/15/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1671, Class L, 7.00%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1706, Class K, 7.00%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2033, Class SN, HB, IF, 25.62%, 3/15/2024 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1720, Class PL, 7.50%, 4/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2306, Class K, PO, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2306, Class SE, IF, IO, 6.48%, 5/15/2024 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1745, Class D, 7.50%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1927, Class PH, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1981, Class Z, 6.00%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1987, Class PE, 7.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2038, Class PN, IO, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2063, Class PG, 6.50%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2064, Class TE, 7.00%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PM, 6.25%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PH, 6.50%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2169, Class TB, 7.00%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2172, Class QC, 7.00%, 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2196, Class TL, 7.50%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2201, Class C, 8.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2351, Class PZ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.78%, 2/15/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class OE, 6.38%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class NG, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2412, Class SP, IF, 8.35%, 2/15/2032 (d) | 17 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 4.08%, 3/15/2032 (d) | 12 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 4.13%, 3/15/2032 (d) | 5 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | 11 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2435, Class CJ, 6.50%, 4/15/2032 | 45 | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2441, Class GF, 6.50%, 4/15/2032 | 12 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2455, Class GK, 6.50%, 5/15/2032 | 18 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | 20 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class DH, 6.50%, 6/15/2032 | 16 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2474, Class NR, 6.50%, 7/15/2032 | 17 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2484, Class LZ, 6.50%, 7/15/2032 | 24 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class MC, 6.00%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2543, Class YX, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2575, Class ME, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class WI, IO, 6.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class SL, IF, 10.29%, 6/15/2034 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class UZ, 5.75%, 6/15/2035 | &nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class OH, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3152, Class MO, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class AO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3137, Class XP, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3819, Class ZQ, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3202, Class HI, IF, IO, 2.78%, 8/15/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.83%, 10/15/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3417, Class EO, PO, 11/15/2036 | &nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3316, Class JO, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class OP, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.98%, 8/15/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4096, Class HA, 2.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | &nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-41, Class 3A, 4.42%, 7/25/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.02%, 10/25/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-56, Class A5, 5.23%, 5/25/2043 | &nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.24%, 3/25/2045 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-5, Class Z, 6.50%, 2/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-37, Class PX, 7.00%, 3/25/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-25, Class J, 7.50%, 3/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-4, Class C, PO, 4/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-43, Class EA, PO, 4/25/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-54, Class Z, 7.00%, 4/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-62, Class SA, IF, 9.36%, 4/25/2023 (d) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-122, Class M, 6.50%, 7/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-14, Class SE, IF, IO, 6.63%, 8/25/2023 (d) | 2 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-165, Class SD, IF, 4.70%, 9/25/2023 (d) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-178, Class PK, 6.50%, 9/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-183, Class KA, 6.50%, 10/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-189, Class PL, 6.50%, 10/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-9, Class E, PO, 11/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-247, Class SA, IF, 9.80%, 12/25/2023 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G95-1, Class C, 8.80%, 1/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-121, Class DX, 5.50%, 1/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-20, IO, 1.84%, 3/25/2027 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-29, Class J, 7.50%, 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-39, Class PD, 7.50%, 5/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-47, Class HF, 4.42%, 5/25/2027 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-36, Class ZB, 6.00%, 7/18/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-2, Class ZE, 7.50%, 2/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class Z, 6.50%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 10.90%, 10/25/2031 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-74, Class SW, IF, 7.68%, 11/25/2031 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-81, Class LO, PO, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 12.14%, 2/25/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class PE, 6.50%, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-28, Class PK, 6.50%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SH, IF, 7.93%, 11/25/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22, Class UD, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class GE, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-47, Class PE, 5.75%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-64, Class SX, IF, 4.33%, 7/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-71, Class DS, IF, 2.44%, 8/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class TP, IF, 6.10%, 8/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.81%, 9/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.58%, 11/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | 14 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 5.50%, 1/25/2034 (d) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 8.48%, 4/25/2034 (d) | 14 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 5.46%, 5/25/2034 (d) | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 8.48%, 5/25/2034 (d) | 24 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-50, Class VZ, 5.50%, 7/25/2034 | 157 | 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-74, Class CS, IF, 8.98%, 5/25/2035 (d) | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-45, Class DC, IF, 9.58%, 6/25/2035 (d) | 23 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.69%, 7/25/2035 (d) | 15 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | 86 | 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-73, Class PS, IF, 6.66%, 8/25/2035 (d) | 38 | 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-106, Class US, IF, 9.84%, 11/25/2035 (d) | 24 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class OH, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FC, 4.31%, 7/25/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class GO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-124, Class HB, 3.27%, 11/25/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.42%, 3/25/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-81, Class GE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SB, IF, 9.29%, 8/25/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.52%, 9/25/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.44%, 10/25/2037 (d) | &nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 0.99%, 1/25/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 2.18%, 3/25/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 2.21%, 3/25/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-28, Class QS, IF, 8.65%, 4/25/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-46, Class HI, IO, 1.30%, 6/25/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-25, Class DC, 2.50%, 6/25/2039 | &nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-69, PO, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 3.32%, 12/25/2039 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-71, Class HJ, 5.50%, 7/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class NT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-128, PO, 12/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-65, Class PA, 2.50%, 5/25/2048 | &nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 15.08%, 7/25/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.21%, 10/25/2042 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.84%, 12/25/2042 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.24%, 10/25/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 218, Class 2, IO, 7.50%, 4/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 300, Class 1, PO, 9/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 329, Class 1, PO, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |

---

------

**JPMorgan Intermediate Bond Trust** <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; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class AP, PO, 6/16/2033 | 25 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 8.97%, 4/16/2034 (d) | 6 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-71, Class SB, IF, 10.12%, 9/20/2034 (d) | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 2.16%, 10/20/2034 (d) | 66 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class DP, IF, 7.07%, 6/17/2035 (d) | 11 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class KI, IF, IO, 2.36%, 9/20/2035 (d) | 116 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class ZK, 6.50%, 8/20/2036 | 203 | 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.76%, 10/20/2036 (d) | 13 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.92%, 4/16/2037 (d) | 53 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-27, Class SA, IF, IO, 2.26%, 5/20/2037 (d) | 66 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-45, Class QA, IF, IO, 2.70%, 7/20/2037 (d) | 55 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SB, IF, IO, 2.81%, 7/20/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class ES, IF, IO, 2.61%, 9/20/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 8.39%, 9/20/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SA, IF, IO, 2.59%, 11/20/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class US, IF, IO, 2.61%, 11/20/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class ST, IF, IO, 2.06%, 2/20/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-33, Class XS, IF, IO, 3.81%, 4/16/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 2.51%, 5/16/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 2.26%, 6/20/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-50, Class KB, 6.00%, 6/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.76%, 12/20/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 2.21%, 2/16/2039 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-31, Class TS, IF, IO, 2.36%, 3/20/2039 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-22, Class SA, IF, IO, 2.33%, 4/20/2039 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-92, Class ZC, 5.00%, 10/20/2039 | &nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-137, Class WA, 5.59%, 7/20/2040 (d) | &nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-105, Class B, 5.00%, 8/20/2040 | &nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CP, 7.00%, 10/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class WA, 4.46%, 4/20/2043 (d) | &nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FA, 3.59%, 3/20/2060 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 3.44%, 8/20/2060 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H21, Class DF, 3.79%, 5/20/2061 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class MA, 3.69%, 7/20/2062 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 3.66%, 10/20/2062 (d) | &nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H15, Class FA, 3.64%, 7/20/2064 (d) | &nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp;&nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FJ, 3.58%, 6/20/2065 (d) | &nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H18, Class FA, 3.59%, 6/20/2065 (d) | &nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H20, Class FA, 3.61%, 8/20/2065 (d) | &nbsp;&nbsp;&nbsp; 372 | &nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H26, Class FG, 3.66%, 10/20/2065 (d) | &nbsp;&nbsp;&nbsp; 422 | &nbsp;&nbsp;&nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class 1A1, 2.92%, 10/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 4.19%, 11/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (d) | 6 | 6 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 4.03%, 4/21/2034 (d) | 20 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A2, 2.69%, 4/25/2034 (d) | 7 | 6 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class 1A1, 4.50%, 9/25/2019 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | 23 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | 49 | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 ‡ | 5 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 3A1, 5.50%, 12/25/2035 | 7 | 5 |
| &nbsp;&nbsp;&nbsp; Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b) | 4 | 2 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 4.66%, 10/25/2028 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A, Class A1, 4.50%, 4/25/2029 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A5, 7.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A1, 5.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A2, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; RALI Trust Series 2002-QS16, Class A3, IF, 8.22%, 10/25/2017 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class M60C, 3.50%, 5/25/2057 | &nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class M60C, 3.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2, Class M55D, 4.00%, 11/25/2057 | &nbsp;&nbsp;&nbsp; 176 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class MT, 3.50%, 7/25/2058 | &nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class M55D, 4.00%, 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class M55D, 4.00%, 2/25/2059 | &nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | &nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-1, Class ZB, 7.25%, 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-1, Class 1, 4.62%, 2/15/2024 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR5, Class A7, 3.21%, 6/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 3.10%, 6/25/2034 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp; Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $10,914)<br>|  | 10388 |
| **Asset-Backed Securities — 8.3%** | **Asset-Backed Securities — 8.3%** | **Asset-Backed Securities — 8.3%** |
| &nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp; American Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3, Class AA, 3.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B, 3.95%, 7/11/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |

---

------

**JPMorgan Intermediate Bond Trust** <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; American Credit Acceptance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 0.99%, 12/15/2025 (b) | 35 | 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A, 2.66%, 2/13/2026 (b) | 39 | 39 |
| &nbsp;&nbsp;&nbsp; AmeriCredit Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 0.66%, 12/18/2024 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A3, 0.37%, 8/18/2025 | 57 | 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class B, 0.76%, 12/18/2025 | 75 | 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 0.69%, 1/19/2027 | 55 | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 4.38%, 4/18/2028 | 31 | 30 |
| &nbsp;&nbsp;&nbsp; AMSR Trust Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b) | 100 | 89 |
| &nbsp;&nbsp;&nbsp; Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b) | 97 | 92 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) | 100 | 92 |
| &nbsp;&nbsp;&nbsp; BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp; British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp; CarMax Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class A3, 1.89%, 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class A3, 0.62%, 3/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A3, 0.34%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 3.49%, 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-P3, Class A3, 0.70%, 11/10/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-P3, Class A3, 4.61%, 11/10/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-P4, Class A4, 1.64%, 12/10/2027 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp; CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 0.81%, 12/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 4.88%, 4/15/2030 (b) | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust Series 2021-2A, Class A, 0.96%, 2/15/2030 (b) | &nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 239 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class B, 0.91%, 12/16/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 0.62%, 9/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 1.58%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 2.88%, 6/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class C, 0.87%, 5/17/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class D, 1.99%, 9/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A2, 1.15%, 6/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 0.57%, 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A3, 4.21%, 1/15/2026 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class B, 1.05%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5A, Class B, 5.97%, 3/15/2027 | &nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 4.56%, 7/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4A, Class C, 4.92%, 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp; First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |

---

------

**JPMorgan Intermediate Bond Trust** <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; Flagship Credit Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class A, 0.53%, 4/15/2025 (b) | 7 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4, Class C, 2.77%, 12/15/2025 (b) | 105 | 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 0.81%, 7/17/2026 (b) | 64 | 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 1.79%, 10/15/2026 (b) | 115 | 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 4.03%, 12/15/2026 (b) | 200 | 194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 0.36%, 7/15/2027 (b) | 62 | 60 |
| &nbsp;&nbsp;&nbsp; Ford Credit Auto Lease Trust Series 2021-A, Class A3, 0.26%, 2/15/2024 | 22 | 22 |
| &nbsp;&nbsp;&nbsp; FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b) | 156 | 134 |
| &nbsp;&nbsp;&nbsp; GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (d) | 10 | 8 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A, 0.84%, 7/15/2025 (b) | 56 | 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 0.77%, 9/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class C, 1.11%, 9/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; GM Financial Automobile Leasing Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A4, 0.33%, 2/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 3.42%, 6/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp; GM Financial Consumer Automobile Receivables Trust Series 2021-1, Class A3, 0.35%, 10/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp; Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp; Honda Auto Receivables Owner Trust Series 2019-4, Class A3, 1.83%, 1/18/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; Hyundai Auto Lease Securitization Trust Series 2020-B, Class A3, 0.51%, 9/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp; Mercedes-Benz Auto Lease Trust Series 2021-A, Class A3, 0.25%, 1/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; MVW LLC Series 2021-2A, Class A, 1.43%, 5/20/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 ‡ (b) | &nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class A, 3.20%, 4/17/2039 (b) | &nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp; Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A2, 1.36%, 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class B, 0.60%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class C, 1.01%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class C, 0.90%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class A3, 3.40%, 12/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class A3, 4.14%, 2/16/2027 | &nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class B, 4.43%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (b) | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp; Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; Toyota Auto Receivables Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class A3, 1.66%, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A3, 0.26%, 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class A4, 0.57%, 10/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class AA, 2.88%, 10/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |

---

------

**JPMorgan Intermediate Bond Trust** <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 2018-1, Class A, 3.70%, 3/1/2030 | 101 | 81 |
| &nbsp;&nbsp;&nbsp; United Auto Credit Securitization Trust Series 2021-1, Class C, 0.84%, 6/10/2026 (b) | 55 | 55 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (b) | 12 | 12 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b) | 79 | 77 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (e) | 49 | 43 |
| &nbsp;&nbsp;&nbsp; VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 ‡ (b) (e) | 73 | 67 |
| &nbsp;&nbsp;&nbsp; VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (b) (e) | 69 | 62 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e) | 93 | 83 |
| &nbsp;&nbsp;&nbsp; VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (e) | 70 | 62 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e) | 97 | 87 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e) | 105 | 94 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class B, 0.78%, 11/17/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A3, 5.49%, 7/15/2026 (b) | &nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp; World Omni Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A3, 0.30%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.25%, 7/15/2027 | &nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp; World Omni Automobile Lease Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A3, 0.42%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B, Class A4, 0.52%, 2/17/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp; World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $7,193)<br>|  | &nbsp;&nbsp; 6806 |
| **Mortgage-Backed Securities — 8.1%** | **Mortgage-Backed Securities — 8.1%** | **Mortgage-Backed Securities — 8.1%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785618, ARM, 3.88%, 7/1/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 611141, ARM, 2.33%, 1/1/2027 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2557, ARM, 3.35%, 6/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1085, ARM, 3.97%, 8/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B7242, ARM, 3.57%, 9/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0105, ARM, 4.03%, 9/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0737, ARM, 3.74%, 11/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1511, ARM, 4.42%, 1/1/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 4.02%, 3/1/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 2.61%, 4/1/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G00245, 8.00%, 8/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00376, 8.00%, 11/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00414, 7.50%, 8/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C00452, 7.00%, 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G00981, 8.50%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A17537, 6.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G02682, 7.00%, 2/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Q58054, 4.50%, 11/1/2046 | &nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # WN1157, 1.80%, 11/1/2028 | &nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 346 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80336, 3.50%, 5/1/2033 | 263 | 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90690, 3.50%, 6/1/2042 | 89 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | 83 | 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U91427, 3.50%, 5/1/2043 | 316 | 297 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 2.80%, 9/1/2027 (d) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 3.97%, 3/1/2029 (d) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745446, ARM, 3.18%, 4/1/2033 (d) | 17 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 4.06%, 9/1/2033 (d) | 29 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 743546, ARM, 3.73%, 11/1/2033 (d) | 31 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735332, ARM, 3.63%, 8/1/2034 (d) | 21 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790964, ARM, 3.90%, 9/1/2034 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 4.32%, 10/1/2034 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816361, ARM, 3.19%, 1/1/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 4.11%, 1/1/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816597, ARM, 2.05%, 2/1/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816594, ARM, 3.79%, 2/1/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 3.28%, 4/1/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 3.90%, 9/1/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 843026, ARM, 3.94%, 9/1/2035 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920340, ARM, 4.25%, 2/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 4.02%, 8/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 893424, ARM, 3.83%, 9/1/2036 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 915645, ARM, 3.26%, 2/1/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 913984, ARM, 3.71%, 2/1/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 887094, ARM, 3.61%, 7/1/2046 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 250066, 8.00%, 5/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 250103, 8.50%, 7/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303031, 7.50%, 10/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 308499, 8.50%, 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 313687, 7.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755973, 8.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995409, 8.00%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 721535, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 713700, 4.50%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725027, 5.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AA0922, 6.00%, 9/1/2036 | 29 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 986648, 6.00%, 9/1/2037 | 16 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD9151, 5.00%, 8/1/2040 | 63 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3375, 4.00%, 1/1/2048 | 130 | 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8753, 4.50%, 6/1/2049 | 98 | 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP6363, 3.00%, 4/1/2050 | 297 | 265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2637, 2.50%, 1/1/2052 | 74 | 64 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | 4 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752786, 6.00%, 9/1/2033 | 7 | 7 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8317, 2.96%, 3/1/2025 | 173 | 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN2309, 2.21%, 7/1/2026 | &nbsp;&nbsp;&nbsp; 439 | &nbsp;&nbsp;&nbsp;&nbsp; 407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7515, 3.34%, 2/1/2027 | &nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1040, 3.81%, 12/1/2028 | &nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL0907, 3.88%, 12/1/2028 | &nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM6892, 3.76%, 9/1/2029 | &nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4162, 3.12%, 10/1/2029 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4333, 2.52%, 11/1/2029 | &nbsp;&nbsp;&nbsp; 386 | &nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4030, 1.96%, 1/1/2032 | &nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5117, 2.58%, 3/1/2032 | &nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888408, 6.00%, 3/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257172, 5.50%, 4/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 363030, 7.00%, 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 352022, 7.00%, 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 366706, 6.50%, 1/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 371281, 7.00%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 780965, 9.50%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 442119, 7.50%, 11/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 411829, 7.50%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468149, 8.00%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468236, 6.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486537, 7.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 466406, 6.00%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781614, 7.00%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782615, 7.00%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782025, 6.50%, 12/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 681638, 6.00%, 12/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1974, 8.50%, 3/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1989, 8.50%, 4/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2006, 8.50%, 5/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2141, 8.00%, 12/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2234, 8.00%, 6/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2270, 8.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2324, 8.00%, 11/20/2026 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2512, 8.00%, 11/20/2027 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2549, 7.50%, 2/20/2028 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2562, 6.00%, 3/20/2028 | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2633, 8.00%, 8/20/2028 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | 35 | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BA7567, 4.50%, 5/20/2048 | 66 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BI0416, 4.50%, 11/20/2048 | 99 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9692, 4.50%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ3224, 4.50%, 9/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 323 | &nbsp;&nbsp;&nbsp;&nbsp; 321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7534, 2.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7649, 2.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 288 | &nbsp;&nbsp;&nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $7,041)<br>|  | &nbsp;&nbsp; 6640 |
| **Commercial Mortgage-Backed Securities — 7.5%** | **Commercial Mortgage-Backed Securities — 7.5%** | **Commercial Mortgage-Backed Securities — 7.5%** |
| &nbsp;&nbsp;&nbsp; 20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (b) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp; BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KSMC, Class A2, 2.62%, 1/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KLU2, Class A7, 2.23%, 9/25/2025 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp; 199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K737, Class AM, 2.10%, 10/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K069, Class A2, 3.19%, 9/25/2027 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K081, Class A1, 3.88%, 2/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K083, Class A2, 4.05%, 9/25/2028 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 297 | &nbsp;&nbsp;&nbsp;&nbsp; 292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K088, Class A2, 3.69%, 1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-151, Class A2, 3.80%, 10/25/2032 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M2, Class A2, 3.51%, 12/25/2023 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M13, Class A2, 3.02%, 8/25/2024 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 322 | &nbsp;&nbsp;&nbsp;&nbsp; 312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M7, Class A2, 2.59%, 12/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 543 | &nbsp;&nbsp;&nbsp;&nbsp; 519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M2, Class A2, 3.00%, 1/25/2028 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 477 | &nbsp;&nbsp;&nbsp;&nbsp; 448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A1, 0.67%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 265 | &nbsp;&nbsp;&nbsp;&nbsp; 245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (d) | 2587 | &nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M11, Class A2, 1.51%, 3/25/2031 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 2.06%, 11/25/2033 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp; UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $6,525)<br>|  | &nbsp;&nbsp; 6128 |
| **Foreign Government Securities — 0.2%** | **Foreign Government Securities — 0.2%** | **Foreign Government Securities — 0.2%** |
| &nbsp;&nbsp;&nbsp; United Mexican States 2.66%, 5/24/2031(Cost $199) | 200 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| **U.S. Government Agency Securities — 0.1%** | **U.S. Government Agency Securities — 0.1%** | **U.S. Government Agency Securities — 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Resolution Funding Corp. STRIPS <br>DN ,3.30%, 1/15/2026 (a)(Cost $55)<br>| 60 | 53 |
|  | **SHARES** <br>**(000)**<br>|  |
| **Short-Term Investments — 1.5%** | **Short-Term Investments — 1.5%** | **Short-Term Investments — 1.5%** |
| **Investment Companies — 1.5%** | **Investment Companies — 1.5%** | **Investment Companies — 1.5%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (f) (g) <br>(Cost $1,228)<br>| 1228 | 1229 |
| **Total Investments — 99.8%** <br>**(Cost $87,230)**<br>|  | **81589** |
| **Other Assets Less Liabilities — 0.2%** |  | **177** |
| **NET ASSETS — 100.0%** |  | **81766** |

---

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

---

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

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2022. |
| DN | Discount Notes |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| HB | High Coupon Bonds (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar features as those <br> associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rates result from taking <br> interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.<br>|
| ICE | Intercontinental Exchange |
| IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest <br> rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the <br> rate in effect as of November 30, 2022. The rate may be subject to a cap and floor.<br>|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| LIBOR | London Interbank Offered Rate |
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|
| REMIC | Real Estate Mortgage Investment Conduit |
| SOFR | Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal <br> components of eligible notes and bonds as separate securities.<br>|

---

------

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

UMBS Uniform Mortgage-Backed Securities <br> USD United States Dollar

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | The rate shown is the effective yield as of November 30, 2022.  |
| (b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2022. |
| (d) | 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>|
| (e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a <br> predetermined trigger. The interest rate shown is the current rate as of November 30, 2022. <br>|
| (f) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan <br> Investment Management Inc.<br>|
| (g) | The rate shown is the current yield as of November 30, 2022. |

---

------

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

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

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

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

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

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

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

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

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

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

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

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

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

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

------

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | $— | $6482 | $324 | $6806 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 10363 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp; 10388 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 6128 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 6128 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 19954 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 19954 |
| Foreign Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 6640 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 6640 |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 30225 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; 30225 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 1229 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1229 |
| **Total Investments in Securities**  | $1229 | $80011 | $349 | $81589 |

---

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>| **Balance as of** <br>**November 30,** <br>**2022**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $124 | $— | $(32) | $—(a) | $98 | $(17) | $151 | $— | $324 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 496 | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5) | &nbsp;&nbsp; —(a) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; (6) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; (461) | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| **Total** | $620 | $— | $(37) | $—(a) | $99 | $(23) | $151 | $(461) | $349 |

---

&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) 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 $(37).

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.

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2022**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**November 30,** <br>**2022**<br>| **Shares at** <br>**November 30,** <br>**2022**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund <br> Class Institutional Shares, 3.94% (a) (b)<br>| $1357 | $15869 | $15997 | $—(c) | $—(c) | $1229 | 1228 | $21 | $— |

---

&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.

------

**JPMorgan Intermediate Bond Trust** <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;

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

------

## 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 Institutional Trust

- **b. Investment Company Act file number:** 811-21638

- **c. CIK number of Registrant:** 0001303608

- **d. LEI of Registrant:** 5493005FRK56SHN6MJ34

- **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 Intermediate Bond Trust

- **b. EDGAR series identifier (if any):** S000007336

- **c. LEI of Series:** 5493001V1VDT1J53V683

**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:** $81827741.65

**Total Liabilities:** $62042.20

**Net Assets:** $81765699.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 59.28650000 | **1-Year:** 2748.56560000 | **5-Year:** 10957.78540000 | **10-Year:** 4532.03360000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00000000 | **1-Year:** 62.11614000 | **5-Year:** 96.75278000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020140 | -2.45%               | -0.70%               | 2.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6379.48                | $-2204212.12                               |
| Month 2  | $-525.42                 | $-636680.78                                |
| Month 3  | $-403041.58              | $1871572.07                                |

**Designated Index Information**

- **Index Name:** Intermediate U.S. Government/Credit

- **Index Identifier:** 4TRUSD0

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WRKCo, Inc.                                                      | WRKCo, Inc.                                                                                | CUSIP: 96145DAB1<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76515.77     | 0.09%             | 2024-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2008-93, Class AS                                                             | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38857 | PA      | $1893.23      | 0.00%             | 2038-12-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140KEB98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    297336 | PA      | $265017.28    | 0.32%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-45, Class QA                                                             | CUSIP: 38375KW24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54777 | PA      | $2717.47      | 0.00%             | 2037-07-20      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                | Wells Fargo & Co.                                                                          | CUSIP: 94974BFY1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20422.05     | 0.02%             | 2026-06-03      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31401XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35504 | PA      | $36406.18     | 0.04%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1491, Class I                                                         | CUSIP: 312915QG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       238 | PA      | $237.82       | 0.00%             | 2023-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-91, Class SD                                                      | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3846 | PA      | $3756.85      | 0.00%             | 2033-09-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                       | Flagship Credit Auto Trust, Series 2020-4, Class A                                         | CUSIP: 33845XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7452 | PA      | $7439.96      | 0.01%             | 2025-04-15      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| Corporate Office Properties LP                                   | Corporate Office Properties LP                                                             | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |     26000 | PA      | $20121.79     | 0.02%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                            | GM Financial Automobile Leasing Trust, Series 2021-1, Class A4                             | CUSIP: 36261RAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78000 | PA      | $76207.23     | 0.09%             | 2025-02-20      | Fixed         | 0.33%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                     | Biogen, Inc.                                                                               | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     40000 | PA      | $32998.27     | 0.04%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                                     | Humana, Inc.                                                                               | CUSIP: 444859BF8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48208.17     | 0.06%             | 2027-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    350000 | PA      | $290528.25    | 0.36%             | 2031-01-29      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1206000 | PA      | $1143791.06   | 1.40%             | 2024-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                       | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53609 | PA      | $41730.50     | 0.05%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2013-25, Class DC                                                      | CUSIP: 3136ACKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140783 | PA      | $133034.30    | 0.16%             | 2039-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines Pass-Through Trust                               | Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA                                | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34675 | PA      | $29979.24     | 0.04%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Xilinx, Inc.                                                     | Xilinx, Inc.                                                                               | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42531.62     | 0.05%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Hasbro, Inc.                                                     | Hasbro, Inc.                                                                               | CUSIP: 418056AZ0<br>LEI: 549300NUB6D2R1ITYR45 | Long             | DBT              | CORP              | US        |     75000 | PA      | $67640.08     | 0.08%             | 2029-11-19      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2450, Class SW                                                        | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4787 | PA      | $510.01       | 0.00%             | 2032-03-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                    | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                  | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     93460 | PA      | $82712.79     | 0.10%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                 | JPMorgan Prime Money Market Fund, Class Institutional                                      | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |   1228181 | NS      | $1228549.93   | 1.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Extra Space Storage LP                                           | Extra Space Storage LP                                                                     | CUSIP: 30225VAG2<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    100000 | PA      | $76062.21     | 0.09%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A5             | CUSIP: 31393RGG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    378433 | PA      | $369124.71    | 0.45%             | 2043-05-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                           | Norfolk Southern Corp.                                                                     | CUSIP: 655844CE6<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    150000 | PA      | $129690.62    | 0.16%             | 2029-11-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| AvalonBay Communities, Inc.                                      | AvalonBay Communities, Inc.                                                                | CUSIP: 05348EBH1<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83130.64     | 0.10%             | 2031-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FRTKL                                                            | FRTKL, Series 2021-SFR1, Class A                                                           | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    156000 | PA      | $133926.08    | 0.16%             | 2038-09-17      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $171360.77    | 0.21%             | 2027-05-24      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3611                                                                  | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10885 | PA      | $9250.73      | 0.01%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-46, Class SK                                                      | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10028 | PA      | $9701.17      | 0.01%             | 2034-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, STRIPS, Series 329, Class 1                                                          | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2196 | PA      | $1872.41      | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-53, Class ES                                                             | CUSIP: 38375LFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14210 | PA      | $580.32       | 0.00%             | 2037-09-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                     | Flex Intermediate Holdco LLC                                                               | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    114000 | PA      | $90969.99     | 0.11%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2008-55, Class SA                                                             | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34375 | PA      | $1210.63      | 0.00%             | 2038-06-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                                  | Principal Financial Group, Inc.                                                            | CUSIP: 74251VAM4<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    150000 | PA      | $139839.79    | 0.17%             | 2026-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                            | United Mexican States                                                                      | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $165900.00    | 0.20%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2015-H26, Class FG                                                            | CUSIP: 38376RKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    422020 | PA      | $415213.33    | 0.51%             | 2065-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31412BPZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19313 | PA      | $18887.67     | 0.02%             | 2036-02-01      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1996-14, Class SE                                                      | CUSIP: 31359KAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1697 | PA      | $26.41        | 0.00%             | 2023-08-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                    | Duquesne Light Holdings, Inc.                                                              | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     51000 | PA      | $40333.92     | 0.05%             | 2030-10-01      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Atmos Energy Corp.                                               | Atmos Energy Corp.                                                                         | CUSIP: 049560AR6<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     42000 | PA      | $36707.16     | 0.04%             | 2029-09-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fox Corp.                                                        | Fox Corp.                                                                                  | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |     35000 | PA      | $33824.20     | 0.04%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-17, Class JI                                                             | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52624 | PA      | $4755.34      | 0.01%             | 2037-04-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-56, Class S                                                       | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14992 | PA      | $1284.20      | 0.00%             | 2035-07-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                     | Leidos, Inc.                                                                               | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    100000 | PA      | $77430.39     | 0.09%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                   | Alimentation Couche-Tard, Inc.                                                             | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     50000 | PA      | $46121.59     | 0.06%             | 2027-07-26      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2466, Class DH                                                        | CUSIP: 31392MM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16387 | PA      | $17142.76     | 0.02%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VOLT CI LLC                                                      | VOLT CI LLC, Series 2021-NP10, Class A1                                                    | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73156 | PA      | $67027.63     | 0.08%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  3 | On Loan: No      |
| VMware, Inc.                                                     | VMware, Inc.                                                                               | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12382.73     | 0.02%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                        | CSX Corp.                                                                                  | CUSIP: 126408HH9<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    162000 | PA      | $152767.07    | 0.19%             | 2027-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-183, Class KA                                                     | CUSIP: 31359EHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6765 | PA      | $6773.62      | 0.01%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                              | Triton Container International Ltd.                                                        | CUSIP: 89681LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     51000 | PA      | $39646.13     | 0.05%             | 2032-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                      | Capital One Financial Corp.                                                                | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     42000 | PA      | $40859.04     | 0.05%             | 2025-05-09      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                               | PG&E Wildfire Recovery Funding LLC, Series A-2                                             | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     83000 | PA      | $77603.48     | 0.09%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 29273RAY5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     61000 | PA      | $60625.58     | 0.07%             | 2024-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                          | Entergy Mississippi LLC                                                                    | CUSIP: 29364NAT5<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    186000 | PA      | $165829.07    | 0.20%             | 2028-06-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                        | Fells Point Funding Trust                                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $182073.29    | 0.22%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                         | AmeriCredit Automobile Receivables Trust, Series 2021-1, Class A3                          | CUSIP: 03063FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56516 | PA      | $55426.32     | 0.07%             | 2025-08-18      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128QSZW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26018 | PA      | $26312.87     | 0.03%             | 2036-06-01      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-116, Class HI                                                     | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20074 | PA      | $597.19       | 0.00%             | 2038-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2013-101, Class DO                                                     | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125555 | PA      | $93274.26     | 0.11%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                             | Otis Worldwide Corp.                                                                       | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |     44000 | PA      | $37494.17     | 0.05%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Invesco Finance plc                                              | Invesco Finance plc                                                                        | CUSIP: 46132FAD2<br>LEI: 549300OYQ3LAJYXXO449 | Long             | DBT              | CORP              | GB        |    125000 | PA      | $120216.25    | 0.15%             | 2026-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K737, Class AM            | CUSIP: 3137FQXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305000 | PA      | $278672.10    | 0.34%             | 2026-10-25      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                     | Drive Auto Receivables Trust, Series 2021-3, Class B                                       | CUSIP: 262081AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28000 | PA      | $27012.43     | 0.03%             | 2026-05-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, 30 Year                                                                              | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4442 | PA      | $4512.27      | 0.01%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                         | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122CP1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20595.36     | 0.03%             | 2029-07-26      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Campbell Soup Co.                                                | Campbell Soup Co.                                                                          | CUSIP: 134429BJ7<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     74000 | PA      | $61844.89     | 0.08%             | 2030-04-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| RPM International, Inc.                                          | RPM International, Inc.                                                                    | CUSIP: 749685AY9<br>LEI: 549300TJCKW4BRXPJ474 | Long             | DBT              | CORP              | US        |     17000 | PA      | $13514.78     | 0.02%             | 2032-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2444, Class ES                                                        | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11969 | PA      | $1165.36      | 0.00%             | 2032-03-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3607, Class AO                                                        | CUSIP: 31398LQK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16443 | PA      | $13524.59     | 0.02%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1994-9, Class E                                                        | CUSIP: 31359F6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $14.59        | 0.00%             | 2023-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2201, Class C                                                         | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4697 | PA      | $4894.46      | 0.01%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                           | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4                           | CUSIP: 90269CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19 | PA      | $19.24        | 0.00%             | 2063-05-10      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| 20 Times Square Trust                                            | 20 Times Square Trust, Series 2018-20TS, Class A                                           | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $140968.59    | 0.17%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                                   | Home Partners of America Trust, Series 2022-1, Class D                                     | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97180 | PA      | $88565.35     | 0.11%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13264 | PA      | $13278.02     | 0.02%             | 2038-04-01      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2063, Class PG                                                        | CUSIP: 3133TEB78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15137 | PA      | $15524.96     | 0.02%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-39                                                                | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2278 | PA      | $340.66       | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128QHVC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12883 | PA      | $12761.40     | 0.02%             | 2037-01-01      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-130, Class SX                                                     | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1019 | PA      | $1007.83      | 0.00%             | 2034-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-92, Class ZC                                                             | CUSIP: 38376CR35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237433 | PA      | $238489.92    | 0.29%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                   | Office Properties Income Trust                                                             | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     29000 | PA      | $18568.88     | 0.02%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3122, Class OH                                                        | CUSIP: 31396JLG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19650 | PA      | $16855.74     | 0.02%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-36, Class DE                                                      | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17475 | PA      | $18368.32     | 0.02%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                              | Toyota Auto Receivables Owner Trust, Series 2021-A, Class A3                               | CUSIP: 89240BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96648 | PA      | $93975.84     | 0.11%             | 2025-05-15      | Fixed         | 0.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                   | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3572 | PA      | $4258.58      | 0.01%             | 2037-07-25      | Floating      | 15.08%                | No            |                  2 | On Loan: No      |
| Steel Dynamics, Inc.                                             | Steel Dynamics, Inc.                                                                       | CUSIP: 858119BN9<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |     33000 | PA      | $27697.07     | 0.03%             | 2027-10-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Auto Lease Trust                                   | Mercedes-Benz Auto Lease Trust, Series 2021-A, Class A3                                    | CUSIP: 58770GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30720 | PA      | $30362.36     | 0.04%             | 2024-01-16      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2500000 | PA      | $2128320.30   | 2.60%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                   | Element Fleet Management Corp.                                                             | CUSIP: 286181AF9<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $9453.27      | 0.01%             | 2024-04-06      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XAD2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     38000 | PA      | $37944.41     | 0.05%             | 2024-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                 | Ventas Realty LP                                                                           | CUSIP: 92277GAE7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25905.27     | 0.03%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1745, Class D                                                         | CUSIP: 3133T54P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1705 | PA      | $1721.16      | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       741 | PA      | $740.50       | 0.00%             | 2029-03-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CFP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       130 | PA      | $129.59       | 0.00%             | 2025-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     90000 | PA      | $81657.99     | 0.10%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding                                                  | US Auto Funding, Series 2021-1A, Class A                                                   | CUSIP: 90355EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11879 | PA      | $11836.10     | 0.01%             | 2024-07-15      | Fixed         | 0.79%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600000 | PA      | $1444875.01   | 1.77%             | 2025-07-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                        | PG&E Recovery Funding LLC, Series A-1                                                      | CUSIP: 71710TAD0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     74000 | PA      | $74136.13     | 0.09%             | 2032-07-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                             | Boston Properties LP                                                                       | CUSIP: 10112RAZ7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    152000 | PA      | $145782.55    | 0.18%             | 2025-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2008-33, Class XS                                                             | CUSIP: 38375QFE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19654 | PA      | $1292.02      | 0.00%             | 2038-04-16      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                     | UBS Group AG                                                                               | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    200000 | PA      | $156036.60    | 0.19%             | 2033-02-11      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| Mid-America Apartments LP                                        | Mid-America Apartments LP                                                                  | CUSIP: 59523UAS6<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |     36000 | PA      | $28138.20     | 0.03%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-7, Class 30PO                                    | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4857 | PA      | $3563.49      | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Healthpeak Properties, Inc.                                      | Healthpeak Properties, Inc.                                                                | CUSIP: 42250PAD5<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     28000 | PA      | $23597.48     | 0.03%             | 2028-12-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-151, Class A2           | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $285850.32    | 0.35%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                             | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70254 | PA      | $72055.11     | 0.09%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2012-H29, Class FA                                                            | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    164583 | PA      | $163208.33    | 0.20%             | 2062-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp., Series N                                                            | CUSIP: 06051GJP5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    250000 | PA      | $202808.04    | 0.25%             | 2032-03-11      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3149, Class SO                                                        | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4045 | PA      | $3203.27      | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                            | Quanta Services, Inc.                                                                      | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     69000 | PA      | $53121.08     | 0.06%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                          | APA Infrastructure Ltd.                                                                    | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    100000 | PA      | $93755.56     | 0.11%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                | GLS Auto Receivables Issuer Trust, Series 2021-3A, Class C                                 | CUSIP: 36263LAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66000 | PA      | $61593.08     | 0.08%             | 2026-09-15      | Fixed         | 1.11%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2296, Class PD                                                        | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5701 | PA      | $5998.45      | 0.01%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                          | CarMax Auto Owner Trust, Series 2020-3, Class A3                                           | CUSIP: 14315FAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36470 | PA      | $35828.61     | 0.04%             | 2025-03-17      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4686718.75   | 5.73%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1541, Class O                                                         | CUSIP: 3133T0BX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       378 | PA      | $376.99       | 0.00%             | 2023-07-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833QB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    140000 | PA      | $115590.21    | 0.14%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1625 | PA      | $1642.19      | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2033, Class SN                                                        | CUSIP: 3133TCX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       252 | PA      | $12.97        | 0.00%             | 2024-03-15      | Floating      | 25.62%                | No            |                  2 | On Loan: No      |
| LYB International Finance III LLC                                | LYB International Finance III LLC                                                          | CUSIP: 50249AAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $59770.05     | 0.07%             | 2030-10-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GEU9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89850.45     | 0.11%             | 2023-01-11      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-14, Class NI                                                             | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16643 | PA      | $2484.16      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                  | Cameron LNG LLC                                                                            | CUSIP: 133434AA8<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     84000 | PA      | $71716.39     | 0.09%             | 2031-07-15      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2018-1, Class A                                 | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101139 | PA      | $81355.90     | 0.10%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                    | Healthcare Realty Holdings LP                                                              | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     29000 | PA      | $22027.78     | 0.03%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class APO            | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9539 | PA      | $6795.62      | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-178, Class PK                                                     | CUSIP: 31359D6L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       440 | PA      | $440.80       | 0.00%             | 2023-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Chevron USA, Inc.                                                | Chevron USA, Inc.                                                                          | CUSIP: 166756AR7<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97167.29     | 0.12%             | 2028-01-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     83000 | PA      | $82630.24     | 0.10%             | 2023-11-10      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27911.17     | 0.03%             | 2023-02-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                                   | Citizens Financial Group, Inc.                                                             | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37369.01     | 0.05%             | 2032-09-30      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                       | Microchip Technology, Inc.                                                                 | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     72000 | PA      | $68124.32     | 0.08%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-1, Class SA                                                       | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2050 | PA      | $2378.29      | 0.00%             | 2032-02-25      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1753437.50   | 2.14%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                    | Pioneer Natural Resources Co.                                                              | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     72000 | PA      | $57532.27     | 0.07%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $584085.94    | 0.71%             | 2023-06-30      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31405JWZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12868 | PA      | $12654.71     | 0.02%             | 2034-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2006-38, Class ZK                                                             | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202946 | PA      | $206276.21    | 0.25%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                 | S&P Global, Inc.                                                                           | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     44000 | PA      | $37914.32     | 0.05%             | 2032-03-01      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       277 | PA      | $283.37       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GYG3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    150000 | PA      | $129602.87    | 0.16%             | 2027-09-10      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31403DET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16914 | PA      | $17055.36     | 0.02%             | 2033-04-01      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833RY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     53000 | PA      | $43338.08     | 0.05%             | 2028-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series G95-1, Class C                                                         | CUSIP: 31359LMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1361 | PA      | $1391.30      | 0.00%             | 2025-01-25      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23089 | PA      | $24158.60     | 0.03%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617H9N97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98959 | PA      | $97681.99     | 0.12%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                          | CarMax Auto Owner Trust, Series 2022-2, Class A3                                           | CUSIP: 14317HAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76000 | PA      | $73876.64     | 0.09%             | 2027-02-16      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                 | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8276.48      | 0.01%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2021-M11, Class A2                                                       | CUSIP: 3136BF4D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117000 | PA      | $92315.76     | 0.11%             | 2031-03-25      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                     | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48729 | PA      | $45956.11     | 0.06%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36207UDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       557 | PA      | $557.13       | 0.00%             | 2026-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36209DEH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19453 | PA      | $20097.07     | 0.02%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                 | Ventas Realty LP                                                                           | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16435.88     | 0.02%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                       | Flagship Credit Auto Trust, Series 2022-2, Class A3                                        | CUSIP: 33844XAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $193529.70    | 0.24%             | 2026-12-15      | Fixed         | 4.03%                 | Yes           |                  2 | On Loan: No      |
| WP Carey, Inc.                                                   | WP Carey, Inc.                                                                             | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $73911.11     | 0.09%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2586, Class WI                                                        | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6812 | PA      | $1170.00      | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                | Wells Fargo & Co.                                                                          | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28973.49     | 0.04%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-45, Class DC                                                      | CUSIP: 31394DQ60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23204 | PA      | $22985.26     | 0.03%             | 2035-06-25      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K081, Class A1            | CUSIP: 3137FJEG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94646 | PA      | $93302.95     | 0.11%             | 2028-02-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                            | Global Payments, Inc.                                                                      | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     50000 | PA      | $42723.85     | 0.05%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3819, Class ZQ                                                        | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104579 | PA      | $109202.10    | 0.13%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables X LLC                         | Amur Equipment Finance Receivables X LLC, Series 2022-1A, Class A2                         | CUSIP: 03236VAB7<br>LEI: 549300K5Y88MV8B4M421 | Long             | ABS-O            | CORP              | US        |     97204 | PA      | $91902.59     | 0.11%             | 2027-10-20      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth Edison Co.                                          | Commonwealth Edison Co., Series 122                                                        | CUSIP: 202795JK7<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185407.16    | 0.23%             | 2027-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LEPQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $330506.03    | 0.40%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2500, Class MC                                                        | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23226 | PA      | $24018.94     | 0.03%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                         | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                        | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $183710.56    | 0.22%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2014-M2, Class A2                                                        | CUSIP: 3136AJDU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191016 | PA      | $187573.26    | 0.23%             | 2023-12-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                 | Ventas Realty LP                                                                           | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41667.08     | 0.05%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PE4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $83254.33     | 0.10%             | 2027-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gold Key Resorts LLC                                             | Gold Key Resorts LLC, Series 2014-A, Class A                                               | CUSIP: 38061LAA7<br>LEI: 549300MORAF4RGEXUA95 | Long             | ABS-O            | CORP              | US        |      3652 | PA      | $3577.23      | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| MPLX LP                                                          | MPLX LP                                                                                    | CUSIP: 55336VBN9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     27000 | PA      | $25756.21     | 0.03%             | 2027-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                            | MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 4A2                            | CUSIP: 576433KX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6866 | PA      | $5998.83      | 0.01%             | 2034-04-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31292GN77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       660 | PA      | $665.39       | 0.00%             | 2025-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                         | Bristol-Myers Squibb Co.                                                                   | CUSIP: 110122DQ8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79794.97     | 0.10%             | 2030-11-13      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XBR0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     72000 | PA      | $62649.00     | 0.08%             | 2026-09-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                           | CVS Pass-Through Trust                                                                     | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37173 | PA      | $36705.21     | 0.04%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                           | Smithfield Foods, Inc.                                                                     | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |     18000 | PA      | $13860.87     | 0.02%             | 2030-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4617 | PA      | $4773.65      | 0.01%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3316, Class JO                                                        | CUSIP: 31397HKD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2420 | PA      | $1854.10      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     70000 | PA      | $66821.60     | 0.08%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                            | NextEra Energy Capital Holdings, Inc.                                                      | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     89000 | PA      | $84382.71     | 0.10%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       578 | PA      | $591.06       | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1600000 | PA      | $1540437.50   | 1.88%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2064, Class TE                                                        | CUSIP: 3133TELZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2507 | PA      | $2612.35      | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-81, Class GE                                                      | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35159 | PA      | $35862.02     | 0.04%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5557 | PA      | $5719.36      | 0.01%             | 2028-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                   | Office Properties Income Trust                                                             | CUSIP: 67623CAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17000 | PA      | $12681.06     | 0.02%             | 2026-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2011-137, Class WA                                                            | CUSIP: 38377YX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113036 | PA      | $118550.26    | 0.14%             | 2040-07-20      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP                                      | Targa Resources Partners LP                                                                | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14000 | PA      | $12006.24     | 0.01%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1998-36, Class ZB                                                      | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1588 | PA      | $1617.14      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3202, Class HI                                                        | CUSIP: 31397ABD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86665 | PA      | $8068.67      | 0.01%             | 2036-08-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2000-2, Class ZE                                                       | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16064 | PA      | $16903.47     | 0.02%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                              | Fifth Third Bancorp                                                                        | CUSIP: 316773CY4<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     64000 | PA      | $60420.41     | 0.07%             | 2025-01-28      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                       | CPS Auto Receivables Trust, Series 2021-B, Class B                                         | CUSIP: 12656QAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70964 | PA      | $70314.37     | 0.09%             | 2025-12-15      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31401N3H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12365 | PA      | $12302.14     | 0.02%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                      | Amgen, Inc.                                                                                | CUSIP: 031162DE7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     35000 | PA      | $31189.48     | 0.04%             | 2032-02-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Archer-Daniels-Midland Co.                                       | Archer-Daniels-Midland Co.                                                                 | CUSIP: 039482AB0<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |     53000 | PA      | $48285.17     | 0.06%             | 2030-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2256, Class MC                                                        | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8482 | PA      | $9013.58      | 0.01%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2210, Class Z                                                         | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18019 | PA      | $19290.58     | 0.02%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-88, Class VI                                                      | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47845 | PA      | $4634.12      | 0.01%             | 2037-09-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                       | Niagara Mohawk Power Corp.                                                                 | CUSIP: 65364UAK2<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     28000 | PA      | $26888.08     | 0.03%             | 2024-10-01      | Fixed         | 3.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       310 | PA      | $315.25       | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2009-103, Class MB                                                     | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25912 | PA      | $25930.87     | 0.03%             | 2039-12-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                         | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M                         | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9787 | PA      | $7970.20      | 0.01%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2014-M13, Class A2                                                       | CUSIP: 3136ALYF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322607 | PA      | $312152.31    | 0.38%             | 2024-08-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132H3XT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89186 | PA      | $84042.63     | 0.10%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 20 Year                                                                  | CUSIP: 3128P7CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2554 | PA      | $2586.57      | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2020-M50, Class A1                                                       | CUSIP: 3136BCGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265448 | PA      | $244710.07    | 0.30%             | 2030-10-25      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                            | GM Financial Automobile Leasing Trust, Series 2022-2, Class A3                             | CUSIP: 36266FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82000 | PA      | $79949.69     | 0.10%             | 2025-06-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2021-2, Class C                             | CUSIP: 80286XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74000 | PA      | $71969.05     | 0.09%             | 2026-06-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2021-M3, Class 1A1                                                       | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9426 | PA      | $8786.56      | 0.01%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 3128M4J38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11509 | PA      | $11999.89     | 0.01%             | 2037-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-68, Class PG                                                      | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86107 | PA      | $87227.12     | 0.11%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                   | Office Properties Income Trust                                                             | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     70000 | PA      | $50582.70     | 0.06%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22888 | PA      | $23318.47     | 0.03%             | 2035-09-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20669 | PA      | $20565.54     | 0.03%             | 2034-08-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    385999 | PA      | $345085.40    | 0.42%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-47, Class PE                                                      | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48085 | PA      | $49609.47     | 0.06%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-79, Class DO                                                      | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14728 | PA      | $12914.98     | 0.02%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31416BYE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60731 | PA      | $63401.52     | 0.08%             | 2032-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-50, Class VZ                                                      | CUSIP: 31394AJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157095 | PA      | $159538.72    | 0.20%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                      | Raytheon Technologies Corp.                                                                | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96908.05     | 0.12%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-56, Class TP                                                      | CUSIP: 31394D6U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14386 | PA      | $13807.41     | 0.02%             | 2033-08-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                       | AerCap Ireland Capital DAC                                                                 | CUSIP: 00774MAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $198202.83    | 0.24%             | 2023-07-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2306, Class SE                                                        | CUSIP: 3133TSK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1505 | PA      | $58.08        | 0.00%             | 2024-05-15      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29494 | PA      | $29074.10     | 0.04%             | 2035-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                            | Walt Disney Co. (The)                                                                      | CUSIP: 254687DF0<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |     50000 | PA      | $53888.32     | 0.07%             | 2025-10-30      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2022-2A, Class A                                               | CUSIP: 23345AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80760 | PA      | $79169.86     | 0.10%             | 2026-06-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3607, Class OP                                                        | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89457 | PA      | $72500.35     | 0.09%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31292GQD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       823 | PA      | $830.95       | 0.00%             | 2026-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2089, Class PJ                                                        | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3860 | PA      | $317.19       | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                    | Pioneer Natural Resources Co.                                                              | CUSIP: 723787AT4<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |     50000 | PA      | $44632.71     | 0.05%             | 2026-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                               | Altria Group, Inc.                                                                         | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     84000 | PA      | $63682.41     | 0.08%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                         | Bunge Ltd. Finance Corp.                                                                   | CUSIP: 120568BB5<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45520.08     | 0.06%             | 2025-08-17      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                 | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63460 | PA      | $49186.65     | 0.06%             | 2035-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 15 Year                                                                         | CUSIP: 31416BXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1148 | PA      | $1142.80      | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113851 | PA      | $100364.19    | 0.12%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                          | MVW LLC, Series 2021-2A, Class A                                                           | CUSIP: 55400KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84926 | PA      | $75003.47     | 0.09%             | 2039-05-20      | Fixed         | 1.43%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2410, Class QX                                                        | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5007 | PA      | $414.44       | 0.00%             | 2032-02-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                 | Amazon.com, Inc.                                                                           | CUSIP: 023135CH7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93183.70     | 0.11%             | 2032-04-13      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                            | Gray Oak Pipeline LLC                                                                      | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $36289.92     | 0.04%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2259, Class ZM                                                        | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9825 | PA      | $10354.56     | 0.01%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36203LAX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       106 | PA      | $106.58       | 0.00%             | 2023-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BA Credit Card Trust                                             | BA Credit Card Trust, Series 2020-A1, Class A1                                             | CUSIP: 05522RDC9<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |     88000 | PA      | $83833.70     | 0.10%             | 2026-05-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                              | Triton Container International Ltd.                                                        | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |    110000 | PA      | $94919.00     | 0.12%             | 2026-04-15      | Fixed         | 2.05%                 | Yes           |                  2 | On Loan: No      |
| Eaton Corp.                                                      | Eaton Corp.                                                                                | CUSIP: 278062AG9<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    140000 | PA      | $131152.66    | 0.16%             | 2027-09-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $479941.41    | 0.59%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-79, Class SB                                                      | CUSIP: 31396XDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16281 | PA      | $17885.70     | 0.02%             | 2037-08-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-56, Class FC                                                      | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81695 | PA      | $80528.28     | 0.10%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2005-68, Class KI                                                             | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116053 | PA      | $9984.91      | 0.01%             | 2035-09-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36206HPN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1397 | PA      | $1396.76      | 0.00%             | 2027-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PG&E Energy Recovery Funding LLC                                 | PG&E Energy Recovery Funding LLC, Series A-2                                               | CUSIP: 71710TAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16000 | PA      | $12193.97     | 0.01%             | 2036-01-15      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3152, Class MO                                                        | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69951 | PA      | $58998.38     | 0.07%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                   | Takeda Pharmaceutical Co. Ltd.                                                             | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $164722.11    | 0.20%             | 2030-03-31      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2344, Class ZD                                                        | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87896 | PA      | $90972.62     | 0.11%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15478 | PA      | $16239.75     | 0.02%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2018-2, Class M55D                             | CUSIP: 35563PFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    176441 | PA      | $169406.34    | 0.21%             | 2057-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                              | CommonSpirit Health                                                                        | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40341.98     | 0.05%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Northern Trust Corp.                                             | Northern Trust Corp.                                                                       | CUSIP: 665859AS3<br>LEI: 549300GLF98S992BC502 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15452.52     | 0.02%             | 2032-05-08      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    154000 | PA      | $147069.38    | 0.18%             | 2025-02-04      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| Textron, Inc.                                                    | Textron, Inc.                                                                              | CUSIP: 883203CB5<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |    100000 | PA      | $85324.85     | 0.10%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                               | Canadian Imperial Bank of Commerce                                                         | CUSIP: 13607GAP9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $146350.03    | 0.18%             | 2024-04-02      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-14, Class ES                                                      | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16903 | PA      | $1492.34      | 0.00%             | 2037-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                               | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                               | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21801 | PA      | $18694.44     | 0.02%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2125, Class JZ                                                        | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7645 | PA      | $7685.96      | 0.01%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                            | Alexandria Real Estate Equities, Inc.                                                      | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     30000 | PA      | $22874.56     | 0.03%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                             | Charter Communications Operating LLC                                                       | CUSIP: 161175AY0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    160000 | PA      | $157486.65    | 0.19%             | 2025-07-23      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3417, Class EO                                                        | CUSIP: 31397RH33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147974 | PA      | $127352.08    | 0.16%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy, Inc.                                         | CenterPoint Energy, Inc.                                                                   | CUSIP: 15189TBA4<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     29000 | PA      | $25839.80     | 0.03%             | 2026-06-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Cigna Corp.                                                      | Cigna Corp.                                                                                | CUSIP: 125523BX7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     72000 | PA      | $70446.87     | 0.09%             | 2024-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-37, Class Z                                                       | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12647 | PA      | $12986.89     | 0.02%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1608, Class L                                                         | CUSIP: 3133T1W81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2184 | PA      | $2191.68      | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                            | Quanta Services, Inc.                                                                      | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     21000 | PA      | $17455.65     | 0.02%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                 | NRG Energy, Inc.                                                                           | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     37000 | PA      | $31662.24     | 0.04%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-106, Class US                                                     | CUSIP: 31394UN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24353 | PA      | $25401.82     | 0.03%             | 2035-11-25      | Floating      | 9.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2163, Class PC                                                        | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1800 | PA      | $156.79       | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-53, Class SW                                                             | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10711 | PA      | $11094.99     | 0.01%             | 2037-09-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31402CPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22169 | PA      | $22860.28     | 0.03%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL3L, Class ALNZ          | CUSIP: 3137FJF53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $482176.45    | 0.59%             | 2025-04-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                  | Air Lease Corp.                                                                            | CUSIP: 00912XAY0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89580.89     | 0.11%             | 2027-12-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                     | American Credit Acceptance Receivables Trust, Series 2022-1, Class A                       | CUSIP: 02530WAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35458 | PA      | $35027.54     | 0.04%             | 2025-12-15      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-20                                                                | CUSIP: 31359N4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       518 | PA      | $4.20         | 0.00%             | 2027-03-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2423, Class MC                                                        | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5706 | PA      | $6023.12      | 0.01%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1993-1, Class ZB                                             | CUSIP: 911760BX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6635 | PA      | $6626.70      | 0.01%             | 2023-02-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2015-H15, Class FJ                                                            | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    411164 | PA      | $405800.98    | 0.50%             | 2065-06-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, STRIPS, Series 262, Class 35                                                        | CUSIP: 3128HXKY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193259 | PA      | $182573.46    | 0.22%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2020-M50, Class X1                                                       | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2586717 | PA      | $194546.49    | 0.24%             | 2030-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-4, Class 10A1                                    | CUSIP: 576434QG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23068 | PA      | $22350.08     | 0.03%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2015-M7, Class A2                                                        | CUSIP: 3136ANLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542819 | PA      | $519139.67    | 0.63%             | 2024-12-25      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Sherwin-Williams Co. (The)                                       | Sherwin-Williams Co. (The)                                                                 | CUSIP: 824348BD7<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |    110000 | PA      | $105763.89    | 0.13%             | 2025-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1466, Class PZ                                                        | CUSIP: 312914MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       210 | PA      | $210.18       | 0.00%             | 2023-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                           | Smithfield Foods, Inc.                                                                     | CUSIP: 832248BB3<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6503.41      | 0.01%             | 2029-04-01      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| JB Hunt Transport Services, Inc.                                 | JB Hunt Transport Services, Inc.                                                           | CUSIP: 445658CF2<br>LEI: 549300XCD1MPI1C5GK90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58339.79     | 0.07%             | 2026-03-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16769 | PA      | $16578.47     | 0.02%             | 2035-04-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                             | American Tower Corp.                                                                       | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     68000 | PA      | $56164.18     | 0.07%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3117, Class OK                                                        | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3025 | PA      | $2528.34      | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $187611.35    | 0.23%             | 2024-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                            | Gray Oak Pipeline LLC                                                                      | CUSIP: 38937LAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $44420.96     | 0.05%             | 2027-10-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Graphic Packaging International LLC                              | Graphic Packaging International LLC                                                        | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |     41000 | PA      | $35651.66     | 0.04%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                             | American Airlines Pass-Through Trust, Series 2021-1, Class B                               | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $61224.21     | 0.07%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                            | Westlake Automobile Receivables Trust, Series 2020-3A, Class B                             | CUSIP: 96042QAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64761 | PA      | $64293.83     | 0.08%             | 2025-11-17      | Fixed         | 0.78%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                | GLS Auto Receivables Issuer Trust, Series 2021-2A, Class B                                 | CUSIP: 36261XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29765 | PA      | $29340.97     | 0.04%             | 2025-09-15      | Fixed         | 0.77%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                  | Blackstone Secured Lending Fund                                                            | CUSIP: 09261LAD0<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |     55000 | PA      | $54360.63     | 0.07%             | 2023-07-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128S4DJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7130 | PA      | $7212.01      | 0.01%             | 2036-09-01      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2075, Class PM                                                        | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11468 | PA      | $11634.59     | 0.01%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CGP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       264 | PA      | $264.49       | 0.00%             | 2025-05-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                      | L3Harris Technologies, Inc.                                                                | CUSIP: 502431AL3<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     70000 | PA      | $67271.11     | 0.08%             | 2026-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                                         | Resolution Funding Corp. STRIPS                                                            | CUSIP: 76116EGH7<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     60000 | PA      | $52995.96     | 0.06%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2004-10, Class 1A1                                    | CUSIP: 576434VU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       280 | PA      | $263.21       | 0.00%             | 2019-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1798, Class F                                                         | CUSIP: 3133T6MS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       343 | PA      | $341.51       | 0.00%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $84800.62     | 0.10%             | 2027-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kellogg Co.                                                      | Kellogg Co.                                                                                | CUSIP: 487836BU1<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |     95000 | PA      | $89171.54     | 0.11%             | 2027-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co.                                         | Becton Dickinson and Co.                                                                   | CUSIP: 075887CL1<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40070.59     | 0.05%             | 2031-02-11      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2003-52, Class AP                                                             | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24569 | PA      | $22087.49     | 0.03%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2021-4A, Class D                                               | CUSIP: 26253WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57000 | PA      | $49923.87     | 0.06%             | 2027-09-15      | Fixed         | 1.99%                 | Yes           |                  2 | On Loan: No      |
| Evergy Metro, Inc.                                               | Evergy Metro, Inc.                                                                         | CUSIP: 485134BN9<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |     47000 | PA      | $46781.33     | 0.06%             | 2023-03-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                             | Glencore Funding LLC                                                                       | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48688.42     | 0.06%             | 2030-09-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Northrop Grumman Corp.                                           | Northrop Grumman Corp.                                                                     | CUSIP: 666807BM3<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |    150000 | PA      | $144233.94    | 0.18%             | 2025-01-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Lennar Corp.                                                     | Lennar Corp.                                                                               | CUSIP: 526057CT9<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    140000 | PA      | $138372.41    | 0.17%             | 2026-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| VOLT XCVI LLC                                                    | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                                  | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97212 | PA      | $86502.97     | 0.11%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2693906.25   | 3.29%             | 2026-10-31      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L9G30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    173230 | PA      | $166848.21    | 0.20%             | 2025-03-01      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                | ONEOK Partners LP                                                                          | CUSIP: 68268NAL7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |     28000 | PA      | $27999.96     | 0.03%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828M56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $474570.31    | 0.58%             | 2025-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust, Series 2022-P3, Class A3                                   | CUSIP: 14686MAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22000 | PA      | $21428.31     | 0.03%             | 2027-11-10      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2012-H26, Class MA                                                            | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       731 | PA      | $718.73       | 0.00%             | 2062-07-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                               | ITC Holdings Corp.                                                                         | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |     39000 | PA      | $33126.65     | 0.04%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2283, Class K                                                         | CUSIP: 3133TRJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       735 | PA      | $735.97       | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2011-118, Class NT                                                     | CUSIP: 3136A1Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59164 | PA      | $62879.46     | 0.08%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                               | Energy Transfer LP                                                                         | CUSIP: 29273RBD0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48551.18     | 0.06%             | 2025-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                    | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9753 | PA      | $9856.34      | 0.01%             | 2042-10-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                 | OGE Energy Corp.                                                                           | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17624.21     | 0.02%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2021-4A, Class B                               | CUSIP: 30165JAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74000 | PA      | $71417.19     | 0.09%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| PPG Industries, Inc.                                             | PPG Industries, Inc.                                                                       | CUSIP: 693506BU0<br>LEI: 549300BKPEP01R3V6C59 | Long             | DBT              | CORP              | US        |     37000 | PA      | $32848.01     | 0.04%             | 2026-03-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-21, Class PE                                                      | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9236 | PA      | $9612.39      | 0.01%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CIG Auto Receivables Trust                                       | CIG Auto Receivables Trust, Series 2021-1A, Class A                                        | CUSIP: 12598NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24886 | PA      | $24396.83     | 0.03%             | 2025-04-14      | Fixed         | 0.69%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                          | Hyundai Auto Lease Securitization Trust, Series 2020-B, Class A3                           | CUSIP: 44891PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13666 | PA      | $13643.93     | 0.02%             | 2023-09-15      | Fixed         | 0.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140LFVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    199475 | PA      | $171010.56    | 0.21%             | 2032-03-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30028 | PA      | $30323.65     | 0.04%             | 2034-10-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                               | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     88283 | PA      | $75705.34     | 0.09%             | 2028-10-07      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                       | US Bancorp, Series X                                                                       | CUSIP: 91159HHR4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     68000 | PA      | $64326.96     | 0.08%             | 2027-04-27      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-29, Class J                                                       | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4219 | PA      | $4351.03      | 0.01%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                              | Macquarie Bank Ltd.                                                                        | CUSIP: 55608PAQ7<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    100000 | PA      | $97758.56     | 0.12%             | 2025-07-29      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                  | UBS-BAMLL Trust, Series 2012-WRM, Class A                                                  | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3676 | PA      | $3671.12      | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through Certificates Trust   | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS7, Class P   | CUSIP: 939336TX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64 | PA      | $47.88        | 0.00%             | 2033-03-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                             | FNMA, 30 Year                                                                              | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6868 | PA      | $6871.74      | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                          | Arrow Electronics, Inc.                                                                    | CUSIP: 042735BC3<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15944.74     | 0.02%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     75000 | PA      | $68416.30     | 0.08%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128QPNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25245 | PA      | $25407.97     | 0.03%             | 2036-09-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3931 | PA      | $4006.14      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36295VHP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62303 | PA      | $64308.40     | 0.08%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1998-43, Class EA                                                      | CUSIP: 31359TL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1041 | PA      | $1034.95      | 0.00%             | 2023-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                | American Electric Power Co., Inc.                                                          | CUSIP: 025537AN1<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82319.55     | 0.10%             | 2030-03-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust                          | United Auto Credit Securitization Trust, Series 2021-1, Class C                            | CUSIP: 90943UAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55022 | PA      | $54496.06     | 0.07%             | 2026-06-10      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10251 | PA      | $10914.39     | 0.01%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                                  | Universal Health Services, Inc.                                                            | CUSIP: 913903AV2<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3197.96      | 0.00%             | 2030-10-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| McDonald's Corp.                                                 | McDonald's Corp.                                                                           | CUSIP: 58013MFM1<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |     58000 | PA      | $49221.73     | 0.06%             | 2030-03-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                | HSBC Holdings plc                                                                          | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $183979.15    | 0.23%             | 2025-05-24      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                       | Microchip Technology, Inc.                                                                 | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20341.26     | 0.02%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Goodman US Finance Three LLC                                     | Goodman US Finance Three LLC                                                               | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     52000 | PA      | $47300.28     | 0.06%             | 2028-03-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-165, Class SD                                                     | CUSIP: 31359D4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       105 | PA      | $102.29       | 0.00%             | 2023-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $470585.94    | 0.58%             | 2025-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust             | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2             | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6485 | PA      | $6147.19      | 0.01%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36209BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4253 | PA      | $4384.68      | 0.01%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NBS9<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     16000 | PA      | $15309.52     | 0.02%             | 2026-03-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1987, Class PE                                                        | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2641 | PA      | $2719.69      | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2021-M3, Class X1                                                        | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98727 | PA      | $8957.59      | 0.01%             | 2033-11-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2012-H21, Class DF                                                            | CUSIP: 38375BWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1335 | PA      | $1317.94      | 0.00%             | 2061-05-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 4096, Class HA                                                        | CUSIP: 3137ATB92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96571 | PA      | $87767.55     | 0.11%             | 2041-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| World Omni Select Auto Trust                                     | World Omni Select Auto Trust, Series 2020-A, Class A3                                      | CUSIP: 98163DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20964 | PA      | $20779.20     | 0.03%             | 2025-07-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, STRIPS, Series 218, Class 2                                                          | CUSIP: 31364HVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $0.13         | 0.00%             | 2023-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Life Storage LP                                                  | Life Storage LP                                                                            | CUSIP: 53227JAC8<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |     25000 | PA      | $19479.58     | 0.02%             | 2030-10-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2306, Class K                                                         | CUSIP: 3133TSJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       619 | PA      | $601.83       | 0.00%             | 2024-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2601093.75   | 3.18%             | 2028-09-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Prudential Insurance Co. of America (The)                        | Prudential Insurance Co. of America (The)                                                  | CUSIP: 743917AH9<br>LEI: X574KRZ6V5A7UBU45C31 | Long             | DBT              | CORP              | US        |    150000 | PA      | $159434.73    | 0.19%             | 2025-07-01      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                            | Gilead Sciences, Inc.                                                                      | CUSIP: 375558BF9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     57000 | PA      | $55181.55     | 0.07%             | 2026-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48157.03     | 0.06%             | 2027-09-29      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                        | Consolidated Edison Co. of New York, Inc.                                                  | CUSIP: 209111FP3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    155000 | PA      | $147740.65    | 0.18%             | 2028-05-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2022-4A, Class C                               | CUSIP: 30166BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82000 | PA      | $77182.57     | 0.09%             | 2028-12-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2568, Class KG                                                        | CUSIP: 31393KKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1134 | PA      | $1131.36      | 0.00%             | 2023-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                            | Athene Global Funding                                                                      | CUSIP: 04685A3D1<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     82000 | PA      | $70715.02     | 0.09%             | 2026-10-02      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                            | Westlake Automobile Receivables Trust, Series 2021-3A, Class D                             | CUSIP: 96043JAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     72000 | PA      | $64957.77     | 0.08%             | 2027-01-15      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1981, Class Z                                                         | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5847 | PA      | $5863.38      | 0.01%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan REMIC Trust                                    | Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO                                  | CUSIP: 12669GXG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28229 | PA      | $15053.70     | 0.02%             | 2035-03-25      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Lear Corp.                                                       | Lear Corp.                                                                                 | CUSIP: 521865BC8<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |     14000 | PA      | $10749.42     | 0.01%             | 2032-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36241K3Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22677 | PA      | $23890.99     | 0.03%             | 2035-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                            | Nissan Motor Co. Ltd.                                                                      | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $180195.08    | 0.22%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140J7XD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129803 | PA      | $125946.59    | 0.15%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                          | Arrow Electronics, Inc.                                                                    | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91917.78     | 0.11%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                        | Santander Consumer Auto Receivables Trust, Series 2021-AA, Class A3                        | CUSIP: 80282YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21649 | PA      | $21212.93     | 0.03%             | 2025-10-15      | Fixed         | 0.33%                 | Yes           |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                     | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO                                    | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3691 | PA      | $2252.02      | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Brixmor Operating Partnership LP                                 | Brixmor Operating Partnership LP                                                           | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47963.38     | 0.06%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36203YHF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       611 | PA      | $610.13       | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       569 | PA      | $583.62       | 0.00%             | 2027-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                         | Roper Technologies, Inc.                                                                   | CUSIP: 776743AN6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    174000 | PA      | $148712.36    | 0.18%             | 2027-09-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-27, Class J                                                       | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3200 | PA      | $3316.12      | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                         | AmeriCredit Automobile Receivables Trust, Series 2020-3, Class B                           | CUSIP: 03066PAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $72145.86     | 0.09%             | 2025-12-18      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-37, Class PX                                                      | CUSIP: 31358UDP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       512 | PA      | $510.69       | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2            | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480000 | PA      | $462436.66    | 0.57%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A             | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63497 | PA      | $54696.54     | 0.07%             | 2037-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2543, Class YX                                                        | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50384 | PA      | $51688.96     | 0.06%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                         | Roper Technologies, Inc.                                                                   | CUSIP: 776743AD8<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14433.83     | 0.02%             | 2026-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1470, Class F                                                         | CUSIP: 312914LG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         2 | PA      | $2.00         | 0.00%             | 2023-02-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| SpringCastle America Funding LLC                                 | SpringCastle America Funding LLC, Series 2020-AA, Class A                                  | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45529 | PA      | $41031.28     | 0.05%             | 2037-09-25      | Fixed         | 1.97%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150000 | PA      | $145835.30    | 0.18%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9519 | PA      | $9692.66      | 0.01%             | 2037-03-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2575, Class ME                                                        | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93395 | PA      | $96283.24     | 0.12%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                 | Ventas Realty LP                                                                           | CUSIP: 92277GAD9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |     44000 | PA      | $42892.61     | 0.05%             | 2024-05-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                  | Plains All American Pipeline LP                                                            | CUSIP: 72650RBJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $29537.65     | 0.04%             | 2025-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GM Financial Consumer Automobile Receivables Trust               | GM Financial Consumer Automobile Receivables Trust, Series 2021-1, Class A3                | CUSIP: 36261LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25126 | PA      | $24305.03     | 0.03%             | 2025-10-16      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                          | Republic Services, Inc.                                                                    | CUSIP: 760759AS9<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    200000 | PA      | $187898.39    | 0.23%             | 2027-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                            | Scentre Group Trust 1                                                                      | CUSIP: 806213AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    150000 | PA      | $143374.47    | 0.18%             | 2025-02-12      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Zoetis, Inc.                                                     | Zoetis, Inc.                                                                               | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     80000 | PA      | $65910.01     | 0.08%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Campbell Soup Co.                                                | Campbell Soup Co.                                                                          | CUSIP: 134429BF5<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48990.43     | 0.06%             | 2025-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2435, Class CJ                                                        | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44789 | PA      | $46608.03     | 0.06%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                          | JPMorgan Mortgage Trust, Series 2003-A1, Class 1A1                                         | CUSIP: 466247AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90483 | PA      | $80351.32     | 0.10%             | 2033-10-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11655 | PA      | $11941.05     | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sabra Health Care LP                                             | Sabra Health Care LP                                                                       | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     52000 | PA      | $38991.72     | 0.05%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-74, Class CS                                                      | CUSIP: 31394FDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9130 | PA      | $8916.12      | 0.01%             | 2035-05-25      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                             | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    198732 | PA      | $190171.33    | 0.23%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                  | CoreVest American Finance Trust, Series 2019-3, Class A                                    | CUSIP: 21872NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57279 | PA      | $53659.02     | 0.07%             | 2052-10-15      | Fixed         | 2.71%                 | Yes           |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                         | AmeriCredit Automobile Receivables Trust, Series 2022-2, Class A3                          | CUSIP: 03065WAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31000 | PA      | $30316.85     | 0.04%             | 2028-04-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-247, Class SA                                                     | CUSIP: 31359FP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       937 | PA      | $903.69       | 0.00%             | 2023-12-25      | Floating      | 9.80%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2021-3, Class B                             | CUSIP: 80287EAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     96267 | PA      | $95279.57     | 0.12%             | 2025-12-15      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Private Export Funding Corp.                                     | Private Export Funding Corp., Series KK                                                    | CUSIP: 742651DT6<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | CORP              | US        |    200000 | PA      | $197359.63    | 0.24%             | 2024-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A             | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162237 | PA      | $171129.71    | 0.21%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AvalonBay Communities, Inc.                                      | AvalonBay Communities, Inc.                                                                | CUSIP: 05348EBA6<br>LEI: K9G90K85RBWD2LAGQX17 | Long             | DBT              | CORP              | US        |     28000 | PA      | $26036.84     | 0.03%             | 2027-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Ovintiv Exploration, Inc.                                        | Ovintiv Exploration, Inc.                                                                  | CUSIP: 651290AR9<br>LEI: T8W3X1PFLPW2YE0UIP44 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39788.81     | 0.05%             | 2026-01-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust             | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5             | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6714 | PA      | $6498.83      | 0.01%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-106, Class ST                                                            | CUSIP: 38376JFW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     91095 | PA      | $5055.85      | 0.01%             | 2038-02-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833WQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $8106.39      | 0.01%             | 2028-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132G7LR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262761 | PA      | $248814.55    | 0.30%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC - GNMA, Series 24, Class ZE                                                          | CUSIP: 3133T2KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1078 | PA      | $1078.07      | 0.00%             | 2023-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3117, Class EO                                                        | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27138 | PA      | $22845.79     | 0.03%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                    | Healthcare Realty Holdings LP                                                              | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |     68000 | PA      | $57068.38     | 0.07%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| eBay, Inc.                                                       | eBay, Inc.                                                                                 | CUSIP: 278642AY9<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $82149.99     | 0.10%             | 2031-05-10      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                               | General Motors Financial Co., Inc.                                                         | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    200000 | PA      | $154471.17    | 0.19%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| PepsiCo, Inc.                                                    | PepsiCo, Inc.                                                                              | CUSIP: 713448EZ7<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     33000 | PA      | $27270.64     | 0.03%             | 2030-05-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                              | Expedia Group, Inc.                                                                        | CUSIP: 30212PAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $85506.64     | 0.10%             | 2030-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 31348SG32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4599 | PA      | $4510.05      | 0.01%             | 2026-07-01      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                | Wells Fargo & Co.                                                                          | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    170000 | PA      | $157742.42    | 0.19%             | 2028-05-22      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                          | CarMax Auto Owner Trust, Series 2021-1, Class A3                                           | CUSIP: 14316NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     32263 | PA      | $31158.56     | 0.04%             | 2025-12-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2022-4, Class A3                            | CUSIP: 80286FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000 | PA      | $107097.45    | 0.13%             | 2027-02-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2015-H18, Class FA                                                            | CUSIP: 38376REW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221916 | PA      | $219362.48    | 0.27%             | 2065-06-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    149000 | PA      | $139350.21    | 0.17%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1205 | PA      | $1234.43      | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2022-2A, Class D                               | CUSIP: 30166QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     75000 | PA      | $70246.28     | 0.09%             | 2028-07-17      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                  | Air Lease Corp.                                                                            | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245080.86    | 0.30%             | 2023-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                        | Williams Cos., Inc. (The)                                                                  | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41145.88     | 0.05%             | 2031-03-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                             | Charter Communications Operating LLC                                                       | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $37487.47     | 0.05%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust, Series 2021-P3, Class A3                                   | CUSIP: 14687JAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     90000 | PA      | $82355.37     | 0.10%             | 2026-11-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                              | Societe Generale SA                                                                        | CUSIP: 83367TBJ7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $191077.86    | 0.23%             | 2025-04-14      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 31337NHS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3659 | PA      | $3576.84      | 0.00%             | 2027-01-01      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                         | AmeriCredit Automobile Receivables Trust, Series 2021-2, Class B                           | CUSIP: 03066RAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55000 | PA      | $51492.88     | 0.06%             | 2027-01-19      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-110                                                               | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22225 | PA      | $18459.00     | 0.02%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                 | Deutsche Bank AG                                                                           | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $112972.55    | 0.14%             | 2032-05-28      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83195 | PA      | $80461.22     | 0.10%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                                | World Omni Auto Receivables Trust, Series 2022-B, Class A3                                 | CUSIP: 98163QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $134816.99    | 0.16%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper, Inc.                                           | Keurig Dr Pepper, Inc.                                                                     | CUSIP: 49271VAH3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     18000 | PA      | $17998.60     | 0.02%             | 2025-05-25      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                 | First Investors Auto Owner Trust, Series 2021-1A, Class A                                  | CUSIP: 32059FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5770 | PA      | $5695.02      | 0.01%             | 2026-03-16      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36241KHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31628 | PA      | $33073.20     | 0.04%             | 2035-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2010-130, Class CP                                                            | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28925 | PA      | $30931.15     | 0.04%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ONE Gas, Inc.                                                    | ONE Gas, Inc.                                                                              | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |     26000 | PA      | $21217.11     | 0.03%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NGPL PipeCo LLC                                                  | NGPL PipeCo LLC                                                                            | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     22000 | PA      | $18001.39     | 0.02%             | 2031-07-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1243 | PA      | $1217.68      | 0.00%             | 2027-09-01      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1081 | PA      | $1106.63      | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2008-50, Class KB                                                             | CUSIP: 38375QD89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68462 | PA      | $70304.49     | 0.09%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCIII LLC                                                   | VOLT XCIII LLC, Series 2021-NPL2, Class A1                                                 | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69250 | PA      | $61998.22     | 0.08%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-62, Class SA                                                      | CUSIP: 31358UVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $69.05        | 0.00%             | 2023-04-25      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2038, Class PN                                                        | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2810 | PA      | $305.23       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                  | Citigroup, Inc.                                                                            | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    115000 | PA      | $113099.47    | 0.14%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2013-91, Class WA                                                             | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    282182 | PA      | $275095.54    | 0.34%             | 2043-04-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31411VHW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13319 | PA      | $13394.54     | 0.02%             | 2037-02-01      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                  | Martin Marietta Materials, Inc.                                                            | CUSIP: 573284AQ9<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |     78000 | PA      | $72484.36     | 0.09%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6339 | PA      | $6527.41      | 0.01%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    334000 | PA      | $270154.23    | 0.33%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31406QGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10046 | PA      | $9812.70      | 0.01%             | 2035-02-01      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                           | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                            | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12390 | PA      | $11180.74     | 0.01%             | 2029-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-27, Class SA                                                             | CUSIP: 38375JJ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66329 | PA      | $3040.39      | 0.00%             | 2037-05-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L8K52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $477891.01    | 0.58%             | 2027-02-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 912828ZC7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1399804.68   | 1.71%             | 2025-02-28      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1413 | PA      | $1442.66      | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                            | Global Payments, Inc.                                                                      | CUSIP: 37940XAG7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     45000 | PA      | $39298.30     | 0.05%             | 2027-01-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31418XEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63142 | PA      | $64604.55     | 0.08%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US Auto Funding Trust                                            | US Auto Funding Trust, Series 2022-1A, Class A                                             | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78508 | PA      | $77191.29     | 0.09%             | 2025-04-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Dollar General Corp.                                             | Dollar General Corp.                                                                       | CUSIP: 256677AF2<br>LEI: OPX52SQVOZI8IVSWYU66 | Long             | DBT              | CORP              | US        |    109000 | PA      | $104423.29    | 0.13%             | 2028-05-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                        | Commercial Mortgage Trust, Series 2015-CR25, Class A4                                      | CUSIP: 12593PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    281000 | PA      | $268103.62    | 0.33%             | 2048-08-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                         | UnitedHealth Group, Inc.                                                                   | CUSIP: 91324PED0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     73000 | PA      | $60991.18     | 0.07%             | 2031-05-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Schlumberger Investment SA                                       | Schlumberger Investment SA                                                                 | CUSIP: 806854AJ4<br>LEI: 529900EZ29I5KXPV2J32 | Long             | DBT              | CORP              | LU        |     94000 | PA      | $81716.99     | 0.10%             | 2030-06-26      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7 | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60852 | PA      | $54528.18     | 0.07%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-124, Class HB                                                     | CUSIP: 31396PGJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35731 | PA      | $36512.81     | 0.04%             | 2036-11-25      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                   | WP Carey, Inc.                                                                             | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     12000 | PA      | $9541.53      | 0.01%             | 2031-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                    | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                   | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9501 | PA      | $8637.89      | 0.01%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| WEC Energy Group, Inc.                                           | WEC Energy Group, Inc.                                                                     | CUSIP: 976657AL0<br>LEI: 549300IGLYTZUK3PVP70 | Long             | DBT              | CORP              | US        |     20000 | PA      | $19047.92     | 0.02%             | 2025-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                        | HCA, Inc.                                                                                  | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    150000 | PA      | $137078.92    | 0.17%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                  | AstraZeneca plc                                                                            | CUSIP: 046353AW8<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     77000 | PA      | $61596.56     | 0.08%             | 2030-08-06      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.           | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1         | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |        96 | PA      | $82.31        | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                             | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15549 | PA      | $15846.06     | 0.02%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-116, Class SB                                                     | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34568 | PA      | $2918.15      | 0.00%             | 2033-11-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                       | Constellation Brands, Inc.                                                                 | CUSIP: 21036PBF4<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |     11000 | PA      | $9467.58      | 0.01%             | 2030-05-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                              | Toyota Auto Receivables Owner Trust, Series 2020-A, Class A3                               | CUSIP: 89232HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42793 | PA      | $42512.45     | 0.05%             | 2024-05-15      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                         | Marathon Petroleum Corp.                                                                   | CUSIP: 56585ABH4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    105000 | PA      | $104103.76    | 0.13%             | 2025-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                     | Avolon Holdings Funding Ltd.                                                               | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    120000 | PA      | $114281.48    | 0.14%             | 2024-07-01      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-44, Class PD                                                      | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2997 | PA      | $3151.25      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617ALMQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66312 | PA      | $64826.38     | 0.08%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1602, Class SA                                                        | CUSIP: 3133T1D82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       240 | PA      | $234.15       | 0.00%             | 2023-10-15      | Floating      | 11.66%                | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2012-47, Class HF                                                      | CUSIP: 3136A6GB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27617 | PA      | $27547.38     | 0.03%             | 2027-05-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2474, Class NR                                                        | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16638 | PA      | $17181.60     | 0.02%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Honda Auto Receivables Owner Trust                               | Honda Auto Receivables Owner Trust, Series 2019-4, Class A3                                | CUSIP: 43813VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26992 | PA      | $26867.73     | 0.03%             | 2024-01-18      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2150 | PA      | $2213.37      | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31410PSM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22964 | PA      | $23108.09     | 0.03%             | 2036-09-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       603 | PA      | $619.52       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Kilroy Realty LP                                                 | Kilroy Realty LP                                                                           | CUSIP: 49427RAR3<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     70000 | PA      | $49824.08     | 0.06%             | 2033-11-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, Other                                                                             | CUSIP: 36180B5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    288251 | PA      | $278359.28    | 0.34%             | 2033-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121701 | PA      | $117600.15    | 0.14%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                        | SCF Equipment Leasing LLC, Series 2022-2A, Class A3                                        | CUSIP: 78397WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $151435.26    | 0.19%             | 2030-10-21      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2423, Class MT                                                        | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11378 | PA      | $12060.09     | 0.01%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-46, Class HI                                                      | CUSIP: 31397LRU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14142 | PA      | $710.35       | 0.00%             | 2038-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2011-118, Class MT                                                     | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65245 | PA      | $69767.41     | 0.09%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2004-28, Class S                                                              | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6267 | PA      | $6617.94      | 0.01%             | 2034-04-16      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-72, Class US                                                             | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27965 | PA      | $734.14       | 0.00%             | 2037-11-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                          | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                         | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16713 | PA      | $15815.58     | 0.02%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                          | Mercedes-Benz Finance North America LLC                                                    | CUSIP: 233851DZ4<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    150000 | PA      | $140517.84    | 0.17%             | 2025-03-10      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3179, Class OA                                                        | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9206 | PA      | $7604.32      | 0.01%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                                     | Ford Credit Auto Lease Trust, Series 2021-A, Class A3                                      | CUSIP: 34532QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21634 | PA      | $21552.92     | 0.03%             | 2024-02-15      | Fixed         | 0.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132HBPL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    315782 | PA      | $297462.49    | 0.36%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                           | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                            | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39803 | PA      | $36635.80     | 0.04%             | 2028-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Electric Co.                                        | Pennsylvania Electric Co.                                                                  | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    132000 | PA      | $119574.47    | 0.15%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M60C                             | CUSIP: 35563PDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250537 | PA      | $237570.53    | 0.29%             | 2057-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2013-128                                                               | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98340 | PA      | $77598.59     | 0.09%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KLU2, Class A7            | CUSIP: 3137FPHV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212757 | PA      | $198687.15    | 0.24%             | 2025-09-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2010-105, Class B                                                             | CUSIP: 38377DD94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    303315 | PA      | $306371.90    | 0.37%             | 2040-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31292GMZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       207 | PA      | $207.85       | 0.00%             | 2024-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                                      | Healthpeak Properties, Inc.                                                                | CUSIP: 40414LAM1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2896.27      | 0.00%             | 2025-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Edison International                                             | Edison International                                                                       | CUSIP: 281020AM9<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46203.33     | 0.06%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-25, Class SA                                                      | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14474 | PA      | $15060.24     | 0.02%             | 2034-04-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4757 | PA      | $4357.16      | 0.01%             | 2034-06-20      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                         | Brookfield Finance, Inc.                                                                   | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     47000 | PA      | $45077.12     | 0.06%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2990, Class SL                                                        | CUSIP: 31395V4J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1552 | PA      | $1537.36      | 0.00%             | 2034-06-15      | Floating      | 10.29%                | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2075, Class PH                                                        | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11834 | PA      | $12145.30     | 0.01%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     60000 | PA      | $54137.11     | 0.07%             | 2026-06-19      | Variable      | 1.32%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential Trust, Series 2021-SFR8, Class E1                                     | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $82440.27     | 0.10%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                         | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13202 | PA      | $13686.86     | 0.02%             | 2037-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2015-H20, Class FA                                                            | CUSIP: 38376RFG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    371753 | PA      | $366708.34    | 0.45%             | 2065-08-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                              | CNA Financial Corp.                                                                        | CUSIP: 126117AS9<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     52000 | PA      | $51036.45     | 0.06%             | 2024-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                               | Essex Portfolio LP                                                                         | CUSIP: 29717PAW7<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |     53000 | PA      | $39714.80     | 0.05%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                         | Lloyds Banking Group plc                                                                   | CUSIP: 53944YAD5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $232421.45    | 0.28%             | 2027-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                            | Gilead Sciences, Inc.                                                                      | CUSIP: 375558AZ6<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24412.83     | 0.03%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98376 | PA      | $96661.46     | 0.12%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                             | Anheuser-Busch InBev Worldwide, Inc.                                                       | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    165000 | PA      | $164898.96    | 0.20%             | 2029-01-23      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2022-1A, Class A2                              | CUSIP: 30167JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25135 | PA      | $25090.33     | 0.03%             | 2024-06-17      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31371EX83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       430 | PA      | $433.88       | 0.00%             | 2024-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Puget Energy, Inc.                                               | Puget Energy, Inc.                                                                         | CUSIP: 745310AM4<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     17000 | PA      | $14548.50     | 0.02%             | 2028-06-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140HSAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $292805.60    | 0.36%             | 2028-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                  | CoreVest American Finance Trust, Series 2022-1, Class A                                    | CUSIP: 21873EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99370 | PA      | $96366.67     | 0.12%             | 2055-06-17      | Variable      | 4.74%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                           | Dell International LLC                                                                     | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $98917.77     | 0.12%             | 2029-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| QUALCOMM, Inc.                                                   | QUALCOMM, Inc.                                                                             | CUSIP: 747525BQ5<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     32000 | PA      | $31045.61     | 0.04%             | 2032-05-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                       | Flagship Credit Auto Trust, Series 2021-4, Class A                                         | CUSIP: 33845AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63559 | PA      | $61480.29     | 0.08%             | 2026-07-17      | Fixed         | 0.81%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                    | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     79520 | PA      | $68179.99     | 0.08%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                         | SCE Recovery Funding LLC, Series A-2                                                       | CUSIP: 78433LAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $17669.31     | 0.02%             | 2038-05-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     54000 | PA      | $53499.12     | 0.07%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     42000 | PA      | $41789.72     | 0.05%             | 2024-03-05      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2455, Class GK                                                        | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17697 | PA      | $18073.04     | 0.02%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $180685.20    | 0.22%             | 2025-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2271, Class PC                                                        | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8579 | PA      | $9103.99      | 0.01%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                          | CarMax Auto Owner Trust, Series 2020-1, Class A3                                           | CUSIP: 14315XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31599 | PA      | $31179.19     | 0.04%             | 2024-12-16      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                         | Cox Communications, Inc.                                                                   | CUSIP: 224044CL9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     67000 | PA      | $51155.52     | 0.06%             | 2030-10-01      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2006-59, Class SD                                                             | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13258 | PA      | $801.57       | 0.00%             | 2036-10-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                   | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                 | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20886 | PA      | $16041.20     | 0.02%             | 2036-01-25      | Variable      | 2.91%                 | No            |                  3 | On Loan: No      |
| Take-Two Interactive Software, Inc.                              | Take-Two Interactive Software, Inc.                                                        | CUSIP: 874054AG4<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20868.49     | 0.03%             | 2027-04-14      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138LER78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    438474 | PA      | $407311.09    | 0.50%             | 2026-07-01      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31406P5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45811 | PA      | $44687.22     | 0.05%             | 2035-01-01      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833RZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $160501.72    | 0.20%             | 2028-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36209DBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       460 | PA      | $460.40       | 0.00%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31416JAY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29126 | PA      | $30360.94     | 0.04%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                               | T-Mobile USA, Inc.                                                                         | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    150000 | PA      | $137765.28    | 0.17%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                | Tyson Foods, Inc.                                                                          | CUSIP: 902494AX1<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |     73000 | PA      | $71716.20     | 0.09%             | 2024-08-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                               | F&G Global Funding                                                                         | CUSIP: 30321L2D3<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43733.14     | 0.05%             | 2027-04-11      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Safehold Operating Partnership LP                                | Safehold Operating Partnership LP                                                          | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |     88000 | PA      | $68287.58     | 0.08%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $256730.48    | 0.31%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2022-5, Class B                             | CUSIP: 80287HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44000 | PA      | $42460.37     | 0.05%             | 2027-03-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction                            | Seasoned Loans Structured Transaction, Series 2018-2, Class A1                             | CUSIP: 35564CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236495 | PA      | $226737.97    | 0.28%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Welltower, Inc.                                                  | Welltower, Inc.                                                                            | CUSIP: 42217KBC9<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99073.77     | 0.12%             | 2024-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-22, Class SA                                                             | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42885 | PA      | $2237.49      | 0.00%             | 2039-04-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-76, Class SA                                                             | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28616 | PA      | $1290.77      | 0.00%             | 2037-11-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     86000 | PA      | $78175.33     | 0.10%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust                 | World Omni Automobile Lease Securitization Trust, Series 2020-B, Class A4                  | CUSIP: 98163GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60000 | PA      | $58780.61     | 0.07%             | 2026-02-17      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                   | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50464 | PA      | $48540.45     | 0.06%             | 2042-12-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1720, Class PL                                                        | CUSIP: 3133T5DV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8142 | PA      | $8173.54      | 0.01%             | 2024-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-39, Class PD                                                      | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6958 | PA      | $7158.59      | 0.01%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-20, Class IB                                                      | CUSIP: 31359N4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       676 | PA      | $6.18         | 0.00%             | 2027-03-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                        | Vistra Operations Co. LLC                                                                  | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97675.00     | 0.12%             | 2024-05-13      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74436 | PA      | $63985.51     | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11192 | PA      | $11524.35     | 0.01%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                               | General Motors Co.                                                                         | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50654.19     | 0.06%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2007-91, Class ES                                                      | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130744 | PA      | $11318.04     | 0.01%             | 2037-10-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                       | Flagship Credit Auto Trust, Series 2022-1, Class A                                         | CUSIP: 33845VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    114842 | PA      | $110425.12    | 0.14%             | 2026-10-15      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                          | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49733 | PA      | $49176.71     | 0.06%             | 2045-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                   | Public Storage                                                                             | CUSIP: 74460DAJ8<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |     36000 | PA      | $29114.24     | 0.04%             | 2031-11-09      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                 | BP Capital Markets America, Inc.                                                           | CUSIP: 10373QBT6<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    150000 | PA      | $127079.92    | 0.16%             | 2032-01-12      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61772BAB9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    127000 | PA      | $111884.66    | 0.14%             | 2027-05-04      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                       | Progress Residential Trust, Series 2022-SFR3, Class A                                      | CUSIP: 74331UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    130000 | PA      | $117491.53    | 0.14%             | 2039-04-17      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3232, Class ST                                                        | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17291 | PA      | $1631.48      | 0.00%             | 2036-10-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| AmeriCredit Automobile Receivables Trust                         | AmeriCredit Automobile Receivables Trust, Series 2020-2, Class A3                          | CUSIP: 03066EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4382 | PA      | $4361.68      | 0.01%             | 2024-12-18      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1706, Class K                                                         | CUSIP: 3133T4UA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4073 | PA      | $4079.50      | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                           | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                         | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    387001 | PA      | $381364.21    | 0.47%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 3132Y15Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141625 | PA      | $142137.77    | 0.17%             | 2046-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                           | NXP BV                                                                                     | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    100000 | PA      | $79206.25     | 0.10%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-52, Class SX                                                      | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4436 | PA      | $4908.29      | 0.01%             | 2031-10-25      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2021-2A, Class B                               | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30579 | PA      | $30298.71     | 0.04%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                       | AMSR Trust, Series 2020-SFR5, Class A                                                      | CUSIP: 03217JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $88706.68     | 0.11%             | 2037-11-17      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust             | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1             | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1629 | PA      | $1526.11      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2410, Class OE                                                        | CUSIP: 31339NKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5145 | PA      | $5175.69      | 0.01%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31403BBP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30844 | PA      | $30231.82     | 0.04%             | 2033-11-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                       | Niagara Mohawk Power Corp.                                                                 | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |     29000 | PA      | $23118.34     | 0.03%             | 2030-06-27      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| International Flavors & Fragrances, Inc.                         | International Flavors & Fragrances, Inc.                                                   | CUSIP: 459506AP6<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33428.96     | 0.04%             | 2027-10-15      | Fixed         | 1.83%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-36, Class SA                                                      | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24257 | PA      | $25433.05     | 0.03%             | 2034-05-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2345, Class NE                                                        | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7881 | PA      | $8214.50      | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8947 | PA      | $9089.20      | 0.01%             | 2037-02-01      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2022-1, Class A2                            | CUSIP: 80286EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57982 | PA      | $57794.50     | 0.07%             | 2024-12-16      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CF65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       837 | PA      | $840.71       | 0.00%             | 2025-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2009-69                                                                | CUSIP: 31396Q5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23674 | PA      | $18563.63     | 0.02%             | 2039-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-49, Class Z                                                       | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3608 | PA      | $3758.30      | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                     | VMware, Inc.                                                                               | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21986.72     | 0.03%             | 2026-08-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $174235.50    | 0.21%             | 2026-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-121, Class DX                                                     | CUSIP: 31394VBA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40945 | PA      | $40699.46     | 0.05%             | 2026-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                        | O'Reilly Automotive, Inc.                                                                  | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |     62000 | PA      | $58921.57     | 0.07%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2410, Class NG                                                        | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6368 | PA      | $6642.35      | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28536 | PA      | $28860.66     | 0.04%             | 2033-09-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3481, Class SJ                                                        | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43213 | PA      | $3202.57      | 0.00%             | 2038-08-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals, Inc.                                  | Regeneron Pharmaceuticals, Inc.                                                            | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |     28000 | PA      | $21999.09     | 0.03%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                            | Bank of America Corp.                                                                      | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    250000 | PA      | $227963.30    | 0.28%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                     | Pacific Gas and Electric Co.                                                               | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96969.96     | 0.12%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A             | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16963 | PA      | $17019.18     | 0.02%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-74, Class SW                                                      | CUSIP: 31394AR81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12668 | PA      | $12919.50     | 0.02%             | 2031-11-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     90000 | PA      | $68493.56     | 0.08%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                      | Rogers Communications, Inc.                                                                | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $88529.10     | 0.11%             | 2032-03-15      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9573 | PA      | $9942.87      | 0.01%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-31, Class TS                                                             | CUSIP: 38374TXN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24578 | PA      | $387.25       | 0.00%             | 2039-03-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                | Wells Fargo & Co.                                                                          | CUSIP: 94974BGH7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     99000 | PA      | $95295.17     | 0.12%             | 2025-02-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31283GHW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       243 | PA      | $245.64       | 0.00%             | 2024-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                              | Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3                             | CUSIP: 17307GAV0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      2204 | PA      | $2138.14      | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2172, Class QC                                                        | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13372 | PA      | $14039.37     | 0.02%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2005-68, Class DP                                                             | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11286 | PA      | $10654.07     | 0.01%             | 2035-06-17      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2022-3, Class A3                            | CUSIP: 80285UAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73000 | PA      | $71440.76     | 0.09%             | 2026-12-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2344, Class ZJ                                                        | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13945 | PA      | $14658.38     | 0.02%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-28, Class QS                                                      | CUSIP: 31396YY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14595 | PA      | $15287.72     | 0.02%             | 2038-04-25      | Floating      | 8.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2012-H24, Class FA                                                            | CUSIP: 38375BWP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4349 | PA      | $4250.89      | 0.01%             | 2060-03-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2196, Class TL                                                        | CUSIP: 3133TMSB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        93 | PA      | $99.02        | 0.00%             | 2029-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-33, Class ID                                                      | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14518 | PA      | $1815.45      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                           | Tesla Auto Lease Trust, Series 2021-B, Class A4                                            | CUSIP: 88161KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51000 | PA      | $47520.94     | 0.06%             | 2025-09-22      | Fixed         | 0.63%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1997-81, Class PI                                                      | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2046 | PA      | $128.45       | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                   | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                 | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104812 | PA      | $93483.16     | 0.11%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                            | Athene Global Funding                                                                      | CUSIP: 04685A2U4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     68000 | PA      | $59895.38     | 0.07%             | 2026-01-08      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                          | GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3                                         | CUSIP: 3623416K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17281 | PA      | $29221.50     | 0.04%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2004-61, Class SH                                                      | CUSIP: 31394ARP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14446 | PA      | $14766.63     | 0.02%             | 2032-11-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| Mylan, Inc.                                                      | Mylan, Inc.                                                                                | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70630.06     | 0.09%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2002-28, Class PK                                                      | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9521 | PA      | $9898.73      | 0.01%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15039 | PA      | $15222.39     | 0.02%             | 2035-01-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2021-1A, Class B                                               | CUSIP: 23344GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17432 | PA      | $17277.09     | 0.02%             | 2025-09-15      | Fixed         | 0.62%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                   | Carvana Auto Receivables Trust, Series 2021-P4, Class A4                                   | CUSIP: 14687KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $134395.38    | 0.16%             | 2027-12-10      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-27, Class OH                                                      | CUSIP: 31395BZL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19041 | PA      | $16452.17     | 0.02%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                            | Westlake Automobile Receivables Trust, Series 2022-3A, Class A3                            | CUSIP: 96043PAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    183000 | PA      | $181995.48    | 0.22%             | 2026-07-15      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2010-71, Class HJ                                                      | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53247 | PA      | $54723.89     | 0.07%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                   | Morgan Stanley Capital I Trust, Series 2021-PLZA, Class A                                  | CUSIP: 61773PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147000 | PA      | $110499.32    | 0.14%             | 2043-11-09      | Fixed         | 2.57%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1026 | PA      | $1049.96      | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-71, Class DS                                                      | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50201 | PA      | $44243.99     | 0.05%             | 2033-08-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                               | British Airways Pass-Through Trust, Series 2018-1, Class AA                                | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48748 | PA      | $44088.97     | 0.05%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| VOLT C LLC                                                       | VOLT C LLC, Series 2021-NPL9, Class A1                                                     | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48587 | PA      | $43078.03     | 0.05%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-25, Class J                                                       | CUSIP: 31358TWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       123 | PA      | $122.32       | 0.00%             | 2023-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                     | Verizon Communications, Inc.                                                               | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21873.18     | 0.03%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series G93-5, Class Z                                                         | CUSIP: 31358TPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        18 | PA      | $18.12        | 0.00%             | 2023-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3000000 | PA      | $2681718.75   | 3.28%             | 2026-05-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                             | Mitsubishi UFJ Financial Group, Inc.                                                       | CUSIP: 606822BN3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    225000 | PA      | $211307.09    | 0.26%             | 2025-02-25      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Intuit, Inc.                                                     | Intuit, Inc.                                                                               | CUSIP: 46124HAD8<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    125000 | PA      | $100119.20    | 0.12%             | 2030-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                       | RALI Trust, Series 2002-QS16, Class A3                                                     | CUSIP: 76110GW49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       104 | PA      | $107.08       | 0.00%             | 2017-10-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, STRIPS, Series 300, Class 1                                                          | CUSIP: 31364HT56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2352 | PA      | $2286.68      | 0.00%             | 2024-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                               | Southern Co. (The), Series 21-B                                                            | CUSIP: 842587DH7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    167000 | PA      | $140558.74    | 0.17%             | 2028-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                    | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR5, Class A7                   | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18729 | PA      | $17206.36     | 0.02%             | 2033-06-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Public Service Enterprise Group, Inc.                            | Public Service Enterprise Group, Inc.                                                      | CUSIP: 744573AN6<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96535.78     | 0.12%             | 2024-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A             | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52046 | PA      | $53813.86     | 0.07%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                  | Virginia Electric and Power Co.                                                            | CUSIP: 927804FQ2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     21000 | PA      | $20653.80     | 0.03%             | 2024-02-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1927, Class PH                                                        | CUSIP: 3133T8TQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17076 | PA      | $17615.74     | 0.02%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                     | Ecopetrol SA                                                                               | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     58000 | PA      | $54433.00     | 0.07%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2019-65, Class PA                                                      | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169450 | PA      | $153859.73    | 0.19%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sabine Pass Liquefaction LLC                                     | Sabine Pass Liquefaction LLC                                                               | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18897.55     | 0.02%             | 2030-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31410ERP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27352 | PA      | $28102.39     | 0.03%             | 2046-07-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31374AUY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        71 | PA      | $70.49        | 0.00%             | 2025-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-22, Class UD                                                      | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44513 | PA      | $43233.97     | 0.05%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust                 | World Omni Automobile Lease Securitization Trust, Series 2021-A, Class A3                  | CUSIP: 98163JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     67000 | PA      | $64606.53     | 0.08%             | 2024-08-15      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3138L7US3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217111 | PA      | $209574.92    | 0.26%             | 2029-09-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                   | Broadcom, Inc.                                                                             | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     57000 | PA      | $41513.76     | 0.05%             | 2036-11-15      | Fixed         | 3.19%                 | Yes           |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                             | Coterra Energy, Inc.                                                                       | CUSIP: 127097AE3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     60000 | PA      | $56616.86     | 0.07%             | 2027-05-15      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                       | Corebridge Financial, Inc.                                                                 | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74884.47     | 0.09%             | 2027-04-05      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                       | Flagship Credit Auto Trust, Series 2019-4, Class C                                         | CUSIP: 33845FAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    105000 | PA      | $103440.65    | 0.13%             | 2025-12-15      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-79, Class OK                                                             | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42607 | PA      | $35802.88     | 0.04%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617LMSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322469 | PA      | $320515.43    | 0.39%             | 2049-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                                | World Omni Auto Receivables Trust, Series 2021-A, Class A3                                 | CUSIP: 98164EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98211 | PA      | $94479.63     | 0.12%             | 2026-01-15      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2224, Class CB                                                        | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5590 | PA      | $5977.30      | 0.01%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2009-6, Class SA                                                              | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9536 | PA      | $80.39        | 0.00%             | 2039-02-16      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CDV0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1914687.50   | 2.34%             | 2024-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                             | Cheniere Corpus Christi Holdings LLC                                                       | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50236.75     | 0.06%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34736 | PA      | $36839.29     | 0.05%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-44, Class P                                                       | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13877 | PA      | $11567.50     | 0.01%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-64, Class SX                                                      | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4900 | PA      | $4510.67      | 0.01%             | 2033-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets CMN Owner Trust                             | Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO                             | CUSIP: 45254TLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       437 | PA      | $310.07       | 0.00%             | 2033-04-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Advance Auto Parts, Inc.                                         | Advance Auto Parts, Inc.                                                                   | CUSIP: 00751YAG1<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41475.68     | 0.05%             | 2032-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Phillips 66                                                      | Phillips 66                                                                                | CUSIP: 718546AZ7<br>LEI: 5493005JBO5YSIGK1814 | Long             | DBT              | CORP              | US        |     28000 | PA      | $25141.30     | 0.03%             | 2026-02-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7752 | PA      | $7939.28      | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                             | American Airlines Pass-Through Trust, Series 2016-3, Class AA                              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31775 | PA      | $28031.56     | 0.03%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                             | Physicians Realty LP                                                                       | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |     37000 | PA      | $29085.58     | 0.04%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                               | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    341483 | PA      | $307010.57    | 0.38%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       484 | PA      | $495.02       | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Cargill, Inc.                                                    | Cargill, Inc.                                                                              | CUSIP: 141781BQ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |     75000 | PA      | $58826.80     | 0.07%             | 2031-02-02      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| Aon Global Ltd.                                                  | Aon Global Ltd.                                                                            | CUSIP: 00185AAK0<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |    143000 | PA      | $138986.48    | 0.17%             | 2025-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Brighthouse Financial Global Funding                             | Brighthouse Financial Global Funding                                                       | CUSIP: 10921U2A5<br>LEI: 549300BLFX3KJ2IFOA78 | Long             | DBT              | CORP              | US        |     38000 | PA      | $35662.36     | 0.04%             | 2024-04-12      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1998-1, Class 2E                                             | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19540 | PA      | $19708.32     | 0.02%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2040, Class PE                                                        | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12886 | PA      | $13409.03     | 0.02%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                   | AutoZone, Inc.                                                                             | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     83000 | PA      | $64391.67     | 0.08%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| VOLT XCIX LLC                                                    | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                                  | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70181 | PA      | $61945.54     | 0.08%             | 2051-04-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23211 | PA      | $24196.14     | 0.03%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                              | CNA Financial Corp.                                                                        | CUSIP: 126117AT7<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     38000 | PA      | $37521.64     | 0.05%             | 2026-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2169, Class TB                                                        | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32099 | PA      | $33373.77     | 0.04%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 3140J8TU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77861 | PA      | $72978.03     | 0.09%             | 2029-10-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2014-H15, Class FA                                                            | CUSIP: 38378U8D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    444908 | PA      | $438797.45    | 0.54%             | 2064-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3171, Class MO                                                        | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15205 | PA      | $13546.08     | 0.02%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K069, Class A2            | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    480000 | PA      | $456337.30    | 0.56%             | 2027-09-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2022-5A, Class B                               | CUSIP: 30167FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    107000 | PA      | $106519.25    | 0.13%             | 2027-03-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                          | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14617 | PA      | $15303.05     | 0.02%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                | BAT Capital Corp.                                                                          | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192888.92    | 0.24%             | 2024-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                       | CPS Auto Receivables Trust, Series 2022-C, Class B                                         | CUSIP: 12664DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $195368.94    | 0.24%             | 2030-04-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2412, Class SP                                                        | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16795 | PA      | $17443.50     | 0.02%             | 2032-02-15      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2001-81, Class LO                                                      | CUSIP: 31392BNB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1858 | PA      | $1684.64      | 0.00%             | 2032-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1518, Class G                                                         | CUSIP: 312915YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       311 | PA      | $308.85       | 0.00%             | 2023-05-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-189, Class PL                                                     | CUSIP: 31359EXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2685 | PA      | $2688.99      | 0.00%             | 2023-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-10, Class XI                                                      | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10680 | PA      | $790.59       | 0.00%             | 2038-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2004-90, Class SI                                                             | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66259 | PA      | $3438.74      | 0.00%             | 2034-10-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31373TSU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       164 | PA      | $164.48       | 0.00%             | 2024-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36204JM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       187 | PA      | $186.76       | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2003-34, Class GE                                                      | CUSIP: 31393CAU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112337 | PA      | $115168.02    | 0.14%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833LM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1890000 | PA      | $1832136.76   | 2.24%             | 2023-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                      | Amgen, Inc.                                                                                | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     43000 | PA      | $36578.84     | 0.04%             | 2028-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-122, Class M                                                      | CUSIP: 31359BPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       156 | PA      | $155.74       | 0.00%             | 2023-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                     | American Credit Acceptance Receivables Trust, Series 2022-2, Class A                       | CUSIP: 02530BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39418 | PA      | $39027.24     | 0.05%             | 2026-02-13      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31371NT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4379 | PA      | $4448.91      | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                             | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     51804 | PA      | $52906.20     | 0.06%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2441, Class GF                                                        | CUSIP: 3133TVJF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12229 | PA      | $12745.22     | 0.02%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                             | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     55126 | PA      | $52731.06     | 0.06%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       407 | PA      | $414.26       | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 1671, Class L                                                         | CUSIP: 3133T36F0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       869 | PA      | $866.70       | 0.00%             | 2024-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2007-40, Class SB                                                             | CUSIP: 38375KA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89420 | PA      | $4999.58      | 0.01%             | 2037-07-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class A                                 | CUSIP: 36263DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56438 | PA      | $55558.14     | 0.07%             | 2025-07-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| Packaging Corp. of America                                       | Packaging Corp. of America                                                                 | CUSIP: 695156AU3<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    100000 | PA      | $86413.43     | 0.11%             | 2029-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Workday, Inc.                                                    | Workday, Inc.                                                                              | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28360.77     | 0.03%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                              | Exeter Automobile Receivables Trust, Series 2022-3A, Class A3                              | CUSIP: 30166YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    150000 | PA      | $148546.62    | 0.18%             | 2026-01-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                 | Boeing Co. (The)                                                                           | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    250000 | PA      | $233067.21    | 0.29%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2484, Class LZ                                                        | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24202 | PA      | $24981.36     | 0.03%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                     | Oracle Corp.                                                                               | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    168000 | PA      | $140521.60    | 0.17%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Bonds                                                                        | CUSIP: 912810FJ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $567578.13    | 0.69%             | 2029-08-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                   | 7-Eleven, Inc.                                                                             | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     80000 | PA      | $66956.98     | 0.08%             | 2028-02-10      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                               | T-Mobile USA, Inc.                                                                         | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79601.28     | 0.10%             | 2031-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                     | AbbVie, Inc.                                                                               | CUSIP: 00287YBF5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97498.35     | 0.12%             | 2028-11-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                  | Goldman Sachs Group, Inc. (The)                                                            | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $71370.96     | 0.09%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1993-54, Class Z                                                       | CUSIP: 31358UYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       331 | PA      | $330.05       | 0.00%             | 2023-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                | HF Sinclair Corp.                                                                          | CUSIP: 403949AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     40000 | PA      | $40252.49     | 0.05%             | 2026-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                         | U.S. Treasury Notes                                                                        | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    580000 | PA      | $492003.13    | 0.60%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202CLW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       220 | PA      | $222.99       | 0.00%             | 2025-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31406QGB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10391 | PA      | $10545.99     | 0.01%             | 2035-02-01      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2013-H03, Class FA                                                            | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       144 | PA      | $141.71       | 0.00%             | 2060-08-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31371EW35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $84.11        | 0.00%             | 2024-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Assurant, Inc.                                                   | Assurant, Inc.                                                                             | CUSIP: 04621XAH1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |     68000 | PA      | $67284.21     | 0.08%             | 2023-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                       | Aviation Capital Group LLC                                                                 | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98814.91     | 0.12%             | 2023-05-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A             | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16544 | PA      | $15969.48     | 0.02%             | 2032-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA                                                                                       | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8042 | PA      | $8082.81      | 0.01%             | 2036-08-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2020-M50, Class A2                                                       | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165000 | PA      | $142417.32    | 0.17%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NBN0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     80000 | PA      | $77560.60     | 0.09%             | 2025-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                                | Santander Retail Auto Lease Trust, Series 2022-A, Class A3                                 | CUSIP: 80287CAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34000 | PA      | $32042.67     | 0.04%             | 2025-07-21      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                 | SLG Office Trust, Series 2021-OVA, Class A                                                 | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    155000 | PA      | $125018.95    | 0.15%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA UMBS, 30 Year                                                                         | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26325 | PA      | $27069.76     | 0.03%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128NFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33955 | PA      | $34546.23     | 0.04%             | 2036-08-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2022-1A, Class A                                               | CUSIP: 23345YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98508 | PA      | $96425.63     | 0.12%             | 2026-04-15      | Fixed         | 1.58%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                        | UDR, Inc.                                                                                  | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |     48000 | PA      | $35645.23     | 0.04%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36266 | PA      | $31942.72     | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                              | Toyota Auto Receivables Owner Trust, Series 2020-C, Class A4                               | CUSIP: 89237VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56000 | PA      | $53246.52     | 0.07%             | 2025-10-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                              | Seasoned Credit Risk Transfer Trust, Series 2018-1, Class M60C                             | CUSIP: 35563PEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175343 | PA      | $165343.34    | 0.20%             | 2057-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2005-73, Class PS                                                      | CUSIP: 31394EC48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38363 | PA      | $39391.20     | 0.05%             | 2035-08-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                   | Morgan Stanley                                                                             | CUSIP: 61744YAK4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    150000 | PA      | $138453.56    | 0.17%             | 2028-07-22      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KSMC, Class A2            | CUSIP: 3137B04Y7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $497639.85    | 0.61%             | 2023-01-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2990, Class UZ                                                        | CUSIP: 31395V4P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296681 | PA      | $302436.98    | 0.37%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                            | Vendee Mortgage Trust, Series 1994-1, Class 1                                              | CUSIP: 911760DD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10023 | PA      | $9931.89      | 0.01%             | 2024-02-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, Other                                                                                | CUSIP: 31410GAH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8468 | PA      | $8591.03      | 0.01%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                         | Marvell Technology, Inc.                                                                   | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     52000 | PA      | $42489.95     | 0.05%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 36202C4S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        19 | PA      | $19.32        | 0.00%             | 2028-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36204DKT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1168 | PA      | $1207.07      | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2004-71, Class SB                                                             | CUSIP: 38374JBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10817 | PA      | $11102.00     | 0.01%             | 2034-09-20      | Floating      | 10.12%                | No            |                  2 | On Loan: No      |
| Paramount Global                                                 | Paramount Global                                                                           | CUSIP: 124857AQ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95771.99     | 0.12%             | 2026-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC Gold Pools, 30 Year                                                                  | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14357 | PA      | $14863.06     | 0.02%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                           | Santander Drive Auto Receivables Trust, Series 2020-4, Class C                             | CUSIP: 80286WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35974 | PA      | $35536.36     | 0.04%             | 2026-01-15      | Fixed         | 1.01%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                  | CHL Mortgage Pass-Through Trust, Series 2004-5, Class 1A4                                  | CUSIP: 12669FVR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11365 | PA      | $11019.90     | 0.01%             | 2034-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                    | Equinix, Inc.                                                                              | CUSIP: 29444UBR6<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     37000 | PA      | $31118.11     | 0.04%             | 2028-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A                                 | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    250000 | PA      | $238871.18    | 0.29%             | 2030-02-15      | Fixed         | 0.96%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                         | Avis Budget Rental Car Funding AESOP LLC, Series 2020-1A, Class A                          | CUSIP: 05377RDU5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $91619.83     | 0.11%             | 2026-08-20      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                     | MASTR Alternative Loan Trust, Series 2005-6, Class 3A1                                     | CUSIP: 576434W59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7320 | PA      | $5101.04      | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6961 | PA      | $7191.24      | 0.01%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.           | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A          | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |      3879 | PA      | $3813.17      | 0.00%             | 2033-09-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2450, Class GZ                                                        | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19821 | PA      | $21171.50     | 0.03%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                       | Flagship Credit Auto Trust, Series 2021-3, Class A                                         | CUSIP: 33846QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62466 | PA      | $60299.66     | 0.07%             | 2027-07-15      | Fixed         | 0.36%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                                | Duke Energy Corp.                                                                          | CUSIP: 26441CAN5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147686.12    | 0.18%             | 2024-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                | HF Sinclair Corp.                                                                          | CUSIP: 403949AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000 | PA      | $11753.83     | 0.01%             | 2023-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                    | Duquesne Light Holdings, Inc.                                                              | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     14000 | PA      | $10980.17     | 0.01%             | 2032-01-07      | Fixed         | 2.77%                 | Yes           |                  2 | On Loan: No      |
| SITE Centers Corp.                                               | SITE Centers Corp.                                                                         | CUSIP: 23317HAD4<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11323.65     | 0.01%             | 2025-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2020-3A, Class B                                               | CUSIP: 26253AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21374 | PA      | $21276.93     | 0.03%             | 2024-12-16      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                            | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                           | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20200 | PA      | $18907.61     | 0.02%             | 2034-04-21      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA, Series 2008-40, Class SA                                                             | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55433 | PA      | $3361.44      | 0.00%             | 2038-05-16      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                    | Comcast Corp.                                                                              | CUSIP: 20030NBL4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     77000 | PA      | $74934.47     | 0.09%             | 2025-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA I, 30 Year                                                                            | CUSIP: 36225BCA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         1 | PA      | $1.04         | 0.00%             | 2025-12-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-72, Class GO                                                      | CUSIP: 31396KJK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18195 | PA      | $16017.12     | 0.02%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                             | GNMA II, 30 Year                                                                           | CUSIP: 3617K1XV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58277 | PA      | $57286.14     | 0.07%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                               | Crown Castle, Inc.                                                                         | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     72000 | PA      | $58231.05     | 0.07%             | 2031-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                          | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                         | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6455 | PA      | $6326.47      | 0.01%             | 2034-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                              | Realty Income Corp.                                                                        | CUSIP: 756109AU8<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    150000 | PA      | $140561.00    | 0.17%             | 2028-01-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                    | Banc of America Funding Trust, Series 2004-1                                               | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6360 | PA      | $4416.84      | 0.01%             | 2034-03-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                         | U.S. Treasury STRIPS Bonds                                                                 | CUSIP: 912833PA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     47000 | PA      | $40565.63     | 0.05%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC                                                                                      | CUSIP: 3128S4ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11290 | PA      | $11141.37     | 0.01%             | 2036-11-01      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                        | Mid-America Apartments LP                                                                  | CUSIP: 59523UAP2<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47469.89     | 0.06%             | 2028-06-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                       | FHLMC Gold Pools, Other                                                                    | CUSIP: 3132XFJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    400000 | PA      | $346373.50    | 0.42%             | 2028-11-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA ACES, Series 2018-M2, Class A2                                                        | CUSIP: 3136B0YM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477524 | PA      | $448298.76    | 0.55%             | 2028-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 1998-4, Class C                                                        | CUSIP: 31359RA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $24.16        | 0.00%             | 2023-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                              | DT Auto Owner Trust, Series 2021-3A, Class C                                               | CUSIP: 23344QAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95000 | PA      | $88315.34     | 0.11%             | 2027-05-17      | Fixed         | 0.87%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-77, Class PC                                                      | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22600 | PA      | $23352.29     | 0.03%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K083, Class A2            | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297000 | PA      | $292109.36    | 0.36%             | 2028-09-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 2351, Class PZ                                                        | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7617 | PA      | $7825.50      | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                            | FHLMC, REMIC, Series 3137, Class XP                                                        | CUSIP: 31396N2Q8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42671 | PA      | $44520.05     | 0.05%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2008-16, Class IS                                                      | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6487 | PA      | $474.06       | 0.00%             | 2038-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                             | FNMA, REMIC, Series 2006-65, Class QO                                                      | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12556 | PA      | $10664.05     | 0.01%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Institutional Trust

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer