# EDGAR Filing Document

**Accession Number:** 0001303608
**File Stem:** 0001752724-25-180668
**Filing Date:** 2025-7
**Character Count:** 1276874
**Document Hash:** 0e7854be93d7887e000a3859bd41a57c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-180668.hdr.sgml**: 20250728

**ACCESSION NUMBER**: 0001752724-25-180668

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250728

**DATE AS OF CHANGE**: 20250728

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Institutional Trust
- **CENTRAL INDEX KEY:** 0001303608

**ORGANIZATION NAME:**
- **EIN:** 201491791
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21638
- **FILM NUMBER:** 251154623

**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 Core Bond Trust (Series ID: S000007337)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000020141 | JPMorgan Core Bond Trust |  |

## Nport-Ex

**JPMorgan Core Bond Trust**

**Schedule of Portfolio Investments as of May 31, 2025**

**(Unaudited)** 

---

| |
|:---|
| &nbsp;&nbsp; THE "UNAUDITED MUTUAL FUNDS HOLDINGS" LIST ("the <br> List") IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS <br> NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR <br> SALES LITERATURE WITH THE GENERAL PUBLIC. The list is <br> submitted for the general information of the shareholders of the Fund. <br> It is not authorized for distribution to prospective investors in the Fund <br> unless preceded or accompanied by a prospectus. The list has been <br> created from the books and records of the Fund. Holdings are <br> available 60 days after the fund's fiscal quarter, using a trade date <br> accounting convention, by contacting the appropriate service center. <br> The list is subject to change without notice. The list is for <br> informational purposes only and is not intended as an offer or <br> solicitation with respect to the purchase or sale of any security.<br>|
| &nbsp;&nbsp; JPMorgan Asset Management is the marketing name for the asset <br> management business of J.P. Morgan Chase & Co.<br>|
| J.P. Morgan Distribution Services, Inc., member FINRA. |
|© J.P. Morgan Chase & Co., 2025. |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| **U.S. Treasury Obligations — 32.3%** | **U.S. Treasury Obligations — 32.3%** | **U.S. Treasury Obligations — 32.3%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 5/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 5350 | &nbsp;&nbsp;&nbsp;&nbsp; 3250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 10580 | &nbsp;&nbsp;&nbsp;&nbsp; 9543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 18355 | &nbsp;&nbsp;&nbsp;&nbsp; 13065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 48290 | &nbsp;&nbsp;&nbsp;&nbsp; 34401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 12300 | &nbsp;&nbsp;&nbsp;&nbsp; 9175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 4400 | &nbsp;&nbsp;&nbsp;&nbsp; 3940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 2/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp;&nbsp;&nbsp; 327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 15720 | &nbsp;&nbsp;&nbsp;&nbsp; 11872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6564 | &nbsp;&nbsp;&nbsp;&nbsp; 5538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 24928 | &nbsp;&nbsp;&nbsp;&nbsp; 21359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 29645 | &nbsp;&nbsp;&nbsp;&nbsp; 23882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 4465 | &nbsp;&nbsp;&nbsp;&nbsp; 4012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 8200 | &nbsp;&nbsp;&nbsp;&nbsp; 6177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 10363 | &nbsp;&nbsp;&nbsp;&nbsp; 6631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp;&nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3757 | &nbsp;&nbsp;&nbsp;&nbsp; 2787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2610 | &nbsp;&nbsp;&nbsp;&nbsp; 1886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 14665 | &nbsp;&nbsp;&nbsp;&nbsp; 8972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 37120 | &nbsp;&nbsp;&nbsp;&nbsp; 23300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5329 | &nbsp;&nbsp;&nbsp;&nbsp; 3052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 565 | &nbsp;&nbsp;&nbsp;&nbsp; 271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8800 | &nbsp;&nbsp;&nbsp;&nbsp; 4518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 18386 | &nbsp;&nbsp;&nbsp;&nbsp; 10060 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 810 | &nbsp;&nbsp;&nbsp;&nbsp; 455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 11/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7225 | &nbsp;&nbsp;&nbsp;&nbsp; 3915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3325 | &nbsp;&nbsp;&nbsp;&nbsp; 1980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1942 | &nbsp;&nbsp;&nbsp;&nbsp; 1334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1505 | &nbsp;&nbsp;&nbsp;&nbsp; 1405 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 458 | &nbsp;&nbsp;&nbsp;&nbsp; 463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1580 | &nbsp;&nbsp;&nbsp;&nbsp; 1680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 447 | &nbsp;&nbsp;&nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 43900 | &nbsp;&nbsp;&nbsp;&nbsp; 43999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 5/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 11705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 43850 | &nbsp;&nbsp;&nbsp;&nbsp; 43137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 9/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4690 | &nbsp;&nbsp;&nbsp;&nbsp; 4328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 64920 | &nbsp;&nbsp;&nbsp;&nbsp; 64956 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50370 | &nbsp;&nbsp;&nbsp;&nbsp; 49864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 6/30/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 13470 | &nbsp;&nbsp;&nbsp;&nbsp; 12454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 7/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9500 | &nbsp;&nbsp;&nbsp;&nbsp; 8693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 7/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 38000 | &nbsp;&nbsp;&nbsp;&nbsp; 38284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3850 | &nbsp;&nbsp;&nbsp;&nbsp; 3569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/28/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 18000 | &nbsp;&nbsp;&nbsp;&nbsp; 16739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 4/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 25060 | &nbsp;&nbsp;&nbsp;&nbsp; 24122 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 35100 | &nbsp;&nbsp;&nbsp;&nbsp; 34210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 1/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 54415 | &nbsp;&nbsp;&nbsp;&nbsp; 55087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 10/31/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 17985 | &nbsp;&nbsp;&nbsp;&nbsp; 18723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1040 | &nbsp;&nbsp;&nbsp;&nbsp; 878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 63070 | &nbsp;&nbsp;&nbsp;&nbsp; 54698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 2/29/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 37975 | &nbsp;&nbsp;&nbsp;&nbsp; 37910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 15725 | &nbsp;&nbsp;&nbsp;&nbsp; 14501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20510 | &nbsp;&nbsp;&nbsp;&nbsp; 18684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 56200 | &nbsp;&nbsp;&nbsp;&nbsp; 57039 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4046 | &nbsp;&nbsp;&nbsp;&nbsp; 3953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 10785 | &nbsp;&nbsp;&nbsp;&nbsp; 10391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 53050 | &nbsp;&nbsp;&nbsp;&nbsp; 52528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 31015 | &nbsp;&nbsp;&nbsp;&nbsp; 31597 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.52%, 8/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6780 | &nbsp;&nbsp;&nbsp;&nbsp; 5477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.47%, 11/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6865 | &nbsp;&nbsp;&nbsp;&nbsp; 5482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.77%, 2/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11800 | &nbsp;&nbsp;&nbsp;&nbsp; 9303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.49%, 5/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14050 | &nbsp;&nbsp;&nbsp;&nbsp; 10953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.68%, 8/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 29215 | &nbsp;&nbsp;&nbsp;&nbsp; 22493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.51%, 11/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10790 | &nbsp;&nbsp;&nbsp;&nbsp; 8207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.01%, 11/15/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5430 | &nbsp;&nbsp;&nbsp;&nbsp; 2494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.11%, 2/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3487 | &nbsp;&nbsp;&nbsp;&nbsp; 1579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.64%, 11/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 5/15/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3560 | &nbsp;&nbsp;&nbsp;&nbsp; 1207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $1,063,496)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 1004318 |
| **Corporate Bonds — 23.2%** | **Corporate Bonds — 23.2%** | **Corporate Bonds — 23.2%** |
| **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** |
| &nbsp;&nbsp;&nbsp; Airbus SE (France) 3.95%, 4/10/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 119 |
| &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) | &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) | &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 2/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1007 | &nbsp;&nbsp;&nbsp;&nbsp; 863 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 9/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 502 | &nbsp;&nbsp;&nbsp;&nbsp; 318 |
| &nbsp;&nbsp;&nbsp; Boeing Co. (The)  | &nbsp;&nbsp;&nbsp; Boeing Co. (The)  | &nbsp;&nbsp;&nbsp; Boeing Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp; 692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 2/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1385 | &nbsp;&nbsp;&nbsp;&nbsp; 1360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp; 966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp; 808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1095 | &nbsp;&nbsp;&nbsp;&nbsp; 1152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1540 | &nbsp;&nbsp;&nbsp;&nbsp; 1553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.39%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp; 662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.53%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp; 1089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc.  | &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc.  | &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp; 1153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 7/31/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1082 | &nbsp;&nbsp;&nbsp;&nbsp; 1096 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Aerospace & Defense — continued** | **Aerospace & Defense — continued** | **Aerospace & Defense — continued** |
| &nbsp;&nbsp;&nbsp; Leidos, Inc.  | &nbsp;&nbsp;&nbsp; Leidos, Inc.  | &nbsp;&nbsp;&nbsp; Leidos, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp; 647 |
| &nbsp;&nbsp;&nbsp; RTX Corp.  | &nbsp;&nbsp;&nbsp; RTX Corp.  | &nbsp;&nbsp;&nbsp; RTX Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 2/27/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp;&nbsp;&nbsp; 940 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2799 | &nbsp;&nbsp;&nbsp;&nbsp; 2421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 543 | &nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 4/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 162 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 17871 |
| **Automobiles — 0.2%** | **Automobiles — 0.2%** | **Automobiles — 0.2%** |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 1/8/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 6/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 775 | &nbsp;&nbsp;&nbsp;&nbsp; 748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/10/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 1/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp;&nbsp;&nbsp; 745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 6/24/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 825 | &nbsp;&nbsp;&nbsp;&nbsp; 833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 9/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 980 |
| &nbsp;&nbsp;&nbsp; Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 785 | &nbsp;&nbsp;&nbsp;&nbsp; 651 |
| &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6050 |
| **Banks — 7.1%** | **Banks — 7.1%** | **Banks — 7.1%** |
| &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) | &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) | &nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 6.34%, 9/18/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp; 917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 5.52%, 12/3/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1603 |
| &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.32%, 5/15/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2470 | &nbsp;&nbsp;&nbsp;&nbsp; 2492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.91%), 5.87%, 3/28/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1523 |
| &nbsp;&nbsp;&nbsp; ANZ New Zealand Int'l Ltd. (New Zealand) 5.36%, 8/14/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1070 | &nbsp;&nbsp;&nbsp;&nbsp; 1100 |
| &nbsp;&nbsp;&nbsp; Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp;&nbsp;&nbsp; 262 |
| &nbsp;&nbsp;&nbsp; Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1038 |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.59%, 8/8/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 3084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.61%, 11/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp; 1487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.57%, 1/17/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp; 1671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 4.38%, 4/27/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.30%), 3.42%, 12/20/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2926 | &nbsp;&nbsp;&nbsp;&nbsp; 2839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.20%, 4/25/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1890 | &nbsp;&nbsp;&nbsp;&nbsp; 1921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 5.82%, 9/15/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2710 | &nbsp;&nbsp;&nbsp;&nbsp; 2808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.15%), 2.59%, 4/29/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1510 | &nbsp;&nbsp;&nbsp;&nbsp; 1362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 2.57%, 10/20/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp; 971 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.33%), 2.97%, 2/4/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.84%), 5.87%, 9/15/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1440 | &nbsp;&nbsp;&nbsp;&nbsp; 1496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.47%, 1/23/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1150 | &nbsp;&nbsp;&nbsp;&nbsp; 1162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.68%, 6/19/2041 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7185 | &nbsp;&nbsp;&nbsp;&nbsp; 5010 |
| &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) | &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) | &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 755 | &nbsp;&nbsp;&nbsp;&nbsp; 728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.62%), 5.60%, 3/20/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp; 914 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) (SOFR + 1.25%), 4.64%, 9/10/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 790 | &nbsp;&nbsp;&nbsp;&nbsp; 789 |
| &nbsp;&nbsp;&nbsp; Bank of New Zealand (New Zealand) 5.08%, 1/30/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 910 | &nbsp;&nbsp;&nbsp;&nbsp; 926 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) 4.85%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1650 | &nbsp;&nbsp;&nbsp;&nbsp; 1668 |
| &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.79%, 7/13/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2405 | &nbsp;&nbsp;&nbsp;&nbsp; 2480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 405 | &nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.88%), 6.50%, 9/13/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2840 | &nbsp;&nbsp;&nbsp;&nbsp; 2899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 4.94%, 9/10/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp; 1018 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.23%), 5.37%, 2/25/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp;&nbsp;&nbsp; 953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 585 | &nbsp;&nbsp;&nbsp;&nbsp; 509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.79%, 2/25/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp; 897 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 832 | &nbsp;&nbsp;&nbsp;&nbsp; 832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.52%), 5.18%, 1/9/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2015 | &nbsp;&nbsp;&nbsp;&nbsp; 2040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.50%, 5/20/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1222 | &nbsp;&nbsp;&nbsp;&nbsp; 1245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 5.28%, 11/19/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4585 | &nbsp;&nbsp;&nbsp;&nbsp; 4629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.68%), 5.09%, 5/9/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3895 | &nbsp;&nbsp;&nbsp;&nbsp; 3897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.62%), 5.79%, 1/13/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2085 | &nbsp;&nbsp;&nbsp;&nbsp; 2136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 3.13%, 1/20/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 765 | &nbsp;&nbsp;&nbsp;&nbsp; 668 |
| &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.27%), 6.71%, 10/19/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.96%), 5.72%, 1/18/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp; 642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.68%), 5.88%, 1/14/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1135 | &nbsp;&nbsp;&nbsp;&nbsp; 1167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 5.39%, 5/28/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3605 | &nbsp;&nbsp;&nbsp;&nbsp; 3636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp;&nbsp;&nbsp; 620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.85%), 5.94%, 5/30/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1495 | &nbsp;&nbsp;&nbsp;&nbsp; 1514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.04%), 6.29%, 1/14/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1485 | &nbsp;&nbsp;&nbsp;&nbsp; 1541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.96%), 6.03%, 5/28/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3945 | &nbsp;&nbsp;&nbsp;&nbsp; 4004 |
| &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.08%), 6.68%, 9/13/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3480 | &nbsp;&nbsp;&nbsp;&nbsp; 3560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.26%), 6.04%, 6/15/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4960 | &nbsp;&nbsp;&nbsp;&nbsp; 5112 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.26%, 4/8/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp; 645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 4.63%, 9/11/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp;&nbsp;&nbsp; 2785 |
| &nbsp;&nbsp;&nbsp; Capital One NA 4.25%, 3/13/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1205 | &nbsp;&nbsp;&nbsp;&nbsp; 1201 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 865 | &nbsp;&nbsp;&nbsp;&nbsp; 865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.65%), 3.67%, 7/24/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1573 | &nbsp;&nbsp;&nbsp;&nbsp; 1538 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 4.54%, 9/19/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1912 | &nbsp;&nbsp;&nbsp;&nbsp; 1888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.46%), 4.95%, 5/7/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.35%), 3.06%, 1/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 719 | &nbsp;&nbsp;&nbsp;&nbsp; 632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.45%), 5.45%, 6/11/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5850 | &nbsp;&nbsp;&nbsp;&nbsp; 5862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 2.90%, 11/3/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) | &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) | &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 8/4/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp; 782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp;&nbsp;&nbsp; 935 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.13%), 5.23%, 1/9/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 639 | &nbsp;&nbsp;&nbsp;&nbsp; 646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.86%), 6.32%, 10/3/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp; 852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.69%), 5.34%, 1/10/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 571 | &nbsp;&nbsp;&nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.46%), 5.22%, 5/27/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1815 | &nbsp;&nbsp;&nbsp;&nbsp; 1831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.86%, 1/9/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2440 | &nbsp;&nbsp;&nbsp;&nbsp; 2479 |
| &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) | &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) | &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1535 | &nbsp;&nbsp;&nbsp;&nbsp; 1582 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp;&nbsp;&nbsp; 987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.93%), 5.02%, 3/4/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp;&nbsp;&nbsp; 1450 |
| &nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) (SOFR + 1.05%), 4.85%, 11/5/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 975 | &nbsp;&nbsp;&nbsp;&nbsp; 979 |
| &nbsp;&nbsp;&nbsp; Federation des Caisses Desjardins du Quebec (Canada) 5.70%, 3/14/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1280 | &nbsp;&nbsp;&nbsp;&nbsp; 1319 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 939 | &nbsp;&nbsp;&nbsp;&nbsp; 937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.81%), 4.04%, 3/13/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp;&nbsp;&nbsp; 893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 2.01%, 9/22/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp;&nbsp;&nbsp; 1142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 2.21%, 8/17/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp; 751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 5.29%, 11/19/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2375 | &nbsp;&nbsp;&nbsp;&nbsp; 2399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 5.13%, 3/3/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 855 | &nbsp;&nbsp;&nbsp;&nbsp; 857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.95%), 2.36%, 8/18/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1160 | &nbsp;&nbsp;&nbsp;&nbsp; 1017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.65%), 6.33%, 3/9/2044 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 735 |
| &nbsp;&nbsp;&nbsp; Huntington Bancshares, Inc. (SOFR + 1.28%), 5.27%, 1/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp; 930 |
| &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) | &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) | &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.01%), 1.73%, 4/1/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 705 | &nbsp;&nbsp;&nbsp;&nbsp; 688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 6.08%, 9/11/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) | &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) | &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 4.93%, 10/16/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 6.32%, 9/21/2034 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1890 | &nbsp;&nbsp;&nbsp;&nbsp; 1996 |
| &nbsp;&nbsp;&nbsp; KeyCorp (SOFRINDX + 1.23%), 5.12%, 4/4/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1465 | &nbsp;&nbsp;&nbsp;&nbsp; 1462 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.58%, 12/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 980 | &nbsp;&nbsp;&nbsp;&nbsp; 952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.38%), 5.46%, 1/5/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1140 | &nbsp;&nbsp;&nbsp;&nbsp; 1153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/22/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp;&nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.68%, 1/5/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1240 | &nbsp;&nbsp;&nbsp;&nbsp; 1253 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 940 | &nbsp;&nbsp;&nbsp;&nbsp; 908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.17%), 5.16%, 4/24/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 811 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1057 | &nbsp;&nbsp;&nbsp;&nbsp; 1023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.38%, 7/10/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.57%), 2.87%, 9/13/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp; 668 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 4/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp; 2014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1480 | &nbsp;&nbsp;&nbsp;&nbsp; 1492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.75%), 4.89%, 5/18/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp; 692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.91%), 5.08%, 1/27/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 905 | &nbsp;&nbsp;&nbsp;&nbsp; 910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.87%), 4.45%, 5/8/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 6240 | &nbsp;&nbsp;&nbsp;&nbsp; 6136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.11%, 5/23/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 870 | &nbsp;&nbsp;&nbsp;&nbsp; 873 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) 5.41%, 5/17/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2564 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 865 | &nbsp;&nbsp;&nbsp;&nbsp; 881 |
| &nbsp;&nbsp;&nbsp; PNC Financial Services Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; PNC Financial Services Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; PNC Financial Services Group, Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.33%), 4.90%, 5/13/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1780 | &nbsp;&nbsp;&nbsp;&nbsp; 1782 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.26%), 4.81%, 10/21/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1160 | &nbsp;&nbsp;&nbsp;&nbsp; 1145 |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) (SOFRINDX + 1.08%), 4.65%, 10/18/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1820 | &nbsp;&nbsp;&nbsp;&nbsp; 1812 |
| &nbsp;&nbsp;&nbsp; Santander Holdings USA, Inc.  | &nbsp;&nbsp;&nbsp; Santander Holdings USA, Inc.  | &nbsp;&nbsp;&nbsp; Santander Holdings USA, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.50%), 6.17%, 1/9/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.14%), 6.34%, 5/31/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp; 686 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.60%), 6.53%, 1/10/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp; 2180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.55%), 4.86%, 9/11/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1290 | &nbsp;&nbsp;&nbsp;&nbsp; 1277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.52%), 5.69%, 4/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp; 1739 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1860 | &nbsp;&nbsp;&nbsp;&nbsp; 1907 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/19/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1379 | &nbsp;&nbsp;&nbsp;&nbsp; 1387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 5.63%, 1/19/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1207 | &nbsp;&nbsp;&nbsp;&nbsp; 1227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.51%, 5/22/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3585 | &nbsp;&nbsp;&nbsp;&nbsp; 3611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1915 | &nbsp;&nbsp;&nbsp;&nbsp; 1662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 6.10%, 4/13/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2380 | &nbsp;&nbsp;&nbsp;&nbsp; 2448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.07%, 1/19/2035 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 878 | &nbsp;&nbsp;&nbsp;&nbsp; 891 |
| &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, 5/14/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 582 | &nbsp;&nbsp;&nbsp;&nbsp; 590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 880 | &nbsp;&nbsp;&nbsp;&nbsp; 939 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.15%), 5.01%, 10/15/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1065 | &nbsp;&nbsp;&nbsp;&nbsp; 1064 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) | &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1315 | &nbsp;&nbsp;&nbsp;&nbsp; 1236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 1/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1480 | &nbsp;&nbsp;&nbsp;&nbsp; 1541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.24%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1532 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.16%, 1/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 611 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.52%, 7/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 505 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 1/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1410 | &nbsp;&nbsp;&nbsp;&nbsp; 1430 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp.  | &nbsp;&nbsp;&nbsp; Truist Financial Corp.  | &nbsp;&nbsp;&nbsp; Truist Financial Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.05%), 6.05%, 6/8/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp; 729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.45%), 7.16%, 10/30/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1060 | &nbsp;&nbsp;&nbsp;&nbsp; 1141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.85%), 5.12%, 1/26/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 765 | &nbsp;&nbsp;&nbsp;&nbsp; 750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.92%), 5.71%, 1/24/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 824 | &nbsp;&nbsp;&nbsp;&nbsp; 837 |
| &nbsp;&nbsp;&nbsp; UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 665 | &nbsp;&nbsp;&nbsp;&nbsp; 646 |
| &nbsp;&nbsp;&nbsp; US Bancorp  | &nbsp;&nbsp;&nbsp; US Bancorp  | &nbsp;&nbsp;&nbsp; US Bancorp  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 5.38%, 1/23/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 965 | &nbsp;&nbsp;&nbsp;&nbsp; 987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.30%), 5.08%, 5/15/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1960 | &nbsp;&nbsp;&nbsp;&nbsp; 1976 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.37%), 4.97%, 4/23/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1450 | &nbsp;&nbsp;&nbsp;&nbsp; 1461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.57%, 7/25/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.79%), 6.30%, 10/23/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp; 598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.50%), 5.20%, 1/23/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1385 | &nbsp;&nbsp;&nbsp;&nbsp; 1408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.99%), 5.56%, 7/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2355 | &nbsp;&nbsp;&nbsp;&nbsp; 2385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 5.21%, 12/3/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4510 | &nbsp;&nbsp;&nbsp;&nbsp; 4423 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 220603 |
| **Beverages — 0.1%** | **Beverages — 0.1%** | **Beverages — 0.1%** |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2583 | &nbsp;&nbsp;&nbsp;&nbsp; 2483 |
| &nbsp;&nbsp;&nbsp; Coca-Cola Femsa SAB de CV (Mexico) 1.85%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 675 | &nbsp;&nbsp;&nbsp;&nbsp; 543 |
| &nbsp;&nbsp;&nbsp; Constellation Brands, Inc.  | &nbsp;&nbsp;&nbsp; Constellation Brands, Inc.  | &nbsp;&nbsp;&nbsp; Constellation Brands, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 5/9/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp; 197 |
| &nbsp;&nbsp;&nbsp; Molson Coors Beverage Co. 4.20%, 7/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1047 | &nbsp;&nbsp;&nbsp;&nbsp; 819 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4336 |
| **Biotechnology — 0.5%** | **Biotechnology — 0.5%** | **Biotechnology — 0.5%** |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc.  | &nbsp;&nbsp;&nbsp; AbbVie, Inc.  | &nbsp;&nbsp;&nbsp; AbbVie, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/21/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 4909 | &nbsp;&nbsp;&nbsp;&nbsp; 4192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/6/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 790 | &nbsp;&nbsp;&nbsp;&nbsp; 678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/14/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp; Amgen, Inc.  | &nbsp;&nbsp;&nbsp; Amgen, Inc.  | &nbsp;&nbsp;&nbsp; Amgen, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 3/2/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp;&nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.66%, 6/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1854 | &nbsp;&nbsp;&nbsp;&nbsp; 1538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 3/2/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1717 | &nbsp;&nbsp;&nbsp;&nbsp; 1634 |
| &nbsp;&nbsp;&nbsp; Biogen, Inc. 5.75%, 5/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1235 | &nbsp;&nbsp;&nbsp;&nbsp; 1243 |
| &nbsp;&nbsp;&nbsp; Gilead Sciences, Inc. 2.60%, 10/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 3835 | &nbsp;&nbsp;&nbsp;&nbsp; 2684 |
| &nbsp;&nbsp;&nbsp; Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1270 | &nbsp;&nbsp;&nbsp;&nbsp; 1088 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14052 |
| **Broadline Retail — 0.0% ^** | **Broadline Retail — 0.0% ^** | **Broadline Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc. 3.88%, 8/22/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp; 980 |
| **Building Products — 0.1%** | **Building Products — 0.1%** | **Building Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; Masco Corp.  | &nbsp;&nbsp;&nbsp; Masco Corp.  | &nbsp;&nbsp;&nbsp; Masco Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 293 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Building Products — continued** | **Building Products — continued** | **Building Products — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 631 |
| &nbsp;&nbsp;&nbsp; Trane Technologies Financing Ltd. 5.25%, 3/3/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp; 663 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1587 |
| **Capital Markets — 1.6%** | **Capital Markets — 1.6%** | **Capital Markets — 1.6%** |
| &nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp. (The) (SOFR + 1.85%), 6.47%, 10/25/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 1088 |
| &nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp;&nbsp; 347 |
| &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 1/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 337 | &nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 3/29/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 411 | &nbsp;&nbsp;&nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.52%), 7.15%, 7/13/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 645 | &nbsp;&nbsp;&nbsp;&nbsp; 660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 2.31%, 11/16/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp; 626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.32%), 2.55%, 1/7/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp; 1253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.71%, 2/8/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 360 | &nbsp;&nbsp;&nbsp;&nbsp; 364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 5.37%, 1/10/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1720 | &nbsp;&nbsp;&nbsp;&nbsp; 1739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.18%), 6.72%, 1/18/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 868 | &nbsp;&nbsp;&nbsp;&nbsp; 906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 5/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1005 | &nbsp;&nbsp;&nbsp;&nbsp; 1034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.51%), 6.82%, 11/20/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.70%), 5.00%, 9/11/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 665 | &nbsp;&nbsp;&nbsp;&nbsp; 662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.72%), 5.30%, 5/9/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2415 | &nbsp;&nbsp;&nbsp;&nbsp; 2418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.05%), 5.40%, 9/11/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp;&nbsp; 668 |
| &nbsp;&nbsp;&nbsp; FMR LLC 6.45%, 11/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 546 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.91%), 1.95%, 10/21/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp; 751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.11%), 2.64%, 2/24/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1260 | &nbsp;&nbsp;&nbsp;&nbsp; 1217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.77%), 6.48%, 10/24/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 1424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 5.05%, 7/23/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1455 | &nbsp;&nbsp;&nbsp;&nbsp; 1467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.14%), 4.69%, 10/23/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp; 1833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 5.22%, 4/23/2031 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1483 | &nbsp;&nbsp;&nbsp;&nbsp; 1505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.09%), 1.99%, 1/27/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 880 | &nbsp;&nbsp;&nbsp;&nbsp; 749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 2.62%, 4/22/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.25%), 2.38%, 7/21/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2255 | &nbsp;&nbsp;&nbsp;&nbsp; 1941 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.55%), 5.33%, 7/23/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3075 | &nbsp;&nbsp;&nbsp;&nbsp; 3049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp;&nbsp; 737 |
| &nbsp;&nbsp;&nbsp; Jefferies Financial Group, Inc. 6.45%, 6/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 749 | &nbsp;&nbsp;&nbsp;&nbsp; 772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, <br> 3/3/2036 (b) (c) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp;&nbsp;&nbsp; 506 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.16%, 4/20/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1975 | &nbsp;&nbsp;&nbsp;&nbsp; 2003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.45%, 7/20/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1965 | &nbsp;&nbsp;&nbsp;&nbsp; 2010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.45%), 5.17%, 1/16/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2470 | &nbsp;&nbsp;&nbsp;&nbsp; 2508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 5.04%, 7/19/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp; 621 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 1.79%, 2/13/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1740 | &nbsp;&nbsp;&nbsp;&nbsp; 1465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.88%), 5.42%, 7/21/2034 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1820 | &nbsp;&nbsp;&nbsp;&nbsp; 1836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 5.32%, 7/19/2035 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp; 835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.69%), 4.46%, 4/22/2039 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1265 | &nbsp;&nbsp;&nbsp;&nbsp; 1147 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 1/27/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp; Nasdaq, Inc. 5.55%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) 2.68%, 7/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 628 |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.34%), 6.37%, 7/15/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp; 901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH SOFR + 1.41%), 3.87%, 1/12/2029 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.52%), 5.43%, 2/8/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1605 | &nbsp;&nbsp;&nbsp;&nbsp; 1653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.92%), 6.54%, 8/12/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 433 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 49363 |
| **Chemicals — 0.1%** | **Chemicals — 0.1%** | **Chemicals — 0.1%** |
| &nbsp;&nbsp;&nbsp; DuPont de Nemours, Inc. 5.32%, 11/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 859 | &nbsp;&nbsp;&nbsp;&nbsp; 875 |
| &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) | &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) | &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp; 405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp; Union Carbide Corp. 7.75%, 10/1/2096 | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp; 985 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2637 |
| **Commercial Services & Supplies — 0.2%** | **Commercial Services & Supplies — 0.2%** | **Commercial Services & Supplies — 0.2%** |
| &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) | &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) | &nbsp;&nbsp;&nbsp; Element Fleet Management Corp. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.64%, 3/13/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2690 | &nbsp;&nbsp;&nbsp;&nbsp; 2729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.32%, 12/4/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp; 2109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 3/25/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp; 1115 |
| &nbsp;&nbsp;&nbsp; Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 196 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6149 |
| **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** | **Communications Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Cisco Systems, Inc. 5.30%, 2/26/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1550 | &nbsp;&nbsp;&nbsp;&nbsp; 1467 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  | &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  | &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1440 | &nbsp;&nbsp;&nbsp;&nbsp; 1308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1095 | &nbsp;&nbsp;&nbsp;&nbsp; 922 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2230 |
| **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** |
| &nbsp;&nbsp;&nbsp; CRH America, Inc. 5.13%, 5/18/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 893 | &nbsp;&nbsp;&nbsp;&nbsp; 806 |
| &nbsp;&nbsp;&nbsp; Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp; 752 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1558 |
| **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 10/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1560 | &nbsp;&nbsp;&nbsp;&nbsp; 1512 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1560 | &nbsp;&nbsp;&nbsp;&nbsp; 1591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/29/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp; 651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 1/19/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 237 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Consumer Finance — continued** | **Consumer Finance — continued** | **Consumer Finance — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 1/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 655 | &nbsp;&nbsp;&nbsp;&nbsp; 582 |
| &nbsp;&nbsp;&nbsp; Aircastle Ltd. 5.25%, 3/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1165 | &nbsp;&nbsp;&nbsp;&nbsp; 1160 |
| &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/5/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1470 | &nbsp;&nbsp;&nbsp;&nbsp; 1521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 5.10%, 2/16/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.32%), 5.44%, 1/30/2036 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1410 | &nbsp;&nbsp;&nbsp;&nbsp; 1419 |
| &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 2/21/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp; 603 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/1/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1270 | &nbsp;&nbsp;&nbsp;&nbsp; 1257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 11/18/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7294 | &nbsp;&nbsp;&nbsp;&nbsp; 6875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 1/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 880 | &nbsp;&nbsp;&nbsp;&nbsp; 876 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 5/4/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 890 | &nbsp;&nbsp;&nbsp;&nbsp; 921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp; 1140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1540 | &nbsp;&nbsp;&nbsp;&nbsp; 1562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1345 | &nbsp;&nbsp;&nbsp;&nbsp; 1339 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  | &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  | &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/29/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.64%), 6.31%, 6/8/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp; 812 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.91%), 5.70%, 2/1/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1060 | &nbsp;&nbsp;&nbsp;&nbsp; 1088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp; 787 |
| &nbsp;&nbsp;&nbsp; Macquarie Airfinance Holdings Ltd. (United Kingdom) | &nbsp;&nbsp;&nbsp; Macquarie Airfinance Holdings Ltd. (United Kingdom) | &nbsp;&nbsp;&nbsp; Macquarie Airfinance Holdings Ltd. (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 3/27/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1880 | &nbsp;&nbsp;&nbsp;&nbsp; 1886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 3/17/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp; 1980 |
| &nbsp;&nbsp;&nbsp; Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp;&nbsp;&nbsp; 459 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 34452 |
| **Consumer Staples Distribution & Retail — 0.1%** | **Consumer Staples Distribution & Retail — 0.1%** | **Consumer Staples Distribution & Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; Kroger Co. (The)  | &nbsp;&nbsp;&nbsp; Kroger Co. (The)  | &nbsp;&nbsp;&nbsp; Kroger Co. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp;&nbsp;&nbsp; 497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp; 982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp; 407 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1886 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
| &nbsp;&nbsp;&nbsp; Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1246 | &nbsp;&nbsp;&nbsp;&nbsp; 1206 |
| &nbsp;&nbsp;&nbsp; Packaging Corp. of America 4.05%, 12/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp;&nbsp;&nbsp; 622 |
| &nbsp;&nbsp;&nbsp; WRKCo, Inc. 3.90%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1994 |
| **Diversified Consumer Services — 0.0% ^** | **Diversified Consumer Services — 0.0% ^** | **Diversified Consumer Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Pepperdine University Series 2020, 3.30%, 12/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 361 |
| &nbsp;&nbsp;&nbsp; University of Miami Series 2022, 4.06%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp; University of Southern California Series A, 3.23%, 10/1/2120 | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp; 314 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1041 |
| **Diversified REITs — 0.1%** | **Diversified REITs — 0.1%** | **Diversified REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Safehold GL Holdings LLC 2.80%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2940 | &nbsp;&nbsp;&nbsp;&nbsp; 2583 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Diversified REITs — continued** | **Diversified REITs — continued** | **Diversified REITs — continued** |
| &nbsp;&nbsp;&nbsp; WP Carey, Inc.  | &nbsp;&nbsp;&nbsp; WP Carey, Inc.  | &nbsp;&nbsp;&nbsp; WP Carey, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1180 | &nbsp;&nbsp;&nbsp;&nbsp; 947 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3878 |
| **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; AT&T, Inc.  | &nbsp;&nbsp;&nbsp; AT&T, Inc.  | &nbsp;&nbsp;&nbsp; AT&T, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1646 | &nbsp;&nbsp;&nbsp;&nbsp; 1259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 9/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 2984 | &nbsp;&nbsp;&nbsp;&nbsp; 1973 |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp; Sprint Capital Corp. 6.88%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 591 | &nbsp;&nbsp;&nbsp;&nbsp; 632 |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  | &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  | &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 11/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 988 | &nbsp;&nbsp;&nbsp;&nbsp; 681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 3/22/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1060 | &nbsp;&nbsp;&nbsp;&nbsp; 801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 3/22/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 1045 | &nbsp;&nbsp;&nbsp;&nbsp; 704 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6727 |
| **Electric Utilities — 2.6%** | **Electric Utilities — 2.6%** | **Electric Utilities — 2.6%** |
| &nbsp;&nbsp;&nbsp; Alabama Power Co. 6.13%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp; Arizona Public Service Co. 5.05%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 376 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 450 | &nbsp;&nbsp;&nbsp;&nbsp; 275 |
| &nbsp;&nbsp;&nbsp; DTE Electric Co. Series B, 3.25%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1335 |
| &nbsp;&nbsp;&nbsp; DTE Electric Securitization Funding II LLC Series A-2, 6.09%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 950 | &nbsp;&nbsp;&nbsp;&nbsp; 1009 |
| &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC 4.25%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp; Duke Energy Corp.  | &nbsp;&nbsp;&nbsp; Duke Energy Corp.  | &nbsp;&nbsp;&nbsp; Duke Energy Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp;&nbsp;&nbsp; 708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1360 | &nbsp;&nbsp;&nbsp;&nbsp; 1348 |
| &nbsp;&nbsp;&nbsp; Duke Energy Florida LLC 5.95%, 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1414 | &nbsp;&nbsp;&nbsp;&nbsp; 1410 |
| &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  | &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp; 494 |
| &nbsp;&nbsp;&nbsp; Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp; 725 |
| &nbsp;&nbsp;&nbsp; Edison International  | &nbsp;&nbsp;&nbsp; Edison International  | &nbsp;&nbsp;&nbsp; Edison International  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1830 | &nbsp;&nbsp;&nbsp;&nbsp; 1806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp; 1058 |
| &nbsp;&nbsp;&nbsp; Electricite de France SA (France) 5.95%, 4/22/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1025 | &nbsp;&nbsp;&nbsp;&nbsp; 1052 |
| &nbsp;&nbsp;&nbsp; Emera US Finance LP (Canada) 4.75%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 565 |
| &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) | &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) | &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/26/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp; 780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/26/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1160 | &nbsp;&nbsp;&nbsp;&nbsp; 1161 |
| &nbsp;&nbsp;&nbsp; Entergy Arkansas LLC 2.65%, 6/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp; Entergy Corp. 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp;&nbsp;&nbsp; 329 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  | &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  | &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp; 574 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 3/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1040 | &nbsp;&nbsp;&nbsp;&nbsp; 1008 |
| &nbsp;&nbsp;&nbsp; Entergy Mississippi LLC 5.85%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 610 | &nbsp;&nbsp;&nbsp;&nbsp; 595 |
| &nbsp;&nbsp;&nbsp; Entergy Texas, Inc. 5.80%, 9/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 450 | &nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp; Evergy Missouri West Storm Funding I LLC Series A-1, 5.10%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1583 | &nbsp;&nbsp;&nbsp;&nbsp; 1558 |
| &nbsp;&nbsp;&nbsp; Evergy, Inc. 2.90%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp;&nbsp;&nbsp; 918 |
| &nbsp;&nbsp;&nbsp; Exelon Corp. 5.30%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 1011 |
| &nbsp;&nbsp;&nbsp; Fells Point Funding Trust 3.05%, 1/31/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2405 | &nbsp;&nbsp;&nbsp;&nbsp; 2339 |
| &nbsp;&nbsp;&nbsp; FirstEnergy Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp; 145 |
| &nbsp;&nbsp;&nbsp; FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp; Fortis, Inc. (Canada) 3.06%, 10/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp;&nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp; Interstate Power and Light Co.  | &nbsp;&nbsp;&nbsp; Interstate Power and Light Co.  | &nbsp;&nbsp;&nbsp; Interstate Power and Light Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/30/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 9/30/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 765 | &nbsp;&nbsp;&nbsp;&nbsp; 708 |
| &nbsp;&nbsp;&nbsp; ITC Holdings Corp.  | &nbsp;&nbsp;&nbsp; ITC Holdings Corp.  | &nbsp;&nbsp;&nbsp; ITC Holdings Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/22/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1565 | &nbsp;&nbsp;&nbsp;&nbsp; 1575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 5/14/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co.  | &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co.  | &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp; 558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp; MidAmerican Energy Co. 5.85%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp; 618 |
| &nbsp;&nbsp;&nbsp; Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp;&nbsp;&nbsp; 311 |
| &nbsp;&nbsp;&nbsp; Monongahela Power Co. 5.85%, 2/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp; Nevada Power Co.  | &nbsp;&nbsp;&nbsp; Nevada Power Co.  | &nbsp;&nbsp;&nbsp; Nevada Power Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, 6.65%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp; 554 |
| &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc.  | &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc.  | &nbsp;&nbsp;&nbsp; NextEra Energy Capital Holdings, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 9/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2160 | &nbsp;&nbsp;&nbsp;&nbsp; 2166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp; 2221 |
| &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  | &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  | &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.96%, 6/27/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.66%, 1/17/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp; 428 |
| &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  | &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  | &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/2/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 710 | &nbsp;&nbsp;&nbsp;&nbsp; 698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/2/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp; 748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 6/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp; 598 |
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  | &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 7/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp; 794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2560 | &nbsp;&nbsp;&nbsp;&nbsp; 2519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 956 | &nbsp;&nbsp;&nbsp;&nbsp; 984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2124 | &nbsp;&nbsp;&nbsp;&nbsp; 2099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3045 | &nbsp;&nbsp;&nbsp;&nbsp; 2994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp; 527 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 8/15/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 525 | &nbsp;&nbsp;&nbsp;&nbsp; 391 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 1/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 10/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 260 | &nbsp;&nbsp;&nbsp;&nbsp; 233 |
| &nbsp;&nbsp;&nbsp; PECO Energy Co. 2.80%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp; Pepco Holdings LLC 7.45%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp; 354 |
| &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 5.23%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1135 | &nbsp;&nbsp;&nbsp;&nbsp; 1119 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 5.54%, 7/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1360 | &nbsp;&nbsp;&nbsp;&nbsp; 1299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-3, 5.53%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1345 | &nbsp;&nbsp;&nbsp;&nbsp; 1300 |
| &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 4.26%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp;&nbsp;&nbsp; 600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-4, 5.21%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-5, 5.10%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp; PNM Energy Transition Bond Co. I LLC Series A-2, 6.03%, 8/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2605 | &nbsp;&nbsp;&nbsp;&nbsp; 2626 |
| &nbsp;&nbsp;&nbsp; Potomac Electric Power Co. 6.50%, 11/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1085 | &nbsp;&nbsp;&nbsp;&nbsp; 1192 |
| &nbsp;&nbsp;&nbsp; PPL Capital Funding, Inc. 5.25%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp; 737 |
| &nbsp;&nbsp;&nbsp; PPL Electric Utilities Corp. 5.25%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 890 | &nbsp;&nbsp;&nbsp;&nbsp; 828 |
| &nbsp;&nbsp;&nbsp; Progress Energy, Inc. 7.00%, 10/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Colorado 3.55%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma  | &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma  | &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 970 | &nbsp;&nbsp;&nbsp;&nbsp; 966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G, 6.63%, 11/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2490 | &nbsp;&nbsp;&nbsp;&nbsp; 2648 |
| &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co.  | &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co.  | &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp; 314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 3/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1925 | &nbsp;&nbsp;&nbsp;&nbsp; 1218 |
| &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC  | &nbsp;&nbsp;&nbsp; SCE Recovery Funding LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-1, 4.70%, 6/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 978 | &nbsp;&nbsp;&nbsp;&nbsp; 933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 5.11%, 12/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 505 | &nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp; Sierra Pacific Power Co. 5.90%, 3/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1030 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 |
| &nbsp;&nbsp;&nbsp; Sigeco Securitization I LLC  | &nbsp;&nbsp;&nbsp; Sigeco Securitization I LLC  | &nbsp;&nbsp;&nbsp; Sigeco Securitization I LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A1, 5.03%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 823 | &nbsp;&nbsp;&nbsp;&nbsp; 822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A2, 5.17%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp; Southern California Edison Co.  | &nbsp;&nbsp;&nbsp; Southern California Edison Co.  | &nbsp;&nbsp;&nbsp; Southern California Edison Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1695 | &nbsp;&nbsp;&nbsp;&nbsp; 1734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 08-A, 5.95%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp;&nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 12/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1566 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 4/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1755 | &nbsp;&nbsp;&nbsp;&nbsp; 1542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 3/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp;&nbsp;&nbsp; 723 |
| &nbsp;&nbsp;&nbsp; Southern Co. (The) 5.70%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 | &nbsp;&nbsp;&nbsp;&nbsp; 1878 |
| &nbsp;&nbsp;&nbsp; Southwestern Public Service Co. 4.50%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; Toledo Edison Co. (The) 6.15%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp; Virginia Electric and Power Co. 5.70%, 8/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2120 | &nbsp;&nbsp;&nbsp;&nbsp; 2020 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **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; Vistra Operations Co. LLC  | &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC  | &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 4/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 12/30/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp; 453 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 82096 |
| **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** | **Electronic Equipment, Instruments & Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Corning, Inc. 3.90%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1043 | &nbsp;&nbsp;&nbsp;&nbsp; 764 |
| **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** | **Energy Equipment & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Halliburton Co. 4.75%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp;&nbsp;&nbsp; 455 |
| **Financial Services — 0.4%** | **Financial Services — 0.4%** | **Financial Services — 0.4%** |
| &nbsp;&nbsp;&nbsp; CFIN 2022-RTL1 Issuer LLC Class A Shares, 0.00%, 8/17/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp; 1100 |
| &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  | &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  | &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 4/5/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp; 758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/5/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp; Fiserv, Inc.  | &nbsp;&nbsp;&nbsp; Fiserv, Inc.  | &nbsp;&nbsp;&nbsp; Fiserv, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 8/12/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp; 3138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc.  | &nbsp;&nbsp;&nbsp; Global Payments, Inc.  | &nbsp;&nbsp;&nbsp; Global Payments, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp;&nbsp;&nbsp; 884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 522 | &nbsp;&nbsp;&nbsp;&nbsp; 454 |
| &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) (SOFR + 1.29%), 2.97%, 2/16/2028 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1810 | &nbsp;&nbsp;&nbsp;&nbsp; 1760 |
| &nbsp;&nbsp;&nbsp; NTT Finance Corp. (Japan) 5.14%, 7/2/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 713 |
| &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp; Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp; 670 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 11746 |
| **Food Products — 0.5%** | **Food Products — 0.5%** | **Food Products — 0.5%** |
| &nbsp;&nbsp;&nbsp; Bimbo Bakeries USA, Inc. (Mexico) | &nbsp;&nbsp;&nbsp; Bimbo Bakeries USA, Inc. (Mexico) | &nbsp;&nbsp;&nbsp; Bimbo Bakeries USA, Inc. (Mexico) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 1/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 1/9/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp.  | &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp.  | &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1565 | &nbsp;&nbsp;&nbsp;&nbsp; 1402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 9/17/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1410 | &nbsp;&nbsp;&nbsp;&nbsp; 1356 |
| &nbsp;&nbsp;&nbsp; Conagra Brands, Inc. 5.30%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp; J M Smucker Co. (The) 6.20%, 11/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 525 | &nbsp;&nbsp;&nbsp;&nbsp; 557 |
| &nbsp;&nbsp;&nbsp; JBS USA Holding Lux SARL  | &nbsp;&nbsp;&nbsp; JBS USA Holding Lux SARL  | &nbsp;&nbsp;&nbsp; JBS USA Holding Lux SARL  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1305 | &nbsp;&nbsp;&nbsp;&nbsp; 1197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1347 | &nbsp;&nbsp;&nbsp;&nbsp; 1447 |
| &nbsp;&nbsp;&nbsp; JBS USA LUX SARL  | &nbsp;&nbsp;&nbsp; JBS USA LUX SARL  | &nbsp;&nbsp;&nbsp; JBS USA LUX SARL  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 4/20/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp; 555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 2/25/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1345 | &nbsp;&nbsp;&nbsp;&nbsp; 1337 |
| &nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co.  | &nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co.  | &nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp; 497 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Food Products — continued** | **Food Products — continued** | **Food Products — continued** |
| &nbsp;&nbsp;&nbsp; Mars, Inc. 5.65%, 5/1/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2335 | &nbsp;&nbsp;&nbsp;&nbsp; 2291 |
| &nbsp;&nbsp;&nbsp; The Campbell's Co. 3.13%, 4/24/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp; Tyson Foods, Inc. 5.70%, 3/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp; 938 |
| &nbsp;&nbsp;&nbsp; Viterra Finance BV (Netherlands) 3.20%, 4/21/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1363 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14487 |
| **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** | **Gas Utilities — 0.1%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  | &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  | &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 828 | &nbsp;&nbsp;&nbsp;&nbsp; 679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp; Boston Gas Co. 4.49%, 2/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp; Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp; Southern California Gas Co. 6.35%, 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1370 | &nbsp;&nbsp;&nbsp;&nbsp; 1416 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2779 |
| **Ground Transportation — 0.2%** | **Ground Transportation — 0.2%** | **Ground Transportation — 0.2%** |
| &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  | &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  | &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp; 320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp;&nbsp;&nbsp; 725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp; Canadian Pacific Railway Co. (Canada) 4.70%, 5/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 712 | &nbsp;&nbsp;&nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp; CSX Corp.  | &nbsp;&nbsp;&nbsp; CSX Corp.  | &nbsp;&nbsp;&nbsp; CSX Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp; Norfolk Southern Corp. 4.05%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 451 |
| &nbsp;&nbsp;&nbsp; Penske Truck Leasing Co. LP 6.05%, 8/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1220 | &nbsp;&nbsp;&nbsp;&nbsp; 1265 |
| &nbsp;&nbsp;&nbsp; Uber Technologies, Inc.  | &nbsp;&nbsp;&nbsp; Uber Technologies, Inc.  | &nbsp;&nbsp;&nbsp; Uber Technologies, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 9/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp; 695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp; 218 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 5266 |
| **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** |
| &nbsp;&nbsp;&nbsp; Abbott Laboratories 4.75%, 11/30/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp; Becton Dickinson & Co. 4.67%, 6/6/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp; Boston Scientific Corp. 6.50%, 11/15/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp; 995 |
| &nbsp;&nbsp;&nbsp; DH Europe Finance II SARL 3.25%, 11/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 782 |
| &nbsp;&nbsp;&nbsp; Solventum Corp. 5.60%, 3/23/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1590 | &nbsp;&nbsp;&nbsp;&nbsp; 1603 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4056 |
| **Health Care Providers & Services — 0.7%** | **Health Care Providers & Services — 0.7%** | **Health Care Providers & Services — 0.7%** |
| &nbsp;&nbsp;&nbsp; Aetna, Inc. 6.75%, 12/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp; Ascension Health Series B, 2.53%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp; 396 |
| &nbsp;&nbsp;&nbsp; Cencora, Inc. 5.13%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1650 | &nbsp;&nbsp;&nbsp;&nbsp; 1642 |
| &nbsp;&nbsp;&nbsp; Children's Hospital Series 2020, 2.93%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp; 396 |
| &nbsp;&nbsp;&nbsp; Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 580 | &nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp; Cigna Group (The) 5.13%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1080 | &nbsp;&nbsp;&nbsp;&nbsp; 1098 |
| &nbsp;&nbsp;&nbsp; CommonSpirit Health  | &nbsp;&nbsp;&nbsp; CommonSpirit Health  | &nbsp;&nbsp;&nbsp; CommonSpirit Health  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 555 | &nbsp;&nbsp;&nbsp;&nbsp; 549 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Health Care Providers & Services — continued** | **Health Care Providers & Services — continued** | **Health Care Providers & Services — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.91%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp; 387 |
| &nbsp;&nbsp;&nbsp; CVS Health Corp.  | &nbsp;&nbsp;&nbsp; CVS Health Corp.  | &nbsp;&nbsp;&nbsp; CVS Health Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/21/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp; 1379 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust Series 2013, 4.70%, 1/10/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 489 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  | &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  | &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 428 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp; 458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp; Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1430 | &nbsp;&nbsp;&nbsp;&nbsp; 968 |
| &nbsp;&nbsp;&nbsp; HCA, Inc.  | &nbsp;&nbsp;&nbsp; HCA, Inc.  | &nbsp;&nbsp;&nbsp; HCA, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp;&nbsp;&nbsp; 532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1175 | &nbsp;&nbsp;&nbsp;&nbsp; 1182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1259 | &nbsp;&nbsp;&nbsp;&nbsp; 1269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 725 | &nbsp;&nbsp;&nbsp;&nbsp; 665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp; 588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 7/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1385 | &nbsp;&nbsp;&nbsp;&nbsp; 1083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 4/1/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 1015 |
| &nbsp;&nbsp;&nbsp; Mayo Clinic Series 2016, 4.13%, 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp; 173 |
| &nbsp;&nbsp;&nbsp; Memorial Health Services 3.45%, 11/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1340 | &nbsp;&nbsp;&nbsp;&nbsp; 917 |
| &nbsp;&nbsp;&nbsp; Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp; MyMichigan Health Series 2020, 3.41%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp; 207 |
| &nbsp;&nbsp;&nbsp; Texas Health Resources 4.33%, 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp; Triad Holdings III LLC 7.25%, 4/1/2052 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 550 |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  | &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  | &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp; 640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp; 627 |
| &nbsp;&nbsp;&nbsp; Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp; 443 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 21189 |
| **Health Care REITs — 0.1%** | **Health Care REITs — 0.1%** | **Health Care REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  | &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  | &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 5/18/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 980 | &nbsp;&nbsp;&nbsp;&nbsp; 791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 653 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp; DOC DR LLC 2.63%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 505 | &nbsp;&nbsp;&nbsp;&nbsp; 437 |
| &nbsp;&nbsp;&nbsp; Healthpeak OP LLC 3.50%, 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 772 | &nbsp;&nbsp;&nbsp;&nbsp; 736 |
| &nbsp;&nbsp;&nbsp; Ventas Realty LP  | &nbsp;&nbsp;&nbsp; Ventas Realty LP  | &nbsp;&nbsp;&nbsp; Ventas Realty LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp; 286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 554 | &nbsp;&nbsp;&nbsp;&nbsp; 547 |
| &nbsp;&nbsp;&nbsp; Welltower OP LLC 6.50%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 375 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3884 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** | **Hotels, Restaurants & Leisure — 0.1%** |
| &nbsp;&nbsp;&nbsp; McDonald's Corp.  | &nbsp;&nbsp;&nbsp; McDonald's Corp.  | &nbsp;&nbsp;&nbsp; McDonald's Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 12/9/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 8/14/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1060 | &nbsp;&nbsp;&nbsp;&nbsp; 1002 |
| &nbsp;&nbsp;&nbsp; Starbucks Corp. 4.90%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 1008 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2683 |
| **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** | **Independent Power and Renewable Electricity Producers — 0.2%** |
| &nbsp;&nbsp;&nbsp; AES Corp. (The) 5.80%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1620 | &nbsp;&nbsp;&nbsp;&nbsp; 1606 |
| &nbsp;&nbsp;&nbsp; Alexander Funding Trust II 7.47%, 7/31/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1280 | &nbsp;&nbsp;&nbsp;&nbsp; 1357 |
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  | &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  | &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 10/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1190 | &nbsp;&nbsp;&nbsp;&nbsp; 1246 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 4728 |
| **Industrial Conglomerates — 0.0% ^** | **Industrial Conglomerates — 0.0% ^** | **Industrial Conglomerates — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Honeywell International, Inc. 5.25%, 3/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 1110 |
| **Industrial REITs — 0.0% ^** | **Industrial REITs — 0.0% ^** | **Industrial REITs — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Prologis LP  | &nbsp;&nbsp;&nbsp; Prologis LP  | &nbsp;&nbsp;&nbsp; Prologis LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp; 355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 4/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 905 | &nbsp;&nbsp;&nbsp;&nbsp; 572 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 927 |
| **Insurance — 0.6%** | **Insurance — 0.6%** | **Insurance — 0.6%** |
| &nbsp;&nbsp;&nbsp; AIA Group Ltd. (Hong Kong) 3.20%, 9/16/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 520 | &nbsp;&nbsp;&nbsp;&nbsp; 392 |
| &nbsp;&nbsp;&nbsp; AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 520 | &nbsp;&nbsp;&nbsp;&nbsp; 568 |
| &nbsp;&nbsp;&nbsp; Aon North America, Inc.  | &nbsp;&nbsp;&nbsp; Aon North America, Inc.  | &nbsp;&nbsp;&nbsp; Aon North America, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1990 | &nbsp;&nbsp;&nbsp;&nbsp; 2012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1590 | &nbsp;&nbsp;&nbsp;&nbsp; 1518 |
| &nbsp;&nbsp;&nbsp; Athene Global Funding 2.95%, 11/12/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3475 | &nbsp;&nbsp;&nbsp;&nbsp; 3388 |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp;&nbsp;&nbsp; 633 |
| &nbsp;&nbsp;&nbsp; Brown & Brown, Inc. 2.38%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1830 | &nbsp;&nbsp;&nbsp;&nbsp; 1587 |
| &nbsp;&nbsp;&nbsp; CNO Global Funding 4.95%, 9/9/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp; 1399 |
| &nbsp;&nbsp;&nbsp; Corebridge Global Funding 5.20%, 6/24/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1290 | &nbsp;&nbsp;&nbsp;&nbsp; 1311 |
| &nbsp;&nbsp;&nbsp; F&G Annuities & Life, Inc.  | &nbsp;&nbsp;&nbsp; F&G Annuities & Life, Inc.  | &nbsp;&nbsp;&nbsp; F&G Annuities & Life, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.40%, 1/13/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 563 | &nbsp;&nbsp;&nbsp;&nbsp; 586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 6/4/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 470 | &nbsp;&nbsp;&nbsp;&nbsp; 480 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 6/30/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp; 726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 6/10/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp; 1122 |
| &nbsp;&nbsp;&nbsp; Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp; Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 437 |
| &nbsp;&nbsp;&nbsp; Hartford Insurance Group, Inc. (The) 4.30%, 4/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 330 |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp; 735 |
| &nbsp;&nbsp;&nbsp; Pacific Life Insurance Co. (3-MONTH SOFR + 2.80%), 4.30%, 10/24/2067 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp; Principal Financial Group, Inc. 4.11%, 2/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 838 | &nbsp;&nbsp;&nbsp;&nbsp; 822 |
| &nbsp;&nbsp;&nbsp; Principal Life Global Funding II 5.10%, 1/25/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 812 |
| &nbsp;&nbsp;&nbsp; Prudential Financial, Inc. 3.91%, 12/7/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 227 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Insurance — continued** | **Insurance — continued** | **Insurance — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), <br> 5.00%, 4/2/2049 (b) (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 197 |
| &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 316 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 19970 |
| **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** | **Interactive Media & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Meta Platforms, Inc.  | &nbsp;&nbsp;&nbsp; Meta Platforms, Inc.  | &nbsp;&nbsp;&nbsp; Meta Platforms, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 1320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 8/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp; 774 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2094 |
| **IT Services — 0.3%** | **IT Services — 0.3%** | **IT Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; Accenture Capital, Inc.  | &nbsp;&nbsp;&nbsp; Accenture Capital, Inc.  | &nbsp;&nbsp;&nbsp; Accenture Capital, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/4/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1125 | &nbsp;&nbsp;&nbsp;&nbsp; 1105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 10/4/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp; 730 |
| &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) | &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) | &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 9/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 843 | &nbsp;&nbsp;&nbsp;&nbsp; 810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 9/14/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp;&nbsp;&nbsp; 1298 |
| &nbsp;&nbsp;&nbsp; Identity Digital Ltd. (Ireland) 6.79%, 3/20/2065 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 8943 |
| **Machinery — 0.1%** | **Machinery — 0.1%** | **Machinery — 0.1%** |
| &nbsp;&nbsp;&nbsp; nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 450 | &nbsp;&nbsp;&nbsp;&nbsp; 448 |
| &nbsp;&nbsp;&nbsp; Otis Worldwide Corp. 2.57%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1430 | &nbsp;&nbsp;&nbsp;&nbsp; 1304 |
| &nbsp;&nbsp;&nbsp; Parker-Hannifin Corp. 4.45%, 11/21/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 592 | &nbsp;&nbsp;&nbsp;&nbsp; 497 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2249 |
| **Media — 0.3%** | **Media — 0.3%** | **Media — 0.3%** |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  | &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  | &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/23/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp; 542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1475 | &nbsp;&nbsp;&nbsp;&nbsp; 1141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp; Comcast Corp.  | &nbsp;&nbsp;&nbsp; Comcast Corp.  | &nbsp;&nbsp;&nbsp; Comcast Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1715 | &nbsp;&nbsp;&nbsp;&nbsp; 1312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp;&nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.89%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1086 | &nbsp;&nbsp;&nbsp;&nbsp; 644 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 5/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1160 | &nbsp;&nbsp;&nbsp;&nbsp; 1050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 11/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 1729 | &nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 11/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp; Cox Communications, Inc. 2.95%, 10/1/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 635 | &nbsp;&nbsp;&nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp; 804 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  | &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  | &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp; 316 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 8824 |
| **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** |
| &nbsp;&nbsp;&nbsp; BHP Billiton Finance USA Ltd. (Australia) 5.13%, 2/21/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1080 | &nbsp;&nbsp;&nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp; Corp. Nacional del Cobre de Chile (Chile) 6.44%, 1/26/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 917 | &nbsp;&nbsp;&nbsp;&nbsp; 937 |
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC (Australia) 5.63%, 4/4/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1080 | &nbsp;&nbsp;&nbsp;&nbsp; 1086 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Metals & Mining — continued** | **Metals & Mining — continued** | **Metals & Mining — continued** |
| &nbsp;&nbsp;&nbsp; Reliance, Inc. 1.30%, 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2482 |
| &nbsp;&nbsp;&nbsp; Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 675 | &nbsp;&nbsp;&nbsp;&nbsp; 631 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6228 |
| **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** |
| &nbsp;&nbsp;&nbsp; Ameren Illinois Co. 5.55%, 7/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1650 | &nbsp;&nbsp;&nbsp;&nbsp; 1570 |
| &nbsp;&nbsp;&nbsp; CMS Energy Corp. 3.00%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 475 | &nbsp;&nbsp;&nbsp;&nbsp; 468 |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc. 3.20%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1090 | &nbsp;&nbsp;&nbsp;&nbsp; 699 |
| &nbsp;&nbsp;&nbsp; Delmarva Power & Light Co. 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc. Series F, 5.25%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp; 910 |
| &nbsp;&nbsp;&nbsp; NiSource, Inc. 1.70%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 740 | &nbsp;&nbsp;&nbsp;&nbsp; 625 |
| &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  | &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  | &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1050 | &nbsp;&nbsp;&nbsp;&nbsp; 640 |
| &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  | &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  | &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp; 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 21A, 3.15%, 9/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 259 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6683 |
| **Office REITs — 0.0% ^** | **Office REITs — 0.0% ^** | **Office REITs — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; COPT Defense Properties LP 2.00%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp; 300 |
| **Oil, Gas & Consumable Fuels — 1.7%** | **Oil, Gas & Consumable Fuels — 1.7%** | **Oil, Gas & Consumable Fuels — 1.7%** |
| &nbsp;&nbsp;&nbsp; Aker BP ASA (Norway) | &nbsp;&nbsp;&nbsp; Aker BP ASA (Norway) | &nbsp;&nbsp;&nbsp; Aker BP ASA (Norway) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 10/1/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 10/1/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 360 | &nbsp;&nbsp;&nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp; APA Infrastructure Ltd. (Australia) | &nbsp;&nbsp;&nbsp; APA Infrastructure Ltd. (Australia) | &nbsp;&nbsp;&nbsp; APA Infrastructure Ltd. (Australia) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 7/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 732 | &nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 9/16/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2012 | &nbsp;&nbsp;&nbsp;&nbsp; 1942 |
| &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc. 2.94%, 6/4/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 1995 | &nbsp;&nbsp;&nbsp;&nbsp; 1215 |
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC 3.70%, 1/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 961 | &nbsp;&nbsp;&nbsp;&nbsp; 799 |
| &nbsp;&nbsp;&nbsp; Cheniere Energy, Inc. 5.65%, 4/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp; 689 |
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Holding Co. LLC 5.10%, 10/1/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 481 | &nbsp;&nbsp;&nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC  | &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC  | &nbsp;&nbsp;&nbsp; Columbia Pipelines Operating Co. LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 2/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3565 | &nbsp;&nbsp;&nbsp;&nbsp; 3492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.96%, 2/15/2055 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2415 | &nbsp;&nbsp;&nbsp;&nbsp; 2247 |
| &nbsp;&nbsp;&nbsp; ConocoPhillips Co. 5.50%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1383 |
| &nbsp;&nbsp;&nbsp; Coterra Energy, Inc.  | &nbsp;&nbsp;&nbsp; Coterra Energy, Inc.  | &nbsp;&nbsp;&nbsp; Coterra Energy, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp;&nbsp;&nbsp; 921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1212 |
| &nbsp;&nbsp;&nbsp; Devon Energy Corp. 5.75%, 9/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1310 | &nbsp;&nbsp;&nbsp;&nbsp; 1139 |
| &nbsp;&nbsp;&nbsp; DT Midstream, Inc. 4.30%, 4/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp; 828 |
| &nbsp;&nbsp;&nbsp; Eastern Energy Gas Holdings LLC 6.20%, 1/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp; Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 807 | &nbsp;&nbsp;&nbsp;&nbsp; 570 |
| &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) | &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 3/8/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1090 | &nbsp;&nbsp;&nbsp;&nbsp; 1112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 4/5/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 1363 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **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; Energy Transfer LP  | &nbsp;&nbsp;&nbsp; Energy Transfer LP  | &nbsp;&nbsp;&nbsp; Energy Transfer LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1450 | &nbsp;&nbsp;&nbsp;&nbsp; 1474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1006 | &nbsp;&nbsp;&nbsp;&nbsp; 980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 762 |
| &nbsp;&nbsp;&nbsp; Eni SpA (Italy) 5.70%, 10/1/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 925 | &nbsp;&nbsp;&nbsp;&nbsp; 876 |
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC 4.95%, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2380 | &nbsp;&nbsp;&nbsp;&nbsp; 2326 |
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  | &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  | &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/16/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp; 685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.57%, 3/6/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp;&nbsp;&nbsp; 909 |
| &nbsp;&nbsp;&nbsp; Flex Intermediate Holdco LLC 4.32%, 12/30/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp; Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 972 | &nbsp;&nbsp;&nbsp;&nbsp; 782 |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2450 | &nbsp;&nbsp;&nbsp;&nbsp; 2419 |
| &nbsp;&nbsp;&nbsp; Kinder Morgan, Inc. 7.80%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1151 | &nbsp;&nbsp;&nbsp;&nbsp; 1308 |
| &nbsp;&nbsp;&nbsp; MPLX LP  | &nbsp;&nbsp;&nbsp; MPLX LP  | &nbsp;&nbsp;&nbsp; MPLX LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1690 | &nbsp;&nbsp;&nbsp;&nbsp; 1666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 675 | &nbsp;&nbsp;&nbsp;&nbsp; 658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 3/14/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 520 | &nbsp;&nbsp;&nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 4/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp; 559 |
| &nbsp;&nbsp;&nbsp; Northern Natural Gas Co. 5.63%, 2/1/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp; 223 |
| &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp.  | &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp.  | &nbsp;&nbsp;&nbsp; Occidental Petroleum Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp; ONEOK Partners LP 6.65%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; ONEOK, Inc. 4.75%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2125 | &nbsp;&nbsp;&nbsp;&nbsp; 2074 |
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co. 1.90%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1050 | &nbsp;&nbsp;&nbsp;&nbsp; 919 |
| &nbsp;&nbsp;&nbsp; Plains All American Pipeline LP 5.95%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1475 | &nbsp;&nbsp;&nbsp;&nbsp; 1473 |
| &nbsp;&nbsp;&nbsp; Saudi Arabian Oil Co. (Saudi Arabia) 1.63%, 11/24/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp; South Bow USA Infrastructure Holdings LLC (Canada) | &nbsp;&nbsp;&nbsp; South Bow USA Infrastructure Holdings LLC (Canada) | &nbsp;&nbsp;&nbsp; South Bow USA Infrastructure Holdings LLC (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.91%, 9/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp; 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.03%, 10/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp; Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 649 | &nbsp;&nbsp;&nbsp;&nbsp; 680 |
| &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) | &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) | &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 6/29/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 7/12/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp; 557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/29/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1180 | &nbsp;&nbsp;&nbsp;&nbsp; 756 |
| &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The)  | &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The)  | &nbsp;&nbsp;&nbsp; Williams Cos., Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1365 | &nbsp;&nbsp;&nbsp;&nbsp; 1378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 11/15/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 3/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp; 369 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 51919 |
| **Passenger Airlines — 0.0% ^** | **Passenger Airlines — 0.0% ^** | **Passenger Airlines — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust Series 2016-2, Class A Shares, 3.10%, 10/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 832 | &nbsp;&nbsp;&nbsp;&nbsp; 767 |
| **Personal Care Products — 0.0% ^** | **Personal Care Products — 0.0% ^** | **Personal Care Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Haleon US Capital LLC 3.38%, 3/24/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 1032 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Pharmaceuticals — 0.3%** | **Pharmaceuticals — 0.3%** | **Pharmaceuticals — 0.3%** |
| &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) | &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) | &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/18/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  | &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  | &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1015 | &nbsp;&nbsp;&nbsp;&nbsp; 718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 2/22/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 2/22/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 1460 | &nbsp;&nbsp;&nbsp;&nbsp; 1380 |
| &nbsp;&nbsp;&nbsp; Eli Lilly & Co. 5.00%, 2/9/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 890 | &nbsp;&nbsp;&nbsp;&nbsp; 808 |
| &nbsp;&nbsp;&nbsp; Merck & Co., Inc.  | &nbsp;&nbsp;&nbsp; Merck & Co., Inc.  | &nbsp;&nbsp;&nbsp; Merck & Co., Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/7/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 860 | &nbsp;&nbsp;&nbsp;&nbsp; 668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 12/10/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 965 | &nbsp;&nbsp;&nbsp;&nbsp; 545 |
| &nbsp;&nbsp;&nbsp; Pfizer Investment Enterprises Pte. Ltd. 5.30%, 5/19/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2060 | &nbsp;&nbsp;&nbsp;&nbsp; 1888 |
| &nbsp;&nbsp;&nbsp; Royalty Pharma plc 1.20%, 9/2/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) | &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) | &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 7/9/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1265 | &nbsp;&nbsp;&nbsp;&nbsp; 922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 7/5/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 422 | &nbsp;&nbsp;&nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 7/9/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1486 | &nbsp;&nbsp;&nbsp;&nbsp; 942 |
| &nbsp;&nbsp;&nbsp; Zoetis, Inc. 2.00%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp; 675 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9987 |
| **Residential REITs — 0.1%** | **Residential REITs — 0.1%** | **Residential REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Essex Portfolio LP 2.65%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1715 |
| &nbsp;&nbsp;&nbsp; Mid-America Apartments LP 3.95%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp; 902 |
| &nbsp;&nbsp;&nbsp; UDR, Inc.  | &nbsp;&nbsp;&nbsp; UDR, Inc.  | &nbsp;&nbsp;&nbsp; UDR, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp;&nbsp;&nbsp; 519 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3783 |
| **Retail REITs — 0.1%** | **Retail REITs — 0.1%** | **Retail REITs — 0.1%** |
| &nbsp;&nbsp;&nbsp; Brixmor Operating Partnership LP  | &nbsp;&nbsp;&nbsp; Brixmor Operating Partnership LP  | &nbsp;&nbsp;&nbsp; Brixmor Operating Partnership LP  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp; 787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 8/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 366 |
| &nbsp;&nbsp;&nbsp; NNN REIT, Inc.  | &nbsp;&nbsp;&nbsp; NNN REIT, Inc.  | &nbsp;&nbsp;&nbsp; NNN REIT, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp; 780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp; 613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 608 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3154 |
| **Semiconductors & Semiconductor Equipment — 0.5%** | **Semiconductors & Semiconductor Equipment — 0.5%** | **Semiconductors & Semiconductor Equipment — 0.5%** |
| &nbsp;&nbsp;&nbsp; Broadcom, Inc.  | &nbsp;&nbsp;&nbsp; Broadcom, Inc.  | &nbsp;&nbsp;&nbsp; Broadcom, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 2/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 7/12/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2650 | &nbsp;&nbsp;&nbsp;&nbsp; 2697 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1724 | &nbsp;&nbsp;&nbsp;&nbsp; 1688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1413 | &nbsp;&nbsp;&nbsp;&nbsp; 1170 |
| &nbsp;&nbsp;&nbsp; Intel Corp.  | &nbsp;&nbsp;&nbsp; Intel Corp.  | &nbsp;&nbsp;&nbsp; Intel Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.73%, 12/8/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 580 | &nbsp;&nbsp;&nbsp;&nbsp; 394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp; 424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 8/12/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp; 400 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Semiconductors & Semiconductor Equipment — continued** | **Semiconductors & Semiconductor Equipment — continued** | **Semiconductors & Semiconductor Equipment — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 2/10/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 590 | &nbsp;&nbsp;&nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp; KLA Corp. 3.30%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 405 |
| &nbsp;&nbsp;&nbsp; Marvell Technology, Inc. 5.75%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1360 | &nbsp;&nbsp;&nbsp;&nbsp; 1407 |
| &nbsp;&nbsp;&nbsp; NXP BV (Netherlands) | &nbsp;&nbsp;&nbsp; NXP BV (Netherlands) | &nbsp;&nbsp;&nbsp; NXP BV (Netherlands) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 5/11/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1405 | &nbsp;&nbsp;&nbsp;&nbsp; 1211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/11/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp;&nbsp;&nbsp; 1021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 682 | &nbsp;&nbsp;&nbsp;&nbsp; 419 |
| &nbsp;&nbsp;&nbsp; Texas Instruments, Inc. 5.05%, 5/18/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 2379 | &nbsp;&nbsp;&nbsp;&nbsp; 2101 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 16214 |
| **Software — 0.3%** | **Software — 0.3%** | **Software — 0.3%** |
| &nbsp;&nbsp;&nbsp; Cadence Design Systems, Inc.  | &nbsp;&nbsp;&nbsp; Cadence Design Systems, Inc.  | &nbsp;&nbsp;&nbsp; Cadence Design Systems, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 9/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/10/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1820 | &nbsp;&nbsp;&nbsp;&nbsp; 1770 |
| &nbsp;&nbsp;&nbsp; Intuit, Inc.  | &nbsp;&nbsp;&nbsp; Intuit, Inc.  | &nbsp;&nbsp;&nbsp; Intuit, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1210 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; Oracle Corp.  | &nbsp;&nbsp;&nbsp; Oracle Corp.  | &nbsp;&nbsp;&nbsp; Oracle Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/6/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp; 1282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp; 625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp; 682 |
| &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  | &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  | &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1370 | &nbsp;&nbsp;&nbsp;&nbsp; 1281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 6/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp; 501 |
| &nbsp;&nbsp;&nbsp; Synopsys, Inc. 5.70%, 4/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 1415 | &nbsp;&nbsp;&nbsp;&nbsp; 1351 |
| &nbsp;&nbsp;&nbsp; VMware LLC 4.65%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 551 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 10440 |
| **Specialized REITs — 0.2%** | **Specialized REITs — 0.2%** | **Specialized REITs — 0.2%** |
| &nbsp;&nbsp;&nbsp; American Tower Corp.  | &nbsp;&nbsp;&nbsp; American Tower Corp.  | &nbsp;&nbsp;&nbsp; American Tower Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 312 | &nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp; 554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1090 | &nbsp;&nbsp;&nbsp;&nbsp; 936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp;&nbsp;&nbsp; 314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp; Crown Castle, Inc.  | &nbsp;&nbsp;&nbsp; Crown Castle, Inc.  | &nbsp;&nbsp;&nbsp; Crown Castle, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 4/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1690 |
| &nbsp;&nbsp;&nbsp; Equinix, Inc. 2.90%, 11/18/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp; 1102 |
| &nbsp;&nbsp;&nbsp; Extra Space Storage LP 4.00%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 859 | &nbsp;&nbsp;&nbsp;&nbsp; 834 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6196 |
| **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** | **Specialty Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; AutoZone, Inc.  | &nbsp;&nbsp;&nbsp; AutoZone, Inc.  | &nbsp;&nbsp;&nbsp; AutoZone, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp; 584 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Specialty Retail — continued** | **Specialty Retail — continued** | **Specialty Retail — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp; 766 |
| &nbsp;&nbsp;&nbsp; O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp; 424 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1774 |
| **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** |
| &nbsp;&nbsp;&nbsp; Apple, Inc. 4.10%, 8/8/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp; 926 |
| &nbsp;&nbsp;&nbsp; Dell International LLC  | &nbsp;&nbsp;&nbsp; Dell International LLC  | &nbsp;&nbsp;&nbsp; Dell International LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.02%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 520 | &nbsp;&nbsp;&nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 10/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1265 | &nbsp;&nbsp;&nbsp;&nbsp; 1268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1245 | &nbsp;&nbsp;&nbsp;&nbsp; 1270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3215 | &nbsp;&nbsp;&nbsp;&nbsp; 3230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; Hewlett Packard Enterprise Co. 5.00%, 10/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2090 | &nbsp;&nbsp;&nbsp;&nbsp; 2035 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 9294 |
| **Tobacco — 0.1%** | **Tobacco — 0.1%** | **Tobacco — 0.1%** |
| &nbsp;&nbsp;&nbsp; Altria Group, Inc. 2.45%, 2/4/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp; 1443 |
| &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) | &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) | &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp; 733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 8/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1730 | &nbsp;&nbsp;&nbsp;&nbsp; 1522 |
| &nbsp;&nbsp;&nbsp; Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3801 |
| **Trading Companies & Distributors — 0.1%** | **Trading Companies & Distributors — 0.1%** | **Trading Companies & Distributors — 0.1%** |
| &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  | &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  | &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 7/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2400 | &nbsp;&nbsp;&nbsp;&nbsp; 2426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 4/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 825 | &nbsp;&nbsp;&nbsp;&nbsp; 820 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 3246 |
| **Water Utilities — 0.1%** | **Water Utilities — 0.1%** | **Water Utilities — 0.1%** |
| &nbsp;&nbsp;&nbsp; American Water Capital Corp.  | &nbsp;&nbsp;&nbsp; American Water Capital Corp.  | &nbsp;&nbsp;&nbsp; American Water Capital Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1096 | &nbsp;&nbsp;&nbsp;&nbsp; 750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 3/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp; 2158 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2908 |
| **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  | &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  | &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2980 | &nbsp;&nbsp;&nbsp;&nbsp; 2874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1525 | &nbsp;&nbsp;&nbsp;&nbsp; 996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp; 595 |
| &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 6/19/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp; 925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 2/10/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 6/28/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp; 1310 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 6929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $759,094)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 721766 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — 21.4%** | **Mortgage-Backed Securities — 21.4%** | **Mortgage-Backed Securities — 21.4%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 846812, ARM, 6.48%, 4/1/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781087, ARM, 6.36%, 12/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B1665, ARM, 6.75%, 4/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847356, ARM, 6.82%, 12/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782979, ARM, 6.50%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0025, ARM, 6.73%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848431, ARM, 6.93%, 2/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1286, ARM, 6.50%, 5/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848365, ARM, 7.12%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1096, ARM, 6.41%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1348, ARM, 7.19%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2539, ARM, 7.20%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2671, ARM, 6.51%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782760, ARM, 7.26%, 11/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1634, ARM, 6.85%, 12/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 6.54%, 3/1/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848699, ARM, 7.18%, 7/1/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C68485, 7.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01448, 7.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A13625, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16107, 6.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A17537, 6.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A61572, 5.00%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 229 | &nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A28796, 6.50%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03369, 6.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46987, 5.50%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01919, 4.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02641, 7.00%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02660, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93383, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93511, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06493, 4.50%, 5/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Z40179, 4.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1671 | &nbsp;&nbsp;&nbsp;&nbsp; 1561 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P20570, 7.00%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U50105, 4.00%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80254, 3.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P20409, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 683 | &nbsp;&nbsp;&nbsp;&nbsp; 645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90673, 4.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99134, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 3470 | &nbsp;&nbsp;&nbsp;&nbsp; 3245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69030, 4.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1240 | &nbsp;&nbsp;&nbsp;&nbsp; 1201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE0006, 3.50%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2180 | &nbsp;&nbsp;&nbsp;&nbsp; 1970 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1094 | &nbsp;&nbsp;&nbsp;&nbsp; 1056 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3301, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2924 | &nbsp;&nbsp;&nbsp;&nbsp; 2417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA5680, 2.00%, 8/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7998 | &nbsp;&nbsp;&nbsp;&nbsp; 6246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD0781, 3.00%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4997 | &nbsp;&nbsp;&nbsp;&nbsp; 4280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1076, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 729 | &nbsp;&nbsp;&nbsp;&nbsp; 626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6702, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3512 | &nbsp;&nbsp;&nbsp;&nbsp; 2990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3952, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5046 | &nbsp;&nbsp;&nbsp;&nbsp; 4166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QE3414, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3813 | &nbsp;&nbsp;&nbsp;&nbsp; 3279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD3781, 4.00%, 7/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3161 | &nbsp;&nbsp;&nbsp;&nbsp; 2903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QF0379, 5.00%, 8/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1059 | &nbsp;&nbsp;&nbsp;&nbsp; 1028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1725, 4.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4701 | &nbsp;&nbsp;&nbsp;&nbsp; 4316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RJ1781, 6.00%, 6/1/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 7644 | &nbsp;&nbsp;&nbsp;&nbsp; 7779 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 4.35%, 9/1/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 4.44%, 3/1/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555258, ARM, 6.28%, 1/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 722985, ARM, 7.28%, 7/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 7.60%, 9/1/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 766610, ARM, 6.45%, 1/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920467, ARM, 8.12%, 2/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770377, ARM, 6.29%, 4/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751531, ARM, 6.21%, 5/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782306, ARM, 6.17%, 7/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735332, ARM, 6.52%, 8/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790235, ARM, 7.36%, 8/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 791961, ARM, 5.94%, 9/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803599, ARM, 6.56%, 10/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803594, ARM, 6.59%, 10/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 7.39%, 10/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 806776, ARM, 6.21%, 11/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 806778, ARM, 6.76%, 11/1/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 6.21%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 802692, ARM, 6.62%, 1/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816597, ARM, 6.42%, 2/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735539, ARM, 6.42%, 4/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 6.57%, 4/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821378, ARM, 6.04%, 5/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 823660, ARM, 6.59%, 5/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745766, ARM, 6.60%, 6/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 843026, ARM, 6.16%, 9/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 7.21%, 9/1/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849251, ARM, 6.46%, 1/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 895141, ARM, 6.44%, 7/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900197, ARM, 7.51%, 10/1/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year Pool # MA1138, 3.50%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 689977, 8.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755973, 8.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 455759, 6.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252211, 6.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889020, 6.50%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 622542, 5.50%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 788150, 6.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0045, 6.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 96 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688625, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695584, 6.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729379, 6.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 750977, 4.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751341, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888568, 5.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 815426, 4.50%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0755, 7.00%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1088 | &nbsp;&nbsp;&nbsp;&nbsp; 1146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820347, 5.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833657, 7.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 986648, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888892, 7.50%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257510, 7.00%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0753, 7.00%, 1/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5891, 3.00%, 6/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1307 | &nbsp;&nbsp;&nbsp;&nbsp; 1163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7527, 4.50%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp; 447 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3500, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1339 | &nbsp;&nbsp;&nbsp;&nbsp; 1273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1778, 4.50%, 10/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN9180, 4.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 327 | &nbsp;&nbsp;&nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8753, 4.50%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 625 | &nbsp;&nbsp;&nbsp;&nbsp; 597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1219, 4.50%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1859 | &nbsp;&nbsp;&nbsp;&nbsp; 1776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO7077, 3.00%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1754 | &nbsp;&nbsp;&nbsp;&nbsp; 1516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5549, 3.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3852 | &nbsp;&nbsp;&nbsp;&nbsp; 3328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5702, 2.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5030 | &nbsp;&nbsp;&nbsp;&nbsp; 4156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6079, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2888 | &nbsp;&nbsp;&nbsp;&nbsp; 2357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP6439, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6359 | &nbsp;&nbsp;&nbsp;&nbsp; 5192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3716 | &nbsp;&nbsp;&nbsp;&nbsp; 3081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6989, 2.50%, 9/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 4428 | &nbsp;&nbsp;&nbsp;&nbsp; 3666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3599, 2.50%, 1/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4235 | &nbsp;&nbsp;&nbsp;&nbsp; 3489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4516, 2.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5859 | &nbsp;&nbsp;&nbsp;&nbsp; 4588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5759, 3.50%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8234 | &nbsp;&nbsp;&nbsp;&nbsp; 7395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0730, 4.00%, 2/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3562 | &nbsp;&nbsp;&nbsp;&nbsp; 3293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8651, 2.50%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7634 | &nbsp;&nbsp;&nbsp;&nbsp; 6285 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB0047, 3.00%, 4/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 855 | &nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU0070, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4205 | &nbsp;&nbsp;&nbsp;&nbsp; 3449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1908, 2.50%, 10/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 10022 | &nbsp;&nbsp;&nbsp;&nbsp; 8243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4466, 2.50%, 11/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3993 | &nbsp;&nbsp;&nbsp;&nbsp; 3261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2559, 3.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2196 | &nbsp;&nbsp;&nbsp;&nbsp; 1886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4108, 4.00%, 12/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3270 | &nbsp;&nbsp;&nbsp;&nbsp; 3008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2637, 2.50%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3433 | &nbsp;&nbsp;&nbsp;&nbsp; 2815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2664, 3.00%, 1/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1601 | &nbsp;&nbsp;&nbsp;&nbsp; 1377 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5986, 2.50%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4346 | &nbsp;&nbsp;&nbsp;&nbsp; 3590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3345, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4243 | &nbsp;&nbsp;&nbsp;&nbsp; 3649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7749, 3.00%, 2/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4308 | &nbsp;&nbsp;&nbsp;&nbsp; 3710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA0097, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7179 | &nbsp;&nbsp;&nbsp;&nbsp; 5893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5446, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5634 | &nbsp;&nbsp;&nbsp;&nbsp; 4630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8041, 2.50%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4210 | &nbsp;&nbsp;&nbsp;&nbsp; 3478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0751, 3.00%, 3/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 828 | &nbsp;&nbsp;&nbsp;&nbsp; 711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV5389, 3.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2069 | &nbsp;&nbsp;&nbsp;&nbsp; 1780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3383, 4.00%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4127 | &nbsp;&nbsp;&nbsp;&nbsp; 3791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4720, 2.50%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4211 | &nbsp;&nbsp;&nbsp;&nbsp; 3491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3494, 3.00%, 5/1/2052 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 7813 | &nbsp;&nbsp;&nbsp;&nbsp; 6693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7204, 3.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1609 | &nbsp;&nbsp;&nbsp;&nbsp; 1381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3679, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4001 | &nbsp;&nbsp;&nbsp;&nbsp; 3675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3913, 4.00%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1606 | &nbsp;&nbsp;&nbsp;&nbsp; 1474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV2531, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 21712 | &nbsp;&nbsp;&nbsp;&nbsp; 18506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV5631, 3.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6145 | &nbsp;&nbsp;&nbsp;&nbsp; 5285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4124, 4.00%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4608, 4.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4414 | &nbsp;&nbsp;&nbsp;&nbsp; 4053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2898, 4.50%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2818 | &nbsp;&nbsp;&nbsp;&nbsp; 2673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW8524, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1673 | &nbsp;&nbsp;&nbsp;&nbsp; 1625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW9985, 5.00%, 9/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3629 | &nbsp;&nbsp;&nbsp;&nbsp; 3522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6789, 4.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1308 | &nbsp;&nbsp;&nbsp;&nbsp; 1200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX0091, 5.00%, 10/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1636 | &nbsp;&nbsp;&nbsp;&nbsp; 1589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6794, 5.00%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1429 | &nbsp;&nbsp;&nbsp;&nbsp; 1402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB5896, 5.00%, 3/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 2421 | &nbsp;&nbsp;&nbsp;&nbsp; 2353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY4714, 5.00%, 6/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5586 | &nbsp;&nbsp;&nbsp;&nbsp; 5416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BY7027, 5.00%, 8/1/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4758 | &nbsp;&nbsp;&nbsp;&nbsp; 4613 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 535183, 8.00%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 653815, 7.00%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752786, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 931717, 6.50%, 8/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4991, 3.97%, 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1498 | &nbsp;&nbsp;&nbsp;&nbsp; 1490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6805, 3.81%, 1/1/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1659 | &nbsp;&nbsp;&nbsp;&nbsp; 1650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468645, 4.54%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2225 | &nbsp;&nbsp;&nbsp;&nbsp; 2226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7223, 3.11%, 12/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3026 | &nbsp;&nbsp;&nbsp;&nbsp; 2971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8803, 2.78%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4340 | &nbsp;&nbsp;&nbsp;&nbsp; 4221 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8987, 2.79%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1595 | &nbsp;&nbsp;&nbsp;&nbsp; 1550 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9574, 1.00%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3814 | &nbsp;&nbsp;&nbsp;&nbsp; 3529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1040, 3.81%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2950 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8075, 5.00%, 9/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1890 | &nbsp;&nbsp;&nbsp;&nbsp; 1936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1715, 4.48%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2325 | &nbsp;&nbsp;&nbsp;&nbsp; 2343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4364, 2.24%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5218 | &nbsp;&nbsp;&nbsp;&nbsp; 4793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4333, 2.52%, 11/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5686 | &nbsp;&nbsp;&nbsp;&nbsp; 5281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7785, 3.17%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2589 | &nbsp;&nbsp;&nbsp;&nbsp; 2459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7516, 3.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8544, 3.08%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6902 | &nbsp;&nbsp;&nbsp;&nbsp; 6525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8889, 2.92%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8700, 2.93%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1804 | &nbsp;&nbsp;&nbsp;&nbsp; 1692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9020, 2.97%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3470 | &nbsp;&nbsp;&nbsp;&nbsp; 3258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1291, 4.82%, 8/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ2136, 4.59%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 813 | &nbsp;&nbsp;&nbsp;&nbsp; 822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7241, 5.05%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9251, 1.45%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4311 | &nbsp;&nbsp;&nbsp;&nbsp; 3725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1791, 4.61%, 8/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4443 | &nbsp;&nbsp;&nbsp;&nbsp; 4453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4315, 2.39%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4254 | &nbsp;&nbsp;&nbsp;&nbsp; 3805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5153, 2.53%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 971 | &nbsp;&nbsp;&nbsp;&nbsp; 867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5071, 2.63%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2994 | &nbsp;&nbsp;&nbsp;&nbsp; 2678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS3637, 1.73%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3841 | &nbsp;&nbsp;&nbsp;&nbsp; 3290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4313, 1.98%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 8350 | &nbsp;&nbsp;&nbsp;&nbsp; 7153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8294, 4.44%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2449 | &nbsp;&nbsp;&nbsp;&nbsp; 2430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8214, 4.62%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1904 | &nbsp;&nbsp;&nbsp;&nbsp; 1904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7037, 1.76%, 3/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6727 | &nbsp;&nbsp;&nbsp;&nbsp; 5676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5117, 2.58%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3790 | &nbsp;&nbsp;&nbsp;&nbsp; 3350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9519, 5.44%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4077 | &nbsp;&nbsp;&nbsp;&nbsp; 4238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5760, 2.43%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2823 | &nbsp;&nbsp;&nbsp;&nbsp; 2493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3982, 4.66%, 6/1/2032 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6149, 3.14%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp; 2775 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6243, 3.87%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2172 | &nbsp;&nbsp;&nbsp;&nbsp; 2077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5887, 3.51%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6597, 3.67%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp; 766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6339, 3.80%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3844 | &nbsp;&nbsp;&nbsp;&nbsp; 3630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6505, 3.54%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3345 | &nbsp;&nbsp;&nbsp;&nbsp; 3122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6822, 3.81%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5575 | &nbsp;&nbsp;&nbsp;&nbsp; 5278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6759, 3.97%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4797 | &nbsp;&nbsp;&nbsp;&nbsp; 4584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP9632, 4.00%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP9762, 4.00%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6926, 4.51%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6928, 4.55%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2065 | &nbsp;&nbsp;&nbsp;&nbsp; 2049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6492, 1.51%, 11/1/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15755 | &nbsp;&nbsp;&nbsp;&nbsp; 12824 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6601, 3.54%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6715 | &nbsp;&nbsp;&nbsp;&nbsp; 6235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7115, 3.81%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10120 | &nbsp;&nbsp;&nbsp;&nbsp; 9563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ7084, 3.50%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT2703, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT2954, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp; 305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT4180, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 294 | &nbsp;&nbsp;&nbsp;&nbsp; 285 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT4939, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 264 | &nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8470, 4.52%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1972 | &nbsp;&nbsp;&nbsp;&nbsp; 1946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9351, 4.70%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3907 | &nbsp;&nbsp;&nbsp;&nbsp; 3879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9384, 5.04%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3200 | &nbsp;&nbsp;&nbsp;&nbsp; 3257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 754922, 5.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762520, 4.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4198, 2.16%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8756 | &nbsp;&nbsp;&nbsp;&nbsp; 7329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL3756, 2.92%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2498 | &nbsp;&nbsp;&nbsp;&nbsp; 2187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7097, 4.67%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7251 | &nbsp;&nbsp;&nbsp;&nbsp; 7179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8922, 3.03%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2059 | &nbsp;&nbsp;&nbsp;&nbsp; 1927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9188, 3.12%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7789, 4.62%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7868 | &nbsp;&nbsp;&nbsp;&nbsp; 7653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849215, 6.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886320, 6.50%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4368, 2.29%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4981 | &nbsp;&nbsp;&nbsp;&nbsp; 3986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888796, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7225, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9352, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 268 | &nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR1397, 3.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 649 | &nbsp;&nbsp;&nbsp;&nbsp; 576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1711, 4.50%, 12/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1063 | &nbsp;&nbsp;&nbsp;&nbsp; 1029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1828, 4.50%, 3/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 823 | &nbsp;&nbsp;&nbsp;&nbsp; 792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0558, 5.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 3178 | &nbsp;&nbsp;&nbsp;&nbsp; 3172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0091, 3.50%, 5/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 880 | &nbsp;&nbsp;&nbsp;&nbsp; 778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0101, 3.50%, 6/1/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 2818 | &nbsp;&nbsp;&nbsp;&nbsp; 2497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6545, 3.50%, 5/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 2746 | &nbsp;&nbsp;&nbsp;&nbsp; 2416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0300, 4.00%, 8/1/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 7731 | &nbsp;&nbsp;&nbsp;&nbsp; 7144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0464, 3.50%, 3/1/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 2280 | &nbsp;&nbsp;&nbsp;&nbsp; 2005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0546, 2.50%, 7/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 3312 | &nbsp;&nbsp;&nbsp;&nbsp; 2547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0560, 2.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 4129 | &nbsp;&nbsp;&nbsp;&nbsp; 3176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0590, 2.50%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 6928 | &nbsp;&nbsp;&nbsp;&nbsp; 5438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0579, 3.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 5687 | &nbsp;&nbsp;&nbsp;&nbsp; 4720 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0583, 4.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 3821 | &nbsp;&nbsp;&nbsp;&nbsp; 3476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0759, 2.50%, 5/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 5633 | &nbsp;&nbsp;&nbsp;&nbsp; 4332 |
| &nbsp;&nbsp;&nbsp; FNMA/FHLMC UMBS, Single Family, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 2.50%, 7/25/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 22840 | &nbsp;&nbsp;&nbsp;&nbsp; 18605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA, 3.00%, 7/25/2055 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 16592 | &nbsp;&nbsp;&nbsp;&nbsp; 14116 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 554108, 6.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486537, 7.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486631, 6.50%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591882, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607724, 7.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 604209, 6.50%, 4/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781614, 7.00%, 6/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2141, 5.00%, 7/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1916, 5.00%, 9/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2864 | &nbsp;&nbsp;&nbsp;&nbsp; 2875 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5524, ARM, 5.91%, 8/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2576 | &nbsp;&nbsp;&nbsp;&nbsp; 2703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CH7776, ARM, 5.71%, 10/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2995 | &nbsp;&nbsp;&nbsp;&nbsp; 3117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5546, ARM, 5.84%, 10/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5126 | &nbsp;&nbsp;&nbsp;&nbsp; 5353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK7234, ARM, 5.67%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2510 | &nbsp;&nbsp;&nbsp;&nbsp; 2608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2783, ARM, 5.80%, 2/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4911 | &nbsp;&nbsp;&nbsp;&nbsp; 5139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2799, ARM, 5.82%, 3/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4083 | &nbsp;&nbsp;&nbsp;&nbsp; 4276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2810, ARM, 5.78%, 4/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4858 | &nbsp;&nbsp;&nbsp;&nbsp; 5086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CP1819, ARM, 5.93%, 7/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3811 | &nbsp;&nbsp;&nbsp;&nbsp; 4027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG5357, ARM, 5.86%, 8/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1240 | &nbsp;&nbsp;&nbsp;&nbsp; 1306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CP4923, ARM, 6.01%, 8/20/2072 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5385 | &nbsp;&nbsp;&nbsp;&nbsp; 5675 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &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; Pool # 2234, 8.00%, 6/20/2026 | &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;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2324, 8.00%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2512, 8.00%, 11/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2549, 7.50%, 2/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2647, 8.00%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 3427, 4.50%, 8/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 285 | &nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK8806, 4.25%, 3/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 632 | &nbsp;&nbsp;&nbsp;&nbsp; 593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2118, 4.50%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0535, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1104 | &nbsp;&nbsp;&nbsp;&nbsp; 1009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8227, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 847 | &nbsp;&nbsp;&nbsp;&nbsp; 844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8229, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9734, 4.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1263 | &nbsp;&nbsp;&nbsp;&nbsp; 1168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4115, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 2555 | &nbsp;&nbsp;&nbsp;&nbsp; 2226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785294, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3143 | &nbsp;&nbsp;&nbsp;&nbsp; 2759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1543, 3.00%, 2/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 2254 | &nbsp;&nbsp;&nbsp;&nbsp; 1964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785445, 2.50%, 3/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7859 | &nbsp;&nbsp;&nbsp;&nbsp; 6492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2698, 3.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1207 | &nbsp;&nbsp;&nbsp;&nbsp; 1052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2716, 3.50%, 2/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3784 | &nbsp;&nbsp;&nbsp;&nbsp; 3322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2161, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp; 1752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2213, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN2859, 4.50%, 6/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3522 | &nbsp;&nbsp;&nbsp;&nbsp; 3331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO4824, 5.00%, 6/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1386 | &nbsp;&nbsp;&nbsp;&nbsp; 1369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO4865, 5.00%, 7/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1810 | &nbsp;&nbsp;&nbsp;&nbsp; 1764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8200, 4.00%, 8/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7969 | &nbsp;&nbsp;&nbsp;&nbsp; 7331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO8413, 4.50%, 9/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4684 | &nbsp;&nbsp;&nbsp;&nbsp; 4427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8343, 2.50%, 10/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4613 | &nbsp;&nbsp;&nbsp;&nbsp; 3867 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8485, 2.50%, 12/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7933 | &nbsp;&nbsp;&nbsp;&nbsp; 6649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8721, 3.00%, 3/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 5589 | &nbsp;&nbsp;&nbsp;&nbsp; 4881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CT7445, 6.00%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1362 | &nbsp;&nbsp;&nbsp;&nbsp; 1386 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9301, 3.50%, 11/20/2053 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 3074 | &nbsp;&nbsp;&nbsp;&nbsp; 2737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA9484, 3.50%, 2/20/2054 (g) | &nbsp;&nbsp;&nbsp;&nbsp; 2613 | &nbsp;&nbsp;&nbsp;&nbsp; 2326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MB0360, 2.50%, 5/20/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 6705 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other Pool # 787980, 4.00%, 5/20/2065 | &nbsp;&nbsp;&nbsp;&nbsp; 6503 | &nbsp;&nbsp;&nbsp;&nbsp; 5873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $688,365)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 664292 |
| **Asset-Backed Securities — 12.1%** | **Asset-Backed Securities — 12.1%** | **Asset-Backed Securities — 12.1%** |
| &nbsp;&nbsp;&nbsp; Academic Loan Funding Trust Series 2013-1A, Class A, 5.24%, 12/26/2044 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp;&nbsp;&nbsp; 358 |
| &nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class AA, 3.75%, 12/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp; 304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class A, 3.55%, 1/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 464 | &nbsp;&nbsp;&nbsp;&nbsp; 431 |
| &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; 132 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 3.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2186 | &nbsp;&nbsp;&nbsp;&nbsp; 1924 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class C, 2.53%, 7/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.60%, 6/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp; 786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2296 | &nbsp;&nbsp;&nbsp;&nbsp; 2184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR1, Class B, 3.66%, 6/17/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp; 2501 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Issuer Trust Series 2025-A, Class B, 5.56%, 12/19/2050 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3477 | &nbsp;&nbsp;&nbsp;&nbsp; 3482 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC Series 2025-2A, Class B, 5.51%, 8/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1511 |
| &nbsp;&nbsp;&nbsp; Bastion Funding I LLC Series 2023-1A, Class A2, 7.12%, 4/25/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1934 | &nbsp;&nbsp;&nbsp;&nbsp; 1939 |
| &nbsp;&nbsp;&nbsp; Bedrock ABS I LLC, 7.95%, 12/27/2037 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2090 | &nbsp;&nbsp;&nbsp;&nbsp; 2148 |
| &nbsp;&nbsp;&nbsp; BG Beta Ltd. (Cayman Islands), 6.28%, 7/16/2054 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2758 | &nbsp;&nbsp;&nbsp;&nbsp; 2794 |
| &nbsp;&nbsp;&nbsp; Bridge Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2998 | &nbsp;&nbsp;&nbsp;&nbsp; 2965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class C, 4.45%, 11/17/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp; 4173 |
| &nbsp;&nbsp;&nbsp; Bridgecrest Lending Auto Securitization Trust Series 2024-3, Class B, 5.37%, 10/16/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2240 | &nbsp;&nbsp;&nbsp;&nbsp; 2251 |
| &nbsp;&nbsp;&nbsp; British Airways Pass-Through Trust (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 334 | &nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 4.13%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 539 | &nbsp;&nbsp;&nbsp;&nbsp; 514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 531 | &nbsp;&nbsp;&nbsp;&nbsp; 490 |
| &nbsp;&nbsp;&nbsp; Carmax Auto Owner Trust Series 2025-2, Class A4, 4.65%, 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3730 | &nbsp;&nbsp;&nbsp;&nbsp; 3743 |
| &nbsp;&nbsp;&nbsp; Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 787 | &nbsp;&nbsp;&nbsp;&nbsp; 737 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust Series 2023-P3, Class A3, 5.82%, 8/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 983 | &nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp; CFIN Issuer LLC Series 2022-RTL1, Class AA, 4.75%, 2/16/2026 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 791 | &nbsp;&nbsp;&nbsp;&nbsp; 785 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust Series 2003-6, Class 1A7, 4.83%, 11/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp; Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 873 |
| &nbsp;&nbsp;&nbsp; Consumer Portfolio Services Auto Trust Series 2025-B, Class C, 5.12%, 7/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3276 | &nbsp;&nbsp;&nbsp;&nbsp; 3279 |
| &nbsp;&nbsp;&nbsp; Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4080 | &nbsp;&nbsp;&nbsp;&nbsp; 4098 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class D, 4.22%, 6/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class B, 2.20%, 8/15/2053 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3180 | &nbsp;&nbsp;&nbsp;&nbsp; 2819 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4049 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 8.45%, 2/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp;&nbsp;&nbsp; 4176 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 7.02%, 5/16/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3205 | &nbsp;&nbsp;&nbsp;&nbsp; 3260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 6.39%, 8/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class A, 6.13%, 12/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3845 | &nbsp;&nbsp;&nbsp;&nbsp; 3894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 2/15/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.68%, 3/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3085 | &nbsp;&nbsp;&nbsp;&nbsp; 3120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.95%, 6/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.39%, 1/16/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp; 4229 |
| &nbsp;&nbsp;&nbsp; Credit One Ltd., 6.47%, 2/25/2029 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4026 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust, 5.93%, 1/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 612 | &nbsp;&nbsp;&nbsp;&nbsp; 612 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 5.34%, 10/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2700 | &nbsp;&nbsp;&nbsp;&nbsp; 2632 |
| &nbsp;&nbsp;&nbsp; Delta Air Lines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1, Class AA, 3.63%, 7/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class AA, 2.00%, 6/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp; Diversified ABS Holdings LLC Series 2024-2A, Class A, 6.56%, 9/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2850 | &nbsp;&nbsp;&nbsp;&nbsp; 2856 |
| &nbsp;&nbsp;&nbsp; Diversified ABS Phase LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series VI, Class A, 7.50%, 11/28/2039 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1667 | &nbsp;&nbsp;&nbsp;&nbsp; 1649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, 7.08%, 5/30/2044 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp; 3276 |
| &nbsp;&nbsp;&nbsp; DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1329 | &nbsp;&nbsp;&nbsp;&nbsp; 1361 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust Series 2022-3A, Class D, 8.14%, 7/17/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3589 |
| &nbsp;&nbsp;&nbsp; Energy Assets, 8.11%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1013 | &nbsp;&nbsp;&nbsp;&nbsp; 1021 |
| &nbsp;&nbsp;&nbsp; Enterprise Fleet Financing LLC Series 2025-2, Class A4, 4.58%, 12/22/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2880 | &nbsp;&nbsp;&nbsp;&nbsp; 2876 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class C, 4.50%, 7/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3466 | &nbsp;&nbsp;&nbsp;&nbsp; 3427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class E2, 2.49%, 8/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8600 | &nbsp;&nbsp;&nbsp;&nbsp; 8247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3700 | &nbsp;&nbsp;&nbsp;&nbsp; 3586 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust Series 2022-4, Class C, 7.71%, 10/16/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5190 | &nbsp;&nbsp;&nbsp;&nbsp; 5272 |
| &nbsp;&nbsp;&nbsp; FMC GMSR Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp; 4028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3370 | &nbsp;&nbsp;&nbsp;&nbsp; 3169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SAT1, Class A, 6.50%, 3/26/2027 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5950 | &nbsp;&nbsp;&nbsp;&nbsp; 5961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 5999 |
| &nbsp;&nbsp;&nbsp; FW Energy Asset Issuer LLC, 7.15%, 8/25/2044 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 3263 | &nbsp;&nbsp;&nbsp;&nbsp; 3289 |
| &nbsp;&nbsp;&nbsp; GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 5.34%, 6/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1498 | &nbsp;&nbsp;&nbsp;&nbsp; 1498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 6.42%, 6/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.01%, 5/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2085 | &nbsp;&nbsp;&nbsp;&nbsp; 2104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 5.59%, 1/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6980 | &nbsp;&nbsp;&nbsp;&nbsp; 7028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.21%, 2/18/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2506 |
| &nbsp;&nbsp;&nbsp; Goodgreen |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.76%, 4/15/2055 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1080 | &nbsp;&nbsp;&nbsp;&nbsp; 920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.90%, 1/17/2061 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2595 | &nbsp;&nbsp;&nbsp;&nbsp; 2438 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp; Goodleap, 6.63%, 7/15/2038 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3960 | &nbsp;&nbsp;&nbsp;&nbsp; 4063 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Grene Energy Senio, 11.00%, 1/17/2061 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6300 | &nbsp;&nbsp;&nbsp;&nbsp; 6315 |
| &nbsp;&nbsp;&nbsp; GTP Acquisition Partners I LLC, 3.48%, 6/16/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1436 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 |
| &nbsp;&nbsp;&nbsp; HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 574 | &nbsp;&nbsp;&nbsp;&nbsp; 510 |
| &nbsp;&nbsp;&nbsp; HERO Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1, 3.08%, 9/20/2042 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A2, 4.46%, 9/20/2047 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 595 | &nbsp;&nbsp;&nbsp;&nbsp; 540 |
| &nbsp;&nbsp;&nbsp; HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class B, 6.93%, 4/20/2037 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1501 |
| &nbsp;&nbsp;&nbsp; HINNT LLC Series 2024-A, Class B, 5.84%, 3/15/2043 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2723 | &nbsp;&nbsp;&nbsp;&nbsp; 2738 |
| &nbsp;&nbsp;&nbsp; Invitation Homes Trust Series 2024-SFR1, Class D, 4.25%, 9/17/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3525 | &nbsp;&nbsp;&nbsp;&nbsp; 3324 |
| &nbsp;&nbsp;&nbsp; Jonah, 7.80%, 11/10/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2181 | &nbsp;&nbsp;&nbsp;&nbsp; 2189 |
| &nbsp;&nbsp;&nbsp; Jonah Energy ABS II LLC Series 2025-1A, Class A1, 6.59%, 12/10/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3254 | &nbsp;&nbsp;&nbsp;&nbsp; 3253 |
| &nbsp;&nbsp;&nbsp; Jonah Energy ABS LLC Series 2022-1, Class A1, 7.20%, 12/10/2037 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1420 | &nbsp;&nbsp;&nbsp;&nbsp; 1424 |
| &nbsp;&nbsp;&nbsp; KGS-Alpha SBA COOF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-2, Class A, IO, 0.81%, 8/25/2038 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2, Class A, IO, 1.75%, 3/25/2039 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 625 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, IO, 2.56%, 7/25/2041 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp; Lending Funding Trust Series 2020-2A, Class C, 4.30%, 4/21/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1795 | &nbsp;&nbsp;&nbsp;&nbsp; 1737 |
| &nbsp;&nbsp;&nbsp; Lendingpoint Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class B, 5.99%, 10/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4729 | &nbsp;&nbsp;&nbsp;&nbsp; 4565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 7.46%, 2/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 940 | &nbsp;&nbsp;&nbsp;&nbsp; 940 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust Series 2024-2A, Class A, 6.56%, 7/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4220 | &nbsp;&nbsp;&nbsp;&nbsp; 4255 |
| &nbsp;&nbsp;&nbsp; Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp;&nbsp;&nbsp; 248 |
| &nbsp;&nbsp;&nbsp; MMAF Equipment Finance LLC Series 2024-A, Class A4, 5.10%, 7/13/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1206 | &nbsp;&nbsp;&nbsp;&nbsp; 1223 |
| &nbsp;&nbsp;&nbsp; MNR ABS Issuer I LLC, 8.95%, 12/15/2038 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 1723 | &nbsp;&nbsp;&nbsp;&nbsp; 1755 |
| &nbsp;&nbsp;&nbsp; MVW LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class B, 2.44%, 10/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 613 | &nbsp;&nbsp;&nbsp;&nbsp; 601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 5.21%, 9/22/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4507 | &nbsp;&nbsp;&nbsp;&nbsp; 4505 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.85%, 11/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 498 | &nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2082 | &nbsp;&nbsp;&nbsp;&nbsp; 2020 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 942 | &nbsp;&nbsp;&nbsp;&nbsp; 907 |
| &nbsp;&nbsp;&nbsp; OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3880 | &nbsp;&nbsp;&nbsp;&nbsp; 3849 |
| &nbsp;&nbsp;&nbsp; PEAC Solutions Receivables LLC Series 2024-1A, Class A3, 5.64%, 11/20/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5900 | &nbsp;&nbsp;&nbsp;&nbsp; 6028 |
| &nbsp;&nbsp;&nbsp; Pendoor Proper, 0.00%, 2/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp; 714 |
| &nbsp;&nbsp;&nbsp; Perimeter Master Note Business Trust Series 2025-1A, Class A, 5.58%, 12/16/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6550 | &nbsp;&nbsp;&nbsp;&nbsp; 6514 |
| &nbsp;&nbsp;&nbsp; PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 8.57%, 5/25/2027 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3450 | &nbsp;&nbsp;&nbsp;&nbsp; 3460 |
| &nbsp;&nbsp;&nbsp; Porsche Innovative Lease Owner Trust Series 2024-1A, Class A4, 4.66%, 2/20/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4230 | &nbsp;&nbsp;&nbsp;&nbsp; 4240 |
| &nbsp;&nbsp;&nbsp; Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3426 | &nbsp;&nbsp;&nbsp;&nbsp; 3439 |
| &nbsp;&nbsp;&nbsp; PRET LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN3, Class A1, 4.84%, 9/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2573 | &nbsp;&nbsp;&nbsp;&nbsp; 2561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN4, Class A1, 5.49%, 10/25/2051 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3929 | &nbsp;&nbsp;&nbsp;&nbsp; 3924 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR5, Class D, 3.38%, 8/9/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1892 | &nbsp;&nbsp;&nbsp;&nbsp; 1722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3446 | &nbsp;&nbsp;&nbsp;&nbsp; 3338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2685 | &nbsp;&nbsp;&nbsp;&nbsp; 2662 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR2, Class C, 3.56%, 4/17/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7445 | &nbsp;&nbsp;&nbsp;&nbsp; 6833 |
| &nbsp;&nbsp;&nbsp; Purewest ABS Issuer LLC Series 2025-1, Class A2, 6.53%, 4/5/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4994 | &nbsp;&nbsp;&nbsp;&nbsp; 4994 |
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 287 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; Renew (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.67%, 9/20/2052 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp; 278 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.21%, 11/20/2059 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4212 | &nbsp;&nbsp;&nbsp;&nbsp; 4211 |
| &nbsp;&nbsp;&nbsp; RT Fin LLC, 7.85%, 10/15/2043 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2193 | &nbsp;&nbsp;&nbsp;&nbsp; 2225 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class D, 5.67%, 12/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp; 4738 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6, Class D, 5.69%, 2/18/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5800 | &nbsp;&nbsp;&nbsp;&nbsp; 5853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class D, 6.28%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp; 4825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class D, 5.32%, 12/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1550 | &nbsp;&nbsp;&nbsp;&nbsp; 1557 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A3, 2.92%, 7/20/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.56%, 4/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2280 | &nbsp;&nbsp;&nbsp;&nbsp; 2344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 6.50%, 8/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3688 | &nbsp;&nbsp;&nbsp;&nbsp; 3709 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 6.77%, 8/22/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3815 | &nbsp;&nbsp;&nbsp;&nbsp; 3942 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Trust LLC Series 2025-1A, Class A3, 5.11%, 11/21/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3544 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.84%, 1/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust Series 2024-1A, Class A, 6.27%, 7/15/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2838 | &nbsp;&nbsp;&nbsp;&nbsp; 2928 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1837 | &nbsp;&nbsp;&nbsp;&nbsp; 1804 |
| &nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class B, 3.65%, 10/7/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 536 | &nbsp;&nbsp;&nbsp;&nbsp; 531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class B, 4.60%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 326 | &nbsp;&nbsp;&nbsp;&nbsp; 321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class A, 3.45%, 7/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 474 | &nbsp;&nbsp;&nbsp;&nbsp; 451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.50%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 511 | &nbsp;&nbsp;&nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 3.70%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1153 | &nbsp;&nbsp;&nbsp;&nbsp; 1067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 4.15%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp; 695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 4.55%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 659 | &nbsp;&nbsp;&nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class AA, 2.70%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 995 | &nbsp;&nbsp;&nbsp;&nbsp; 878 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class AA, 5.45%, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1472 | &nbsp;&nbsp;&nbsp;&nbsp; 1462 |
| &nbsp;&nbsp;&nbsp; UOG ABS Issuer I LLC Series 2023-1, Class A1, 8.35%, 6/5/2040 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1494 | &nbsp;&nbsp;&nbsp;&nbsp; 1522 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp; 2004 |
| &nbsp;&nbsp;&nbsp; vMobo, Inc., 7.46%, 7/18/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 5998 | &nbsp;&nbsp;&nbsp;&nbsp; 5704 |
| &nbsp;&nbsp;&nbsp; VOLT CI LLC Series 2021-NP10, Class A1, 5.99%, 5/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 422 | &nbsp;&nbsp;&nbsp;&nbsp; 421 |
| &nbsp;&nbsp;&nbsp; VOLT XCIII LLC Series 2021-NPL2, Class A1, 5.89%, 2/27/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 6.24%, 2/27/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 6.12%, 3/27/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 6.24%, 4/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 503 | &nbsp;&nbsp;&nbsp;&nbsp; 503 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 5.48%, 9/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4910 | &nbsp;&nbsp;&nbsp;&nbsp; 4920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.02%, 9/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp; 3440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class C, 6.64%, 11/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2632 | &nbsp;&nbsp;&nbsp;&nbsp; 2691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 7.01%, 11/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3047 | &nbsp;&nbsp;&nbsp;&nbsp; 3114 |
| &nbsp;&nbsp;&nbsp; Wingspire Equipment Finance LLC Series 2024-1A, Class B, 5.06%, 9/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $378,603)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 377063 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — 6.0%** | **Collateralized Mortgage Obligations — 6.0%** | **Collateralized Mortgage Obligations — 6.0%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1972 | &nbsp;&nbsp;&nbsp;&nbsp; 2008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1CB, Class 1A6, IF, IO, 2.66%, 3/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 267 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A2, IF, IO, 0.63%, 6/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2508 | &nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-20CB, Class 3A8, IF, IO, 0.31%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 877 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 803 | &nbsp;&nbsp;&nbsp;&nbsp; 684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-37T1, Class A2, IF, IO, 0.61%, 9/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1886 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A2, IF, IO, 0.41%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1273 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 506 | &nbsp;&nbsp;&nbsp;&nbsp; 385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-57CB, Class 3A2, IF, IO, 0.66%, 12/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 372 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26CB, Class A9, 6.50%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp; Anchor Mortgage Trust, 8.23%, 3/25/2031 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4057 |
| &nbsp;&nbsp;&nbsp; Banc of America Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 15, PO, 7/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A4, 6.00%, 5/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, PO, 3/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 30, PO, 9/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 30, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 30, PO, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A, Class 3A2, 4.92%, 2/20/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2004-A, Class 2A2, 5.91%, 2/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class 3A, 7.04%, 10/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 12A1, 5.34%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 14A, 4.53%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A1, 6.53%, 2/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp; CAFL Issuer LP Series 2025-RRTL1, Class A1, 5.68%, 5/28/2040 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7170 | &nbsp;&nbsp;&nbsp;&nbsp; 7190 |
| &nbsp;&nbsp;&nbsp; CFIN LLC Series 2024-1A, Class A, 6.50%, 11/27/2028 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp; 4747 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB1, Class 2A, 5.26%, 5/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 4.47%, 6/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 2A1, 5.42%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB6, Class A3, 5.93%, 11/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class A23, 5.50%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class 2A1, 5.20%, 11/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 508 | &nbsp;&nbsp;&nbsp;&nbsp; 419 |
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class A, PO, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class A, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Mortgage Securities VII, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP2, Class 1, PO, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A, 7.74%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 7.35%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 3, PO, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A6, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1A, 3.47%, 2/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A2, 4.45%, 8/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class DB1, 6.68%, 2/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-25, Class 1P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 3A18, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 3A23, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 774 | &nbsp;&nbsp;&nbsp;&nbsp; 789 |
| &nbsp;&nbsp;&nbsp; FHLMC Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class HT, 3.25%, 6/25/2057 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5679 | &nbsp;&nbsp;&nbsp;&nbsp; 5083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class M45T, 4.50%, 6/25/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 2598 | &nbsp;&nbsp;&nbsp;&nbsp; 2492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class MT, 3.50%, 7/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 2246 | &nbsp;&nbsp;&nbsp;&nbsp; 1988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class MB, 3.50%, 10/25/2058 | &nbsp;&nbsp;&nbsp;&nbsp; 1725 | &nbsp;&nbsp;&nbsp;&nbsp; 1388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class MA, 2.50%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 4659 | &nbsp;&nbsp;&nbsp;&nbsp; 4225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MTU, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 2962 | &nbsp;&nbsp;&nbsp;&nbsp; 2523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class MT, 3.00%, 10/25/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 4368 | &nbsp;&nbsp;&nbsp;&nbsp; 3627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class MT, 3.00%, 11/25/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1703 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class MT, 3.50%, 5/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 6141 | &nbsp;&nbsp;&nbsp;&nbsp; 5278 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3720, Class A, 4.50%, 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3131, Class BK, 5.50%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1829, Class ZB, 6.50%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1863, Class Z, 6.50%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1890, Class H, 7.50%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1899, Class ZE, 8.00%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3229, Class HE, 5.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1963, Class Z, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1935, Class FL, 5.15%, 2/15/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1981, Class Z, 6.00%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1970, Class PG, 7.25%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1987, Class PE, 7.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019, Class Z, 6.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2038, Class PN, IO, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4251, Class KW, 2.50%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 788 | &nbsp;&nbsp;&nbsp;&nbsp; 770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2043, Class CJ, 6.50%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2054, Class PV, 7.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PM, 6.25%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PH, 6.50%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2086, Class GB, 6.00%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2095, Class PE, 6.00%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2136, Class PG, 6.00%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class SB, IF, 11.20%, 3/15/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2141, IO, 7.00%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2169, Class TB, 7.00%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2172, Class QC, 7.00%, 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2176, Class OJ, 7.00%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2201, Class C, 8.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2209, Class TC, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2230, Class Z, 8.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2234, Class PZ, 7.50%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2247, Class Z, 7.50%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2262, Class Z, 7.50%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2313, Class LA, 6.50%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2325, Class PM, 7.00%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2359, Class ZB, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2351, Class PZ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2353, Class AZ, 6.00%, 9/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ME, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2396, Class FM, 4.90%, 12/15/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class OH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class TH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2464, Class SI, IF, IO, 3.55%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.20%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class NG, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2420, Class XK, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2412, Class SP, IF, 7.21%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QS, IF, 7.94%, 2/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 3.50%, 3/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 3.55%, 3/15/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2430, Class WF, 6.50%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2435, Class CJ, 6.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class TC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2436, Class MC, 7.00%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2455, Class GK, 6.50%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2462, Class JG, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class PH, 6.50%, 6/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 79 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2474, Class NR, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2484, Class LZ, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class MC, 6.00%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2835, Class QO, PO, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2543, Class YX, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2544, Class HC, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2552, Class ME, 6.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2567, Class QD, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2575, Class ME, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2596, Class QG, 6.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class WI, IO, 6.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2692, Class SC, IF, 4.39%, 7/15/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4240, Class B, 3.00%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2014 | &nbsp;&nbsp;&nbsp;&nbsp; 1935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3920, Class LP, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp;&nbsp;&nbsp; 266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2744, Class PE, 5.50%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class UZ, 5.75%, 6/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp; 729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3004, Class EK, 5.50%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1139 | &nbsp;&nbsp;&nbsp;&nbsp; 1132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3014, Class OD, PO, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3085, Class WF, 5.25%, 8/15/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3047, Class OD, 5.50%, 10/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp; 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3074, Class BH, 5.00%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3064, Class MC, 5.50%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2436 | &nbsp;&nbsp;&nbsp;&nbsp; 2531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3102, Class FB, 4.75%, 1/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3102, Class HS, IF, 8.26%, 1/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3134, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3152, Class MO, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class ZB, 6.00%, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3138, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class BO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3219, Class DI, IO, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3819, Class ZQ, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp;&nbsp;&nbsp; 381 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3233, Class OP, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3194, Class SA, IF, IO, 2.65%, 7/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3211, Class SO, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3218, Class AO, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.25%, 10/15/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 117 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3256, PO, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3261, Class OA, PO, 1/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3260, Class CS, IF, IO, 1.69%, 1/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class JO, PO, 2/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3275, Class FL, 4.89%, 2/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3290, Class SB, IF, IO, 2.00%, 3/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class AO, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, PO, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3315, Class HZ, 6.00%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class JO, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3331, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class OP, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FJ, 4.85%, 7/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3385, Class SN, IF, IO, 1.55%, 11/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3387, Class SA, IF, IO, 1.97%, 11/15/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3422, Class AI, IO, 0.25%, 1/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404, Class SC, IF, IO, 1.55%, 1/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3424, Class PI, IF, IO, 2.35%, 4/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.40%, 8/15/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3511, Class SA, IF, IO, 1.55%, 2/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3549, Class FA, 5.65%, 7/15/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, Class BO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3747, Class PY, 4.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp; 518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3925, Class FL, 4.90%, 1/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class QN, IF, 5.50%, 5/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3957, Class B, 4.00%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class NA, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4217, Class KY, 3.00%, 6/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp; 2052 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4928, Class PB, 2.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 360 | &nbsp;&nbsp;&nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 11, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 13, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 299, Class 300, 3.00%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 923 | &nbsp;&nbsp;&nbsp;&nbsp; 838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 310, PO, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 501 | &nbsp;&nbsp;&nbsp;&nbsp; 379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 323, Class 300, 3.00%, 1/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 721 | &nbsp;&nbsp;&nbsp;&nbsp; 642 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-41, Class 3A, 4.46%, 7/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.34%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp; 380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 748 | &nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 207 | &nbsp;&nbsp;&nbsp;&nbsp; 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1AP, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AA4, Class A1, 5.23%, 10/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 321 | &nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4, Class 1A2, IF, IO, 1.21%, 8/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 810 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W15, Class 2AF, 4.69%, 8/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.66%, 3/25/2045 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 276 | &nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 1AF1, 4.66%, 2/25/2046 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4805 | &nbsp;&nbsp;&nbsp;&nbsp; 4654 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T19, Class A2, 7.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 291 | &nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-29, Class J, 7.50%, 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-39, Class PD, 7.50%, 5/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-42, Class ZC, 6.50%, 7/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &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; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-18, Class Z, 5.50%, 4/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-17, Class C, 6.35%, 4/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-62, Class PB, 7.50%, 12/18/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-2, Class ZE, 7.50%, 2/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-52, IO, 8.50%, 1/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-7, Class PF, 7.00%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-31, Class DB, 3.50%, 4/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 506 | &nbsp;&nbsp;&nbsp;&nbsp; 494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-30, Class PM, 7.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class Z, 6.50%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class MY, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PU, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-52, Class KB, 6.50%, 10/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 9.64%, 10/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-61, Class Z, 7.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-72, Class SX, IF, 7.13%, 12/25/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 10.77%, 2/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class LO, PO, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &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; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-28, Class PK, 6.50%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-66, Class CB, 3.00%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1739 | &nbsp;&nbsp;&nbsp;&nbsp; 1677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-48, Class GH, 6.50%, 8/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-59, Class BG, PO, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class S, IF, 6.35%, 12/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22, Class UD, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 386 | &nbsp;&nbsp;&nbsp;&nbsp; 379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-35, Class UC, 3.75%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class GB, 4.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class AX, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class ED, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp;&nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-47, Class PE, 5.75%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-64, Class SX, IF, 2.59%, 7/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class OA, PO, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-71, Class DS, IF, 1.51%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-74, Class SH, IF, 2.18%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.11%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class AE, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 | &nbsp;&nbsp;&nbsp;&nbsp; 1752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class E, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1686 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-108, Class GU, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2111 | &nbsp;&nbsp;&nbsp;&nbsp; 2026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.16%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 4.87%, 1/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 7.32%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 4.30%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class QB, IF, 6.25%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 7.32%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-51, Class SY, IF, 5.37%, 7/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.27%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SG, IF, 6.28%, 7/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class XM, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 261 | &nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-110, Class GL, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1243 | &nbsp;&nbsp;&nbsp;&nbsp; 1290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-109, Class PC, 6.00%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OA, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class KO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class GO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-53, Class US, IF, IO, 2.14%, 6/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 180 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class AP, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FC, 4.73%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class FL, 4.90%, 7/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-60, Class DZ, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class TO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class SG, IF, IO, 2.06%, 8/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 785 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-90, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-42, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-109, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-111, Class EO, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-124, Class HB, 6.63%, 11/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-119, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A2, 4.53%, 12/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class CO, PO, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, Class BP, 5.50%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.00%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 228 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-77, Class FG, 4.94%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 5.19%, 3/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class AO, PO, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-48, PO, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-60, Class AX, IF, IO, 2.71%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 659 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-81, Class GE, 6.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.10%, 9/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 470 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.02%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 1.23%, 1/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, Class BI, IF, IO, 1.47%, 2/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 1.76%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 1.79%, 3/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-27, Class SN, IF, IO, 2.46%, 4/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-44, PO, 5/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-53, Class CI, IF, IO, 2.76%, 7/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class SA, IF, IO, 1.41%, 9/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class SB, IF, IO, 1.41%, 9/25/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class GS, IF, IO, 2.11%, 2/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-60, Class HT, 6.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class SC, IF, IO, 1.74%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 6.98%, 12/25/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-49, Class SC, IF, 3.79%, 3/25/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-71, Class HJ, 5.50%, 7/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-147, Class SA, IF, IO, 2.09%, 1/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 481 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO, 1.97%, 4/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class FA, 4.99%, 8/25/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-130, Class CA, 6.00%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class TA, 3.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp; 422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-90, Class PM, 3.50%, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1694 | &nbsp;&nbsp;&nbsp;&nbsp; 1538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 729 | &nbsp;&nbsp;&nbsp;&nbsp; 523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-128, PO, 12/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp; 543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-2, Class WA, 5.83%, 2/25/2051 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-95, Class GA, 1.88%, 3/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 7903 | &nbsp;&nbsp;&nbsp;&nbsp; 6556 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 12.37%, 7/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.16%, 10/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.75%, 12/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.13%, 12/25/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-101, Class A2, 4.69%, 6/27/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.84%, 6/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.01%, 10/25/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 329, Class 1, PO, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 345, Class 6, IO, 5.00%, 12/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 351, Class 7, IO, 5.00%, 4/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 355, Class 11, IO, 6.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 365, Class 8, IO, 5.50%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 374, Class 5, IO, 5.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 393, Class 6, IO, 5.50%, 4/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 32, IO, 6.00%, 1/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 33, IO, 6.00%, 1/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 4.61%, 6/19/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-35, Class SA, IF, IO, 3.81%, 8/16/2031 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-52, Class GH, 6.50%, 7/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class BE, 6.50%, 1/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class SP, IF, IO, 3.26%, 2/20/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-46, Class MG, 6.50%, 5/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class AP, PO, 6/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-112, Class SA, IF, IO, 2.11%, 12/16/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 7.44%, 4/16/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 1.66%, 10/20/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class DP, IF, 5.73%, 6/17/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class CO, PO, 8/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class KI, IF, IO, 1.86%, 9/20/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OP, PO, 3/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class ZK, 6.50%, 8/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 417 | &nbsp;&nbsp;&nbsp;&nbsp; 416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.26%, 10/20/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-22, Class WA, 5.79%, 2/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JO, PO, 4/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.37%, 4/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-19, Class SD, IF, IO, 1.76%, 4/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class BO, PO, 5/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-26, Class SC, IF, IO, 1.76%, 5/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-27, Class SA, IF, IO, 1.76%, 5/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SE, IF, IO, 2.03%, 6/16/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-47, Class PH, 6.00%, 7/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1255 | &nbsp;&nbsp;&nbsp;&nbsp; 1292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SB, IF, IO, 2.31%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 319 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class SB, IF, IO, 2.31%, 7/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 6.89%, 9/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-73, Class MI, IF, IO, 1.56%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SA, IF, IO, 2.09%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class US, IF, IO, 2.11%, 11/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SY, IF, IO, 2.11%, 12/20/2037 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class NS, IF, IO, 2.10%, 1/16/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class MS, IF, IO, 2.72%, 1/16/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class S, IF, IO, 1.39%, 2/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 113 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-36, Class SH, IF, IO, 1.86%, 4/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 1.96%, 5/16/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 754 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 1.76%, 6/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-71, Class SC, IF, IO, 1.56%, 8/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IF, IO, 3.16%, 9/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.26%, 12/20/2038 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 1.66%, 2/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-22, Class SA, IF, IO, 1.83%, 4/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 192 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-43, Class SA, IF, IO, 1.51%, 6/20/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-72, Class SM, IF, IO, 1.81%, 8/16/2039 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-31, Class NO, PO, 3/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 360 | &nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class WA, 5.09%, 6/20/2040 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 448 | &nbsp;&nbsp;&nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CP, 7.00%, 10/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 396 | &nbsp;&nbsp;&nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class SM, IF, IO, 2.16%, 5/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 274 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-188, Class W, 4.55%, 10/20/2041 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WC, 3.73%, 1/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class WA, 4.89%, 11/20/2042 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 828 | &nbsp;&nbsp;&nbsp;&nbsp; 841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class WA, 4.42%, 4/20/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 452 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-116, Class JY, 4.00%, 8/16/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp; 1209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-160, Class PA, 3.50%, 7/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 634 | &nbsp;&nbsp;&nbsp;&nbsp; 623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-6, Class A, 3.50%, 11/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5802 | &nbsp;&nbsp;&nbsp;&nbsp; 5406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-9, Class P, 2.00%, 9/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 5464 | &nbsp;&nbsp;&nbsp;&nbsp; 4787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-154, Class JZ, 4.50%, 9/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 1409 | &nbsp;&nbsp;&nbsp;&nbsp; 1215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-115, Class TS, IF, 5.97%, 6/20/2053 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5065 | &nbsp;&nbsp;&nbsp;&nbsp; 5077 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FG, 4.86%, 4/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 4.73%, 8/20/2060 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H21, Class CF, 5.13%, 5/20/2061 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H05, Class FB, 4.84%, 2/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H15, Class FA, 4.88%, 5/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class MA, 4.98%, 7/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H28, Class FA, 5.01%, 9/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 4.95%, 10/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H31, Class FD, 4.77%, 12/20/2062 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class FA, 1.65%, 1/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H04, Class BA, 1.65%, 2/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FC, 4.88%, 2/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class HA, 4.84%, 3/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H09, Class HA, 1.65%, 4/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H18, Class JA, 5.03%, 8/20/2063 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H01, Class FD, 5.08%, 1/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-57, Class PT, 4.50%, 4/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 4309 | &nbsp;&nbsp;&nbsp;&nbsp; 4156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H09, Class TA, 5.03%, 4/20/2064 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FD, 4.87%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp; 400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FJ, 4.87%, 6/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 923 | &nbsp;&nbsp;&nbsp;&nbsp; 925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FG, 4.87%, 7/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H23, Class FB, 4.95%, 9/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 728 | &nbsp;&nbsp;&nbsp;&nbsp; 730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H32, Class FH, 5.09%, 12/20/2065 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 547 | &nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H08, Class XI, IO, 2.28%, 3/20/2067 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2779 | &nbsp;&nbsp;&nbsp;&nbsp; 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-H14, Class CF, 5.73%, 9/20/2071 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4567 | &nbsp;&nbsp;&nbsp;&nbsp; 4658 |
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AS, IO, 3.73%, 9/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.79%, 9/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 431 | &nbsp;&nbsp;&nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP2, Class 1AS2, IF, IO, 1.54%, 4/25/2036 ‡ (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1214 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4F, Class AP, PO, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp; 214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 633 | &nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 1A1, 5.18%, 11/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 2A1, 5.04%, 5/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust Series 2006-1, Class 2A1, 5.14%, 5/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 7.11%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 5.20%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 7.21%, 8/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 5.74%, 4/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A6, 6.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp; Lhome Mortgage Trust Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3045 | &nbsp;&nbsp;&nbsp;&nbsp; 3049 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 6.83%, 4/21/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A1, 6.80%, 5/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 3A7, 6.27%, 11/21/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-15, Class 3A1, 7.24%, 12/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-3, Class 1A1, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 30, PO, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; MASTR Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 15, PO, 7/25/2019 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class 30, PO, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 4.79%, 5/25/2035 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1034 | &nbsp;&nbsp;&nbsp;&nbsp; 506 |
| &nbsp;&nbsp;&nbsp; MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 5.06%, 10/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-F, Class A1, 5.08%, 10/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A, Class A1, 4.90%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A1, 5.42%, 12/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 4330 | &nbsp;&nbsp;&nbsp;&nbsp; 4356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 3545 | &nbsp;&nbsp;&nbsp;&nbsp; 3518 |
| &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; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A1, 5.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A2, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp; PRET Trust Series 2024-RPL2, Class A1, 4.07%, 6/25/2064 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3703 | &nbsp;&nbsp;&nbsp;&nbsp; 3507 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS9, Class A3, IF, IO, 3.11%, 5/25/2018 ‡ (f) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; —<br> (h)<br>|
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-QA6, Class NB2, 4.51%, 12/26/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust Series 2025-1, Class MTU, 3.25%, 11/25/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 5821 | &nbsp;&nbsp;&nbsp;&nbsp; 4983 |
| &nbsp;&nbsp;&nbsp; Seasoned Loans Structured Transaction Trust Series 2025-1, Class A1, 3.00%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10656 | &nbsp;&nbsp;&nbsp;&nbsp; 9639 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 5.10%, 10/19/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class A1, 5.08%, 9/25/2043 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 3A, 5.55%, 12/25/2044 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust Series 2025-RRTL1, Class A1, 5.52%, 2/25/2040 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1990 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5049 | &nbsp;&nbsp;&nbsp;&nbsp; 4336 |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-1, Class 2Z, 6.50%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp; 198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-2, Class Z, 5.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp; 1110 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR8, Class A, 6.22%, 8/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 1A6, 6.55%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp;&nbsp;&nbsp; 289 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 2A, 6.64%, 9/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class P, PO, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class A8, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 5.42%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 5.42%, 6/25/2034 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class 2P, 4.35%, 9/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR12, Class 2P, 4.16%, 10/25/2036 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A3, IF, IO, 0.56%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A4, IF, IO, 0.61%, 4/25/2035 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1625 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 488 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 477 | &nbsp;&nbsp;&nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 436 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A9, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 555 | &nbsp;&nbsp;&nbsp;&nbsp; 486 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $189,438)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 185423 |
| **Commercial Mortgage-Backed Securities — 2.5%** | **Commercial Mortgage-Backed Securities — 2.5%** | **Commercial Mortgage-Backed Securities — 2.5%** |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.21%, 8/15/2046 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp; 867 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3483 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 6.12%, 7/25/2041 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1631 | &nbsp;&nbsp;&nbsp;&nbsp; 1601 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K065, Class A2, 3.24%, 4/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2467 | &nbsp;&nbsp;&nbsp;&nbsp; 2420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K070, Class A2, 3.30%, 11/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1748 | &nbsp;&nbsp;&nbsp;&nbsp; 1711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K754, Class AM, 4.94%, 11/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1740 | &nbsp;&nbsp;&nbsp;&nbsp; 1779 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K138, Class AM, 1.89%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1850 | &nbsp;&nbsp;&nbsp;&nbsp; 1568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class A2, 2.92%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp; 3793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-150, Class A2, 3.71%, 9/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1005 | &nbsp;&nbsp;&nbsp;&nbsp; 951 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.46%, 12/25/2026 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 831 | &nbsp;&nbsp;&nbsp;&nbsp; 808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4594 | &nbsp;&nbsp;&nbsp;&nbsp; 4496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2661 | &nbsp;&nbsp;&nbsp;&nbsp; 2599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.30%, 6/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 2317 | &nbsp;&nbsp;&nbsp;&nbsp; 2259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M10, Class A2, 3.35%, 7/25/2028 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3256 | &nbsp;&nbsp;&nbsp;&nbsp; 3177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M5, Class A2, 3.01%, 4/25/2029 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1814 | &nbsp;&nbsp;&nbsp;&nbsp; 1735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1126 | &nbsp;&nbsp;&nbsp;&nbsp; 1061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 17553 | &nbsp;&nbsp;&nbsp;&nbsp; 754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1S, Class A2, 2.08%, 4/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5230 | &nbsp;&nbsp;&nbsp;&nbsp; 4477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M13, Class A2, 2.59%, 6/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 6802 | &nbsp;&nbsp;&nbsp;&nbsp; 6031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A2, 3.75%, 8/25/2032 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 4225 | &nbsp;&nbsp;&nbsp;&nbsp; 4002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-M8, Class A2, 4.47%, 3/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3290 | &nbsp;&nbsp;&nbsp;&nbsp; 3260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 1.90%, 11/25/2033 (f) | &nbsp;&nbsp;&nbsp;&nbsp; 3133 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-KBF3, Class B, 6.97%, 1/25/2029 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 1247 | &nbsp;&nbsp;&nbsp;&nbsp; 1238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K737, Class B, 3.33%, 1/25/2053 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K96, Class C, 3.81%, 8/25/2056 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 5113 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp;&nbsp;&nbsp; 938 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2685 | &nbsp;&nbsp;&nbsp;&nbsp; 1979 |
| &nbsp;&nbsp;&nbsp; P4 SFR Series 2019-STl A, 7.25%, 10/11/2026 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp; 2548 |
| &nbsp;&nbsp;&nbsp; ROCK Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1650 | &nbsp;&nbsp;&nbsp;&nbsp; 1671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class C, 6.47%, 11/13/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5175 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3935 | &nbsp;&nbsp;&nbsp;&nbsp; 3406 |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.07%, 3/15/2045 (b) (f) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $81,311)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 77833 |
| **Municipal Bonds — 0.3% (i)** | **Municipal Bonds — 0.3% (i)** | **Municipal Bonds — 0.3% (i)** |
| **California — 0.0% ^** | **California — 0.0% ^** | **California — 0.0% ^** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, <br> Rev., 6.58%, 5/15/2039<br>| &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp; State of California, Various Purpose, GO, 7.30%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 398 |
| &nbsp;&nbsp;&nbsp; Total California |  | &nbsp;&nbsp;&nbsp;&nbsp; 788 |
| **New York — 0.1%** | **New York — 0.1%** | **New York — 0.1%** |
| &nbsp;&nbsp;&nbsp; New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010D, Rev., 5.60%, 3/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 360 | &nbsp;&nbsp;&nbsp;&nbsp; 361 |
| &nbsp;&nbsp;&nbsp; Port Authority of New York and New Jersey, Consolidated |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 164, Rev., 5.65%, 11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 | &nbsp;&nbsp;&nbsp;&nbsp; 1881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 165, Rev., 5.65%, 11/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 174, Rev., 4.46%, 10/1/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 2060 | &nbsp;&nbsp;&nbsp;&nbsp; 1666 |
| &nbsp;&nbsp;&nbsp; Total New York |  | &nbsp;&nbsp;&nbsp;&nbsp; 4361 |
| **Ohio — 0.1%** | **Ohio — 0.1%** | **Ohio — 0.1%** |
| &nbsp;&nbsp;&nbsp; American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1275 | &nbsp;&nbsp;&nbsp;&nbsp; 1425 |
| &nbsp;&nbsp;&nbsp; Ohio State University (The), General Receipts Series 2011A, Rev., 4.80%, 6/1/2111 | &nbsp;&nbsp;&nbsp;&nbsp; 1563 | &nbsp;&nbsp;&nbsp;&nbsp; 1265 |
| &nbsp;&nbsp;&nbsp; Ohio University, General Receipts, Federally Taxable, Rev., 5.59%, 12/1/2114 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp; 176 |
| &nbsp;&nbsp;&nbsp; Total Ohio |  | &nbsp;&nbsp;&nbsp;&nbsp; 2866 |
| **Oklahoma — 0.0% ^** | **Oklahoma — 0.0% ^** | **Oklahoma — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, Natural Gas Co. Series 2022, Rev., 4.71%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp;&nbsp;&nbsp; 514 |
| **Texas — 0.1%** | **Texas — 0.1%** | **Texas — 0.1%** |
| &nbsp;&nbsp;&nbsp; Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023A-1, Rev., 5.10%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp; 615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023A-2, Rev., 5.17%, 4/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1155 | &nbsp;&nbsp;&nbsp;&nbsp; 1148 |
| &nbsp;&nbsp;&nbsp; Total Texas |  | &nbsp;&nbsp;&nbsp;&nbsp; 1763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Municipal Bonds <br>(Cost $10,981)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 10292 |
| **Foreign Government Securities — 0.3%** | **Foreign Government Securities — 0.3%** | **Foreign Government Securities — 0.3%** |
| &nbsp;&nbsp;&nbsp; Kingdom of Saudi Arabia |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/2/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 622 | &nbsp;&nbsp;&nbsp;&nbsp; 513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/2/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp; Republic of Chile 2.55%, 1/27/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp; Republic of Peru 5.63%, 11/18/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Foreign Government Securities — continued** | **Foreign Government Securities — continued** | **Foreign Government Securities — continued** |
| &nbsp;&nbsp;&nbsp; Republic of Poland 5.50%, 3/18/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 921 | &nbsp;&nbsp;&nbsp;&nbsp; 833 |
| &nbsp;&nbsp;&nbsp; United Mexican States |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 1/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1216 | &nbsp;&nbsp;&nbsp;&nbsp; 1189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 5/13/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1061 | &nbsp;&nbsp;&nbsp;&nbsp; 1093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.66%, 5/24/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 916 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1252 | &nbsp;&nbsp;&nbsp;&nbsp; 1029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 5/13/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1578 | &nbsp;&nbsp;&nbsp;&nbsp; 1597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 1/23/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 2113 | &nbsp;&nbsp;&nbsp;&nbsp; 1528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.34%, 5/4/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp; 272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 5/24/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 772 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Foreign Government Securities <br>(Cost $12,154)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 10242 |
| **U.S. Government Agency Securities — 0.3%** | **U.S. Government Agency Securities — 0.3%** | **U.S. Government Agency Securities — 0.3%** |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6839 | &nbsp;&nbsp;&nbsp;&nbsp; 7446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tennessee Valley Authority STRIPS <br>DN, 5.96%, 6/15/2035 (a)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp; 490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Agency Securities <br>(Cost $9,171)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 8194 |
| **Loan Assignments — 0.1% (c) (j)** | **Loan Assignments — 0.1% (c) (j)** | **Loan Assignments — 0.1% (c) (j)** |
| **Consumer Finance — 0.1%** | **Consumer Finance — 0.1%** | **Consumer Finance — 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OneSky Loan Trust, 1st Lien Term Loan A (6-MONTH CME TERM SOFR + 3.88%), 4.16%, 1/15/2031 <br>(Cost $2,365)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2347 | &nbsp;&nbsp;&nbsp;&nbsp; 2237 |
|  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>|  |
| **Short-Term Investments — 2.2%** | **Short-Term Investments — 2.2%** | **Short-Term Investments — 2.2%** |
| **Investment Companies — 2.2%** | **Investment Companies — 2.2%** | **Investment Companies — 2.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 4.29% (k) (l) <br>(Cost $67,728)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 67714 | &nbsp;&nbsp;&nbsp;&nbsp; 67728 |
| **Total Investments — 100.7%** <br>**(Cost $3,262,706)**<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; **3129388** |
| **Liabilities in Excess of Other Assets — (0.7)%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **(22619)**<br>|
| **NET ASSETS — 100.0%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **3106769** |

---

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

---

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

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ABS | Asset-Backed Securities |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of May 31, 2025. |
| CLO | Collateralized Loan Obligations |
| CME | Chicago Mercantile Exchange |
| DN | Discount Notes |
| FHLMC | Federal Home Loan Mortgage Corp. |

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

---

| | |
|:---|:---|
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| GO | General Obligation |
| ICE | Intercontinental Exchange |
| IF | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest <br> rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the <br> rate in effect as of May 31, 2025. The rate may be subject to a cap and floor.<br>|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| Rev. | Revenue |
| SOFR | Secured Overnight Financing Rate |
| SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
| STRIPS | Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal <br> components of eligible notes and bonds as separate securities.<br>|
| TBA | To Be Announced; Security is subject to delayed delivery. |
| UMBS | Uniform Mortgage-Backed Securities |
| USD | United States Dollar |

---

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | The rate shown is the effective yield as of May 31, 2025.  |
| (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 May 31, 2025. |
| (d) | Contingent Capital security ("CoCo"). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a <br> pre-specified trigger event occurs. The total value of aggregate CoCo holdings at May 31, 2025 is $768 or 0.02% of the Fund's net assets as <br> of May 31, 2025.<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 May 31, 2025. <br>|
| (f) | 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 May 31, 2025. <br>|
| (g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (h) | Value is zero. |
| (i) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (j) | Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms. |
| (k) | 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>|
| (l) | The rate shown is the current yield as of May 31, 2025. |

---

**Futures contracts outstanding as of May 31, 2025 (amounts in thousands, except number of contracts):**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 77191 | &nbsp;&nbsp;&nbsp;&nbsp; 760 |
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp;&nbsp; 802 | &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 90476 | &nbsp;&nbsp;&nbsp;&nbsp; 1048 |
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 09/19/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 13027 | &nbsp;&nbsp;&nbsp;&nbsp; 296 |
| U.S. Treasury 2 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 269 | &nbsp;&nbsp;&nbsp;&nbsp; 09/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 55822 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 885 | &nbsp;&nbsp;&nbsp;&nbsp; 09/30/2025 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 95844 | &nbsp;&nbsp;&nbsp;&nbsp; 565 |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; 2757 |

---

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

---

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

---

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

(Dollar values in thousands)

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

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

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

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

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

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

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

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

See the table on "Quantitative Information about Level 3 Fair Value Measurements" for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at May 31, 2025.

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

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

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

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

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

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

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

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

(Dollar values in thousands)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $306613 | &nbsp;&nbsp;&nbsp;&nbsp; $70450 | &nbsp;&nbsp;&nbsp;&nbsp; $377063 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 176553 | &nbsp;&nbsp;&nbsp;&nbsp; 8870 | &nbsp;&nbsp;&nbsp;&nbsp; 185423 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 75285 | &nbsp;&nbsp;&nbsp;&nbsp; 2548 | &nbsp;&nbsp;&nbsp;&nbsp; 77833 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 714446 | &nbsp;&nbsp;&nbsp;&nbsp; 7320 | &nbsp;&nbsp;&nbsp;&nbsp; 721766 |
| Foreign Government Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10242 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10242 |
| Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2237 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2237 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 664292 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 664292 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10292 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 10292 |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8194 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 8194 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1004318 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1004318 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 67728 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 67728 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; $67728 | &nbsp;&nbsp;&nbsp;&nbsp; $2972472 | &nbsp;&nbsp;&nbsp;&nbsp; $89188<br>| &nbsp;&nbsp;&nbsp;&nbsp; $3129388<br>|
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $2757 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $2757 |

---

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>**2025**<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>**May 31,** <br>**2025**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $66700 | $— | $(311)<br>| $12 | $10104 | $(6055)<br>| $— | $— | $70450 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | 11848 | —<br> (a)<br>| 11 | (4)<br>| 4 | (2989)<br>| —<br> (a)<br>|  | 8870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed <br> Securities<br>| 2547 |  | 1 |  |  |  |  |  | 2548 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds |  |  |  |  | 7320 |  |  |  | 7320 |
| **Total** | $81095 | $—<br> (a)<br>| $(299)<br>| $8 | $17428 | $(9044)<br>| $—<br> (a)<br>| $— | $89188 |

---

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

<sup>1</sup> Purchases include all purchases of securities and securities received in corporate actions.

<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 May 31, 2025, which were valued using significant unobservable inputs (level 3) amounted to $(293).

There were no significant transfers into or out of level 3 for the period ended May 31, 2025.

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

------

**JPMorgan Core Bond Trust**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF May 31, 2025 (Unaudited) (continued)

(Dollar values in thousands)

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at**<br> **May 31, 2025**<br>| &nbsp;&nbsp; **Valuation**<br> **Technique(s)**<br>| &nbsp;&nbsp; **Unobservable**<br> **Input**<br>| &nbsp;&nbsp; **Range (Weighted**<br> **Average) (a)**<br>|
|  | &nbsp;&nbsp; $12732 | Discounted Cash Flow | Constant Default Rate | 0.00% - 49.00% (7.71%) |
|  |  |  | Constant Prepayment Rate | 0.00% - 8.00% (5.91%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.76% - 15.98% (8.09%) |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; 12732<br>|  |  |  |
|  | &nbsp;&nbsp; 65<br>| Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 13.50% (13.50%) |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 65<br>|  |  |  |
| &nbsp;&nbsp;&nbsp; Total | &nbsp;&nbsp; $12797 |  |  |  |

---

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

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At May 31, 2025, the value of these investments was $76,391. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

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

**B. Investment Transactions with Affiliates**— The Fund invested in an Underlying Fund 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 May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** | **For the period ended May 31, 2025** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2025**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**May 31,** <br>**2025**<br>| **Shares at** <br>**May 31,** <br>**2025**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund <br> Class Institutional Shares, 4.29% (a) (b)<br>| $58767 | $291577 | $282604 | $(5)<br>| $(7)<br>| $67728 | 67714 | $789 | $— |

---

&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 May 31, 2025.

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan 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 Core Bond Trust

- **b. EDGAR series identifier (if any):** S000007337

- **c. LEI of Series:** 549300Q7485FUJKEMM46

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

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

- **b. Date as of which information is reported:** 2025-05-31

**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:** $3195943182.20

**Total Liabilities:** $91840370.16

**Net Assets:** $3104102812.04

**Delayed Delivery Securities:** $11757107.25

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1385.37959000 | **1-Year:** 75669.63571000 | **5-Year:** 333560.84015000 | **10-Year:** 469401.46207000 | **30-Year:** 156345.80624000

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

- **3-Month:** 117.90811000 | **1-Year:** 330.42574000 | **5-Year:** 5886.12158000 | **10-Year:** 455.88116000 | **30-Year:** 153.24467000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020141 | 0.03%                | 0.60%                | -0.84%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $772314.62               | $-8402288.04                               |
| Month 2  | $-931814.11              | $9012988.53                                |
| Month 3  | $-1139065.92             | $-28110281.51                              |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                               | Title                                                                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1579815 | PA      | $1679904.10   | 0.05%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115891 | PA      | $6322.54      | 0.00%             | 2038-12-20      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4204870 | PA      | $3449384.77   | 0.11%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                                                       | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1725000 | PA      | $1388045.75   | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-57CB, Class 3A2                                                                      | CUSIP: 12668AYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    372119 | PA      | $24305.44     | 0.00%             | 2035-12-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Potomac Electric Power Co.                                         | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1192469.55   | 0.04%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    840000 | PA      | $807857.32    | 0.03%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    539375 | PA      | $513740.76    | 0.02%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6715000 | PA      | $6234957.27   | 0.20%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177897 | PA      | $177697.09    | 0.01%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    815000 | PA      | $557459.44    | 0.02%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128JRE51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40115 | PA      | $41482.33     | 0.00%             | 2034-12-01      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4254040 | PA      | $3805111.87   | 0.12%             | 2031-09-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                  | Corp. Nacional del Cobre de Chile                                                                                        | CUSIP: 21987BBK3<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |    917000 | PA      | $937059.38    | 0.03%             | 2036-01-26      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                                     | Enbridge, Inc.                                                                                                           | CUSIP: 29250NBR5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1090000 | PA      | $1111708.44   | 0.04%             | 2033-03-08      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23593 | PA      | $24025.75     | 0.00%             | 2033-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28591 | PA      | $29397.08     | 0.00%             | 2036-02-01      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| KeyCorp                                                            | KeyCorp                                                                                                                  | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   1465000 | PA      | $1461881.07   | 0.05%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RCG5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3585000 | PA      | $3611433.53   | 0.12%             | 2031-05-22      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                      | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                                                  | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    787223 | PA      | $737137.79    | 0.02%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                                         | COPT Defense Properties LP                                                                                               | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    335000 | PA      | $300120.47    | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4251, Class KW                                                                                      | CUSIP: 3137B4KB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    788335 | PA      | $770216.89    | 0.02%             | 2028-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H04, Class BA                                                                                          | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1639 | PA      | $1536.72      | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                                                | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67544 | PA      | $61849.33     | 0.00%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41776 | PA      | $42068.99     | 0.00%             | 2034-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECU7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1020000 | PA      | $1018224.66   | 0.03%             | 2030-09-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5438 | PA      | $5483.44      | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                  | CUSIP: 55336VBZ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    605000 | PA      | $558755.70    | 0.02%             | 2055-04-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5633661 | PA      | $4630232.56   | 0.15%             | 2052-03-01      | Fixed         | 2.50%                 | 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        |    505628 | PA      | $385437.62    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HAN8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    682000 | PA      | $418659.34    | 0.01%             | 2051-11-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                            | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAD5<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |    760000 | PA      | $730182.81    | 0.02%             | 2034-10-04      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                             | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $451383.73    | 0.01%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XP5B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4209866 | PA      | $3477570.52   | 0.11%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class E                                                                                    | CUSIP: 3136AGA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1686215 | PA      | $1600339.17   | 0.05%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Capital One NA                                                     | Capital One NA                                                                                                           | CUSIP: 25466AAE1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1201017.27   | 0.04%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35100000 | PA      | $34210160.24  | 1.10%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                      | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    336000 | PA      | $329483.74    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1265000 | PA      | $922449.93    | 0.03%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KT3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    260000 | PA      | $232858.54    | 0.01%             | 2054-10-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24708 | PA      | $2309.95      | 0.00%             | 2032-03-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                  | CUSIP: 55336VBY5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    675000 | PA      | $657606.95    | 0.02%             | 2035-04-01      | Fixed         | 5.40%                 | 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        |    373807 | PA      | $373470.32    | 0.01%             | 2051-02-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| Principal Financial Group, Inc.                                    | Principal Financial Group, Inc.                                                                                          | CUSIP: 74251VAP7<br>LEI: CUMYEZJOAF02RYZ1JJ85 | Long             | DBT              | CORP              | US        |    838000 | PA      | $822297.74    | 0.03%             | 2028-02-15      | Fixed         | 4.11%                 | Yes           |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                  | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YAW5<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    860000 | PA      | $668252.93    | 0.02%             | 2049-03-07      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                          | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   1515000 | PA      | $1298004.81   | 0.04%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                   | JPMorgan Prime Money Market Fund, Class Institutional                                                                    | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |  67714304 | NS      | $67727846.72  | 2.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Conagra Brands, Inc.                                               | Conagra Brands, Inc.                                                                                                     | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    220000 | PA      | $206160.93    | 0.01%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                   | Kroger Co. (The)                                                                                                         | CUSIP: 501044DV0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    510000 | PA      | $496725.38    | 0.02%             | 2034-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $2014465.05   | 0.06%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                             | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    489360 | PA      | $464949.18    | 0.01%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151296 | PA      | $151229.00    | 0.00%             | 2063-02-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                                          | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5998587.60   | 0.19%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1083112.02   | 0.03%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20026 | PA      | $16039.23     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $737932.91    | 0.02%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    988000 | PA      | $680973.85    | 0.02%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    653000 | PA      | $464996.01    | 0.01%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128HDR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       866 | PA      | $864.03       | 0.00%             | 2030-04-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                           | SCE Recovery Funding LLC, Series A-2                                                                                     | CUSIP: 78433LAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $445778.30    | 0.01%             | 2047-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N3CX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3628593 | PA      | $3522113.53   | 0.11%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117605 | PA      | $94966.28     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-61, Class SK                                                                                    | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12383 | PA      | $12819.65     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3422, Class AI                                                                                      | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420189 | PA      | $4181.93      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4772 | PA      | $4837.53      | 0.00%             | 2034-07-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    650000 | PA      | $625700.79    | 0.02%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVK92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1859025 | PA      | $1776278.11   | 0.06%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LE2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4981421 | PA      | $3986261.81   | 0.13%             | 2037-01-01      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Union Carbide Corp.                                                | Union Carbide Corp.                                                                                                      | CUSIP: 905581AS3<br>LEI: QE84C8O80MNLK8IFRL44 | Long             | DBT              | CORP              | US        |    850000 | PA      | $984918.61    | 0.03%             | 2096-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                                       | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5679298 | PA      | $5083199.64   | 0.16%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17689 | PA      | $15531.47     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-46, Class SK                                                                                    | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82882 | PA      | $86333.69     | 0.00%             | 2034-05-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12603 | PA      | $11163.09     | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     87920 | PA      | $2377.59      | 0.00%             | 2038-06-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    246000 | PA      | $246105.83    | 0.01%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45515 | PA      | $47468.14     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1075000 | PA      | $915900.00    | 0.03%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18500 | PA      | $19095.29     | 0.00%             | 2036-02-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                 | Vodafone Group plc                                                                                                       | CUSIP: 92857WBY5<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $229412.91    | 0.01%             | 2053-02-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $4103553.20   | 0.13%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7933063 | PA      | $6649229.67   | 0.21%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                         | Alexander Funding Trust II                                                                                               | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1280000 | PA      | $1357067.07   | 0.04%             | 2028-07-31      | Fixed         | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2015-2, Class AA                                                                   | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    159332 | PA      | $153742.26    | 0.00%             | 2027-12-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162CF5<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1854000 | PA      | $1537859.65   | 0.05%             | 2051-06-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    156927 | PA      | $157196.64    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2020-SFR2, Class C                                                                                    | CUSIP: 00178UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3484590.20   | 0.11%             | 2037-07-17      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-66, Class SG                                                                                    | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49671 | PA      | $52614.11     | 0.00%             | 2035-07-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPCR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4001267 | PA      | $3674533.25   | 0.12%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2022-2A, Class C                                                                       | CUSIP: 78397WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3688000 | PA      | $3709413.27   | 0.12%             | 2032-08-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15720000 | PA      | $11872284.45  | 0.38%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                               | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3565000 | PA      | $3491896.61   | 0.11%             | 2035-02-15      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2254385 | PA      | $1964144.58   | 0.06%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    880000 | PA      | $938907.20    | 0.03%             | 2028-11-16      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   6240000 | PA      | $6136088.71   | 0.20%             | 2030-05-08      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                    | Goodgreen Trust, Series 2017-1A, Class A                                                                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    223286 | PA      | $204080.50    | 0.01%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  3 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    956000 | PA      | $983638.78    | 0.03%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402AF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5668 | PA      | $5770.11      | 0.00%             | 2033-07-01      | Variable      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10931 | PA      | $9859.94      | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-17, Class JI                                                                                           | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319443 | PA      | $25043.89     | 0.00%             | 2037-04-16      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                               | Coterra Energy, Inc.                                                                                                     | CUSIP: 127097AG8<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    935000 | PA      | $920893.92    | 0.03%             | 2027-05-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    199000 | PA      | $161967.57    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157307 | PA      | $12532.29     | 0.00%             | 2035-07-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                     | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    620000 | PA      | $613021.48    | 0.02%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                                          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223704 | PA      | $212052.46    | 0.01%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                       | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    465000 | PA      | $401660.38    | 0.01%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                                                           | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1550000 | PA      | $1557344.21   | 0.05%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3469580 | PA      | $3245170.86   | 0.10%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                              | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22074 | PA      | $21007.39     | 0.00%             | 2034-05-20      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401AQ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    490000 | PA      | $489904.04    | 0.02%             | 2026-06-05      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                             | Oklahoma Development Finance Authority, Natural Gas Co., Series 2022                                                     | CUSIP: 6789084E1<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |    575000 | PA      | $514057.65    | 0.02%             | 2052-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                                               | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168968 | PA      | $101850.45    | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-47, Class PH                                                                                           | CUSIP: 38375KE99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1255330 | PA      | $1292512.76   | 0.04%             | 2037-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                                       | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4367595 | PA      | $3627094.74   | 0.12%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                       | Bridge Trust, Series 2022-SFR1, Class C                                                                                  | CUSIP: 10805VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4172639.52   | 0.13%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| HERO Funding Trust                                                 | HERO Funding Trust, Series 2016-3A, Class A1                                                                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224078 | PA      | $200496.19    | 0.01%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3387, Class SA                                                                                      | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94258 | PA      | $7274.47      | 0.00%             | 2037-11-15      | Floating      | 1.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144314 | PA      | $4394.89      | 0.00%             | 2037-05-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                         | ROCK Trust, Series 2024-CNTR, Class A                                                                                    | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1670822.34   | 0.05%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Southern Co. (The)                                                 | Southern Co. (The)                                                                                                       | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   1825000 | PA      | $1878474.62   | 0.06%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Mitsubishi HC Finance America LLC                                  | Mitsubishi HC Finance America LLC                                                                                        | CUSIP: 606790AB9<br>LEI: 3538008O2MCHLB9FAL82 | Long             | DBT              | CORP              | US        |    445000 | PA      | $459049.17    | 0.01%             | 2028-09-12      | Fixed         | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $1940475.53   | 0.06%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    180228 | PA      | $13658.19     | 0.00%             | 2036-06-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| SCE Recovery Funding LLC                                           | SCE Recovery Funding LLC, Series A-1                                                                                     | CUSIP: 78433LAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    977897 | PA      | $932734.21    | 0.03%             | 2040-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106297 | PA      | $110021.83    | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66629 | PA      | $69085.86     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                    | Eli Lilly & Co.                                                                                                          | CUSIP: 532457CM8<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |    890000 | PA      | $807619.75    | 0.03%             | 2054-02-09      | Fixed         | 5.00%                 | 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        |    421946 | PA      | $420912.19    | 0.01%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                         | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                                                    | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $866897.07    | 0.03%             | 2046-08-15      | Variable      | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAU9<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1290000 | PA      | $1277401.89   | 0.04%             | 2030-09-11      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Aetna, Inc.                                                        | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    440000 | PA      | $466062.76    | 0.02%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57723 | PA      | $49100.37     | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $509020.40    | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                  | University of Southern California, Series A                                                                              | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    570000 | PA      | $313740.59    | 0.01%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153273 | PA      | $153536.60    | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66776 | PA      | $65510.19     | 0.00%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL                                                   | JBS USA LUX Sarl                                                                                                         | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    545000 | PA      | $554818.87    | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                            | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $319513.44    | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                                                    | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430519 | PA      | $369741.78    | 0.01%             | 2035-09-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Enterprise Products Operating LLC                                  | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VCG6<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |   2380000 | PA      | $2326154.29   | 0.07%             | 2035-02-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1193925.12   | 0.04%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| The Campbell's Co.                                                 | The Campbell's Co.                                                                                                       | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    315000 | PA      | $198035.95    | 0.01%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust LLC                                            | SCF Equipment Trust LLC, Series 2025-1A, Class A3                                                                        | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3543501.50   | 0.11%             | 2033-11-21      | Fixed         | 5.11%                 | Yes           |                  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        |    640000 | PA      | $600140.21    | 0.02%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                               | American Airlines Pass-Through Trust, Series 2019-1, Class A                                                             | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2186133 | PA      | $1924212.77   | 0.06%             | 2032-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3512298 | PA      | $2989633.17   | 0.10%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L96Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1594690 | PA      | $1549763.60   | 0.05%             | 2027-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| NTT Finance Corp.                                                  | NTT Finance Corp.                                                                                                        | CUSIP: 62954WAN5<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $712547.36    | 0.02%             | 2031-07-02      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Fells Point Funding Trust                                          | Fells Point Funding Trust                                                                                                | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2338819.09   | 0.08%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1540000 | PA      | $1561898.80   | 0.05%             | 2029-11-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202655 | PA      | $11124.84     | 0.00%             | 2038-01-25      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729399 | PA      | $523034.24    | 0.02%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MidAmerican Energy Co.                                             | MidAmerican Energy Co.                                                                                                   | CUSIP: 595620AY1<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |    620000 | PA      | $617744.04    | 0.02%             | 2054-09-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                               | Otis Worldwide Corp.                                                                                                     | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1304134.37   | 0.04%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                                            | Carmax Auto Owner Trust, Series 2025-2, Class A4                                                                         | CUSIP: 14320AAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3730000 | PA      | $3742736.09   | 0.12%             | 2030-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                               | Lhome Mortgage Trust, Series 2025-RTL2, Class A1                                                                         | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   3045000 | PA      | $3048668.31   | 0.10%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82810 | PA      | $72883.95     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XCP8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1282191.78   | 0.04%             | 2033-02-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                            | Lendingpoint Asset Securitization Trust, Series 2022-C, Class B                                                          | CUSIP: 525919AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    940023 | PA      | $940014.83    | 0.03%             | 2030-02-15      | Fixed         | 7.46%                 | Yes           |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $781133.74    | 0.03%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Jonah                                                              | Jonah                                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2180629 | PA      | $2189351.52   | 0.07%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AstraZeneca plc                                                    | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $199531.99    | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson & Co.                                             | Becton Dickinson & Co.                                                                                                   | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    365000 | PA      | $304007.66    | 0.01%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                 | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1689543.04   | 0.05%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1311918.32   | 0.04%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    736494 | PA      | $695329.95    | 0.02%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4082729 | PA      | $4276353.78   | 0.14%             | 2072-03-20      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                              | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    920000 | PA      | $909848.18    | 0.03%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11399 | PA      | $11547.34     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24928000 | PA      | $21359206.31  | 0.69%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47043 | PA      | $48285.04     | 0.00%             | 2034-05-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73529 | PA      | $74022.64     | 0.00%             | 2064-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                  | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    497000 | PA      | $430402.00    | 0.01%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Bastion Funding I LLC                                              | Bastion Funding I LLC, Series 2023-1A, Class A2                                                                          | CUSIP: 07030UAA0<br>LEI: 549300NX3WVP5ASDEU57 | Long             | ABS-O            | CORP              | US        |   1934370 | PA      | $1939314.61   | 0.06%             | 2038-04-25      | Fixed         | 7.12%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       987 | PA      | $1013.99      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2444, Class ES                                                                                      | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30881 | PA      | $2695.30      | 0.00%             | 2032-03-15      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NMGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5586104 | PA      | $5415627.25   | 0.17%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                          | DH Europe Finance II SARL                                                                                                | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |   1000000 | PA      | $781897.17    | 0.03%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    629000 | PA      | $574357.76    | 0.02%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1                                                          | CUSIP: 576433LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21819 | PA      | $20573.15     | 0.00%             | 2034-05-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6376 | PA      | $6520.17      | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd.                                                     | Aircastle Ltd.                                                                                                           | CUSIP: 00929JAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1165000 | PA      | $1159695.02   | 0.04%             | 2030-03-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    868000 | PA      | $905849.36    | 0.03%             | 2029-01-18      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4                               | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86755 | PA      | $76008.35     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41467 | PA      | $2829.97      | 0.00%             | 2039-12-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    530000 | PA      | $499577.30    | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2003-12, Class 30                                                               | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5684 | PA      | $3368.45      | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                                             | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    172080 | PA      | $168654.71    | 0.01%             | 2033-11-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| US Auto Funding Trust                                              | US Auto Funding Trust, Series 2022-1A, Class B                                                                           | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $2004413.23   | 0.06%             | 2025-12-15      | Fixed         | 5.13%                 | Yes           |                  3 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1379000 | PA      | $1387096.43   | 0.04%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14036 | PA      | $2077.10      | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54498 | PA      | $3643.34      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                     | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   2010000 | PA      | $2108733.71   | 0.07%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6901948 | PA      | $6525229.03   | 0.21%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Credit One Ltd.                                                    | Credit One Ltd.                                                                                                          | CUSIP: N/A<br>LEI: 984500DAE0FFZ45C8093       | Long             | ABS-MBS          | CORP              | NG        |   4000000 | PA      | $4025600.00   | 0.13%             | 2029-02-25      | Fixed         | 6.47%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5990 | PA      | $6068.56      | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                        | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AQ2<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1082000 | PA      | $1096506.98   | 0.04%             | 2033-07-31      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXKN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7730679 | PA      | $7144133.52   | 0.23%             | 2058-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       269 | NC      | $87869.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     95000 | PA      | $64497.45     | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    259000 | PA      | $142591.68    | 0.00%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                          | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAC6<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    430000 | PA      | $426384.35    | 0.01%             | 2029-10-01      | Fixed         | 5.03%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   4909000 | PA      | $4191536.74   | 0.14%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Arizona Public Service Co.                                         | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $180225.18    | 0.01%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                       | Leidos, Inc.                                                                                                             | CUSIP: 52532XAJ4<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    630000 | PA      | $647323.96    | 0.02%             | 2033-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1513 | PA      | $1533.50      | 0.00%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                    | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                                                | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $337564.36    | 0.01%             | 2045-03-15      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Edison International                                               | Edison International                                                                                                     | CUSIP: 281020BA4<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1806518.41   | 0.06%             | 2029-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FGLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1386163 | PA      | $1369027.84   | 0.04%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31826 | PA      | $32950.76     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    815000 | PA      | $852137.25    | 0.03%             | 2029-10-03      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                     | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AS5<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    600000 | PA      | $608387.13    | 0.02%             | 2033-10-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    490000 | PA      | $484345.82    | 0.02%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6727482 | PA      | $5675905.15   | 0.18%             | 2032-03-01      | Variable      | 1.75%                 | 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        |      4123 | PA      | $5330.80      | 0.00%             | 2037-07-25      | Floating      | 12.37%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4410 | PA      | $3849.18      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78177 | PA      | $80807.32     | 0.00%             | 2051-02-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2022-2A, Class D                                                           | CUSIP: 96042VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4910000 | PA      | $4920312.96   | 0.16%             | 2027-09-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MKHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6145179 | PA      | $5284799.29   | 0.17%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                     | American Municipal Power, Inc., Meldahl Hydroelectric Project, Series 2010B                                              | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   1275000 | PA      | $1424470.16   | 0.05%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1132 | PA      | $1120.60      | 0.00%             | 2029-03-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Reliance, Inc.                                                     | Reliance, Inc.                                                                                                           | CUSIP: 759509AF9<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2482088.35   | 0.08%             | 2025-08-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                                                 | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19606 | PA      | $18295.98     | 0.00%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Molson Coors Beverage Co.                                          | Molson Coors Beverage Co.                                                                                                | CUSIP: 60871RAH3<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   1047000 | PA      | $818932.90    | 0.03%             | 2046-07-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class C                                                               | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4175872.14   | 0.13%             | 2033-02-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32306 | PA      | $28800.30     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                                                           | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6299694 | PA      | $6314494.35   | 0.20%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                                   | CVS Health Corp.                                                                                                         | CUSIP: 126650DU1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1379461.37   | 0.04%             | 2033-02-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2021-SFR6, Class E1                                                                   | CUSIP: 74333HAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3446000 | PA      | $3338401.06   | 0.11%             | 2038-07-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1200000 | PA      | $1185012.00   | 0.04%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                          | South Bow USA Infrastructure Holdings LLC                                                                                | CUSIP: 83007CAA0<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |    375000 | PA      | $375264.57    | 0.01%             | 2027-09-01      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    208254 | PA      | $15449.02     | 0.00%             | 2039-08-16      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    555000 | PA      | $549085.69    | 0.02%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                   | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    171000 | PA      | $169103.76    | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75955 | PA      | $78250.13     | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MDV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103391 | PA      | $101490.38    | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                 | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    125000 | PA      | $101312.72    | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405KZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12186 | PA      | $12263.18     | 0.00%             | 2034-09-01      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1975000 | PA      | $2002562.29   | 0.06%             | 2029-04-20      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust                             | Consumer Portfolio Services Auto Trust, Series 2025-B, Class C                                                           | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3276000 | PA      | $3279188.86   | 0.11%             | 2031-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                         | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    263000 | PA      | $262190.60    | 0.01%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2012-66, Class CB                                                                                    | CUSIP: 3136A6ZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1738964 | PA      | $1677354.49   | 0.05%             | 2032-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                                         | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430335 | PA      | $42390.17     | 0.00%             | 2041-07-25      | Variable      | 2.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425165 | PA      | $370505.24    | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $876937.21    | 0.03%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Welltower OP LLC                                                   | Welltower OP LLC                                                                                                         | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $374892.89    | 0.01%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp.                                                    | Starbucks Corp.                                                                                                          | CUSIP: 855244BH1<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1008206.41   | 0.03%             | 2031-02-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                     | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    376000 | PA      | $267631.34    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-7, Class 30                                                                    | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40794 | PA      | $28688.84     | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2052383.84   | 0.07%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LJUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7867742 | PA      | $7652579.08   | 0.25%             | 2036-01-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                 | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    264000 | PA      | $260596.52    | 0.01%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFIN LLC                                                           | CFIN LLC, Series 2024-1A, Class A                                                                                        | CUSIP: 125307AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4700000 | PA      | $4747470.00   | 0.15%             | 2028-11-27      | Fixed         | 6.50%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QQDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4413561 | PA      | $4052655.83   | 0.13%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XLG69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4211261 | PA      | $3490929.40   | 0.11%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                                         | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    320847 | PA      | $147959.63    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                          | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                                                    | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    195717 | PA      | $191241.74    | 0.01%             | 2035-06-19      | Variable      | 4.61%                 | 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        |     43402 | PA      | $44011.19     | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                              | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    365000 | PA      | $196717.27    | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                                         | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34274 | PA      | $33531.94     | 0.00%             | 2034-12-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69440 | PA      | $69697.79     | 0.00%             | 2062-10-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                   | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $982331.77    | 0.03%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3486504 | PA      | $1578791.17   | 0.05%             | 2041-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FCC3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1724000 | PA      | $1688071.01   | 0.05%             | 2032-02-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3149, Class SO                                                                                      | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15805 | PA      | $12521.27     | 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        |   1095000 | PA      | $922388.79    | 0.03%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                                             | Invitation Homes Trust, Series 2024-SFR1, Class D                                                                        | CUSIP: 46188DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3525000 | PA      | $3323507.12   | 0.11%             | 2041-09-17      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060BL9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    422000 | PA      | $408019.00    | 0.01%             | 2044-07-05      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                            | APA Infrastructure Ltd.                                                                                                  | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    732000 | PA      | $726732.00    | 0.02%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144793 | PA      | $144409.11    | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147253 | PA      | $9500.41      | 0.00%             | 2041-04-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19180 | PA      | $19850.89     | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    730000 | PA      | $619822.65    | 0.02%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33645 | PA      | $34917.12     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15725000 | PA      | $14501398.44  | 0.47%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-12, Class IE                                                                                           | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    236517 | PA      | $5989.19      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122072 | PA      | $126907.71    | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 393, Class 6                                                                                        | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17001 | PA      | $1602.81      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5080 | PA      | $5130.13      | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                   | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    425000 | PA      | $365459.71    | 0.01%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    305000 | PA      | $288517.19    | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1848 | PA      | $1854.74      | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140NPYZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4758319 | PA      | $4613102.53   | 0.15%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                                                               | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3205000 | PA      | $3260040.43   | 0.11%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class A2                                          | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2467000 | PA      | $2420145.26   | 0.08%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| Cigna Group (The)                                                  | Cigna Group (The)                                                                                                        | CUSIP: 125523CU2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1097871.28   | 0.04%             | 2031-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    262537 | PA      | $266331.58    | 0.01%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    543000 | PA      | $434288.20    | 0.01%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1578000 | PA      | $1596936.00   | 0.05%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3757000 | PA      | $2786637.34   | 0.09%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101946 | PA      | $7834.13      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM                                          | CUSIP: 3137H5XV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1850000 | PA      | $1568081.09   | 0.05%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $199834.35    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1153091 | PA      | $1067139.05   | 0.03%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1486687.59   | 0.05%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class A                                            | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52582 | PA      | $35828.57     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QKBR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    854505 | PA      | $727358.84    | 0.02%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1243371 | PA      | $1290016.20   | 0.04%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BQ2<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    970000 | PA      | $966500.28    | 0.03%             | 2033-01-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1005000 | PA      | $1034456.77   | 0.03%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                                          | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4841866.00   | 0.16%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73746 | PA      | $6638.62      | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140JBGA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15755056 | PA      | $12824043.03  | 0.41%             | 2032-11-01      | Variable      | 1.51%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2025-SFR2, Class C                                                                    | CUSIP: 74334GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7445000 | PA      | $6833315.82   | 0.22%             | 2042-04-17      | Fixed         | 3.56%                 | Yes           |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                   | Skandinaviska Enskilda Banken AB                                                                                         | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |   1860000 | PA      | $1906733.95   | 0.06%             | 2029-03-05      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404121AL9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    600000 | PA      | $565889.02    | 0.02%             | 2054-09-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400HX4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1566000 | PA      | $1400251.93   | 0.05%             | 2053-12-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    780000 | PA      | $733467.81    | 0.02%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2021-H14, Class CF                                                                                          | CUSIP: 38382YDZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4566744 | PA      | $4657635.92   | 0.15%             | 2071-09-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6088 | PA      | $7049.45      | 0.00%             | 2032-02-25      | Floating      | 10.77%                | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3130 | PA      | $3283.25      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    414000 | PA      | $265310.09    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                      | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $919463.92    | 0.03%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-116, Class JY                                                                                          | CUSIP: 38378VB61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300000 | PA      | $1208516.40   | 0.04%             | 2043-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 299, Class 300                                                                                     | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    922720 | PA      | $838258.10    | 0.03%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3747, Class PY                                                                                      | CUSIP: 31398QUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532365 | PA      | $517770.23    | 0.02%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    417245 | PA      | $416088.13    | 0.01%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       876 | PA      | $919.47       | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                        | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AT6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1152774.35   | 0.04%             | 2031-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $192250.08    | 0.01%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       186 | PA      | $186.94       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                               | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8Q8<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1320459.15   | 0.04%             | 2053-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    960000 | PA      | $965767.73    | 0.03%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43850000 | PA      | $43137437.50  | 1.39%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLMC                                                         | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  16592000 | PA      | $14116144.75  | 0.45%             | 2055-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                                                      | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    802875 | PA      | $683606.36    | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25060000 | PA      | $24122207.69  | 0.78%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37406 | PA      | $32934.41     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       251 | PA      | $251.03       | 0.00%             | 2027-02-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 75513ECR0<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    934000 | PA      | $940391.82    | 0.03%             | 2033-02-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15106 | PA      | $15669.27     | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58146 | PA      | $60043.10     | 0.00%             | 2035-01-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                   | Amazon.com, Inc.                                                                                                         | CUSIP: 023135BF2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $980115.88    | 0.03%             | 2037-08-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147387 | PA      | $149586.83    | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63525 | PA      | $65480.21     | 0.00%             | 2040-07-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660112 | PA      | $648221.75    | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                                                       | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66981 | PA      | $69467.14     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                   | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    840000 | PA      | $787119.45    | 0.03%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    825000 | PA      | $820005.43    | 0.03%             | 2030-04-10      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                         | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                                                     | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42301 | PA      | $38792.37     | 0.00%             | 2036-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6                                                            | CUSIP: 17307GBJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      4626 | PA      | $3822.71      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1833405.88   | 0.06%             | 2030-10-23      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFY47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3561727 | PA      | $3292990.55   | 0.11%             | 2051-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                                                   | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106259 | PA      | $99652.21     | 0.00%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       885 | NC      | $564300.32    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    114000 | PA      | $113431.56    | 0.00%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165985 | PA      | $747.02       | 0.00%             | 2033-12-16      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AC4<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    280000 | PA      | $291333.83    | 0.01%             | 2033-03-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                           | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BF6<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1355972.55   | 0.04%             | 2034-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                     | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $946923.38    | 0.03%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    382000 | PA      | $374397.71    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3211, Class SO                                                                                      | CUSIP: 31397BAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85454 | PA      | $74915.22     | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6796 | PA      | $6957.11      | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28564 | PA      | $3911.74      | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    775000 | PA      | $748238.29    | 0.02%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    945000 | PA      | $883964.07    | 0.03%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134826 | PA      | $135160.94    | 0.00%             | 2063-03-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Trane Technologies Financing Ltd.                                  | Trane Technologies Financing Ltd.                                                                                        | CUSIP: 892938AA9<br>LEI: 549300A5OEF3CJI2CO89 | Long             | DBT              | CORP              | IE        |    650000 | PA      | $663788.15    | 0.02%             | 2033-03-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                                                   | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    142028 | PA      | $140728.37    | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FPDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221012 | PA      | $217452.03    | 0.01%             | 2032-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1245000 | PA      | $1269895.06   | 0.04%             | 2028-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1829, Class ZB                                                                                      | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        23 | PA      | $22.90        | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    920000 | PA      | $787223.95    | 0.03%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                          | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    895000 | PA      | $913951.88    | 0.03%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| GTP Acquisition Partners I LLC                                     | GTP Acquisition Partners I LLC                                                                                           | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1436000 | PA      | $1434781.84   | 0.05%             | 2025-06-16      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362291 | PA      | $380957.73    | 0.01%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Street Capital Group, Inc.                                         | Street Capital Group, Inc.                                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |    670000 | PA      | $670000.00    | 0.02%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18721 | PA      | $19559.84     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                     | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1120000 | PA      | $1114823.72   | 0.04%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                      | Enel Finance International NV                                                                                            | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1160000 | PA      | $1161531.77   | 0.04%             | 2034-06-26      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    900000 | PA      | $901256.42    | 0.03%             | 2026-07-15      | Variable      | 6.37%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WRUE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    294200 | PA      | $285383.57    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE Electric Securitization Funding II LLC                         | DTE Electric Securitization Funding II LLC, Series A-2                                                                   | CUSIP: 23346TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    950000 | PA      | $1008908.26   | 0.03%             | 2037-09-01      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-31, Class NO                                                                                           | CUSIP: 38376XM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360069 | PA      | $305831.72    | 0.01%             | 2040-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    433000 | PA      | $464845.11    | 0.01%             | 2033-08-12      | Variable      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33783 | PA      | $34958.58     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636ABK6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1445000 | PA      | $1450085.04   | 0.05%             | 2031-03-04      | Variable      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                                     | CAFL Issuer LP, Series 2025-RRTL1, Class A1                                                                              | CUSIP: 124760AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7170000 | PA      | $7190076.00   | 0.23%             | 2040-05-28      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2650000 | PA      | $2697455.88   | 0.09%             | 2029-07-12      | Fixed         | 5.05%                 | 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        |   2050000 | PA      | $1820810.00   | 0.06%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| RALI Trust                                                         | RALI Trust, Series 2003-QS9, Class A3                                                                                    | CUSIP: 76110HCC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       225 | PA      | $0.00         | 0.00%             | 2018-05-25      | Floating      | 3.11%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2043, Class CJ                                                                                      | CUSIP: 3133TDML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2293 | PA      | $2320.93      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2025-SFR1, Class B                                                                                    | CUSIP: 00182MAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2500648.20   | 0.08%             | 2042-06-17      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECZ6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    895000 | PA      | $896964.04    | 0.03%             | 2036-02-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                                    | Stream Innovations Issuer Trust, Series 2024-1A, Class A                                                                 | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2837605 | PA      | $2928215.28   | 0.09%             | 2044-07-15      | Fixed         | 6.27%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67542 | PA      | $68433.98     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    292000 | PA      | $286174.62    | 0.01%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37975000 | PA      | $37909730.47  | 1.22%             | 2032-02-29      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1460791.71   | 0.05%             | 2029-04-23      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59531 | PA      | $51108.45     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                    | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    502000 | PA      | $318341.27    | 0.01%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| US Bancorp                                                         | US Bancorp                                                                                                               | CUSIP: 91159HJV3<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1976054.01   | 0.06%             | 2031-05-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2023-115, Class TS                                                                                          | CUSIP: 38384CP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5064870 | PA      | $5076927.61   | 0.16%             | 2053-06-20      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LJ6M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1889708 | PA      | $1936429.99   | 0.06%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                       | Flex Intermediate Holdco LLC                                                                                             | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    545000 | PA      | $416942.29    | 0.01%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    496000 | PA      | $313692.14    | 0.01%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3102, Class FB                                                                                      | CUSIP: 31396H5M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12985 | PA      | $12951.27     | 0.00%             | 2036-01-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1560000 | PA      | $1511943.33   | 0.05%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class B                                                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    326148 | PA      | $321463.41    | 0.01%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DQU20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2924310 | PA      | $2416729.87   | 0.08%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5444 | PA      | $5546.86      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46257 | PA      | $49525.43     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    250000 | PA      | $232664.21    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                             | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    611684 | PA      | $611660.45    | 0.02%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Royal Bank of Canada                                               | Royal Bank of Canada                                                                                                     | CUSIP: 78017FZT3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1820000 | PA      | $1812277.78   | 0.06%             | 2030-10-18      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23532 | PA      | $24112.25     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  63070000 | PA      | $54698442.65  | 1.76%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39145 | PA      | $138.29       | 0.00%             | 2038-08-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2019-KBF3, Class B                                                                          | CUSIP: 30311TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1247180 | PA      | $1238437.86   | 0.04%             | 2029-01-25      | Floating      | 6.97%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                                | Blackstone Holdings Finance Co. LLC                                                                                      | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    429000 | PA      | $347299.11    | 0.01%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    400000 | PA      | $385611.15    | 0.01%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Corebridge Global Funding                                          | Corebridge Global Funding                                                                                                | CUSIP: 00138CBA5<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |   1290000 | PA      | $1310487.35   | 0.04%             | 2029-06-24      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9500000 | PA      | $8693242.14   | 0.28%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                  | OneSky Loan Trust, 1st Lien Term Loan A                                                                                  | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   2346918 | PA      | $2236841.65   | 0.07%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                           | PRET LLC, Series 2021-RN3, Class A1                                                                                      | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2573239 | PA      | $2561399.55   | 0.08%             | 2051-09-25      | Variable      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       277 | PA      | $278.89       | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                       | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBJ4<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1547549.99   | 0.05%             | 2030-01-09      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR3, Class E1                                                                                   | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2296000 | PA      | $2183513.68   | 0.07%             | 2038-10-17      | Fixed         | 2.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class MA                                                       | CUSIP: 35563PNP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4658701 | PA      | $4225060.01   | 0.14%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1200000 | PA      | $1174612.45   | 0.04%             | 2029-01-12      | Variable      | 3.87%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    820000 | PA      | $494532.74    | 0.02%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54852 | PA      | $47168.64     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4129130 | PA      | $3175659.01   | 0.10%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406N4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       329 | PA      | $323.04       | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75391 | PA      | $78984.53     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                                                | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38304 | PA      | $34158.50     | 0.00%             | 2036-09-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBW1<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1207000 | PA      | $1227437.30   | 0.04%             | 2030-01-19      | Variable      | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                                       | Cadence Design Systems, Inc.                                                                                             | CUSIP: 127387AP3<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1769671.94   | 0.06%             | 2034-09-10      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2024-SAT1, Class A                                                                         | CUSIP: 30259RAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5950000 | PA      | $5960610.04   | 0.19%             | 2027-03-26      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6539 | PA      | $6586.76      | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31384VRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        37 | PA      | $36.88        | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co., Series B                                                                                 | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    400000 | PA      | $387678.10    | 0.01%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22043 | PA      | $22812.24     | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Cencora, Inc.                                                      | Cencora, Inc.                                                                                                            | CUSIP: 03073EAU9<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1641525.93   | 0.05%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                                          | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1748000 | PA      | $1710647.69   | 0.06%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                               | Glencore Funding LLC                                                                                                     | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $1086230.96   | 0.03%             | 2034-04-04      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Packaging Corp. of America                                         | Packaging Corp. of America                                                                                               | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    845000 | PA      | $621909.73    | 0.02%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 164                                                      | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1825000 | PA      | $1880647.54   | 0.06%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1671217.32   | 0.05%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107405 | PA      | $1021.67      | 0.00%             | 2037-11-20      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXDF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2818298 | PA      | $2497461.17   | 0.08%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-6, Class 30                                                                    | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84341 | PA      | $65655.47     | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26461 | PA      | $27002.03     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    130000 | PA      | $124429.30    | 0.00%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11139 | PA      | $11578.22     | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2210, Class Z                                                                                       | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25732 | PA      | $26839.25     | 0.00%             | 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        |    470259 | PA      | $36816.05     | 0.00%             | 2037-09-25      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BY9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    940000 | PA      | $907774.15    | 0.03%             | 2027-07-20      | Variable      | 1.54%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    500000 | PA      | $428076.01    | 0.01%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       791 | PA      | $796.27       | 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        |     64418 | PA      | $64769.93     | 0.00%             | 2039-12-25      | Floating      | 6.98%                 | 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        |     17610 | PA      | $15446.53     | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105384 | PA      | $100470.69    | 0.00%             | 2040-03-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                 | Vodafone Group plc                                                                                                       | CUSIP: 92857WCA6<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   1400000 | PA      | $1310481.16   | 0.04%             | 2054-06-28      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2022-SFR2, Class E1                                                                   | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3906417.20   | 0.13%             | 2027-04-17      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LH3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7251000 | PA      | $7179392.46   | 0.23%             | 2034-11-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4046200 | PA      | $3953421.89   | 0.13%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617X0T92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2995109 | PA      | $3116545.40   | 0.10%             | 2071-10-20      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| RTX Corp.                                                          | RTX Corp.                                                                                                                | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2799000 | PA      | $2421313.80   | 0.08%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                 | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13607PHS6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   2800000 | PA      | $2784736.84   | 0.09%             | 2030-09-11      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                    | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114565.25    | 0.00%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4240, Class B                                                                                       | CUSIP: 3137B3TZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2013886 | PA      | $1934729.54   | 0.06%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                                                      | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    876949 | PA      | $35799.43     | 0.00%             | 2035-07-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84313 | PA      | $87881.90     | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    298000 | PA      | $204907.87    | 0.01%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                        | ONEOK, Inc.                                                                                                              | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   2125000 | PA      | $2074278.42   | 0.07%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2021-M3, Class 1A1                                                                                     | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26121 | PA      | $25951.56     | 0.00%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1863, Class Z                                                                                       | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         4 | PA      | $4.35         | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XFZR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    827949 | PA      | $711177.45    | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4911484 | PA      | $5138714.84   | 0.17%             | 2072-02-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1813 | PA      | $1804.69      | 0.00%             | 2060-04-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-68, Class PG                                                                                    | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117819 | PA      | $117974.74    | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617F2E86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3521909 | PA      | $3330817.28   | 0.11%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   2375000 | PA      | $2398591.30   | 0.08%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JSFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    327220 | PA      | $304426.39    | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                        | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    340000 | PA      | $292793.14    | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83519 | PA      | $84276.03     | 0.00%             | 2035-09-01      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1608696 | PA      | $1381269.83   | 0.04%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49319 | PA      | $50419.45     | 0.00%             | 2034-08-01      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4857858 | PA      | $5085621.95   | 0.16%             | 2072-04-20      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                    | Cameron LNG LLC                                                                                                          | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    961000 | PA      | $798681.46    | 0.03%             | 2039-01-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34252 | PA      | $30017.08     | 0.00%             | 2033-08-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69370 | PA      | $72190.47     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CW7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1015482.80   | 0.03%             | 2064-04-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5685753 | PA      | $5281286.88   | 0.17%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-5, Class A                               | CUSIP: 1729732E8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24977 | PA      | $14899.50     | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    620000 | PA      | $602881.80    | 0.02%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XY1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6780000 | PA      | $5476731.79   | 0.18%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    510897 | PA      | $478330.91    | 0.02%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    485000 | PA      | $402545.36    | 0.01%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23532 | PA      | $23321.08     | 0.00%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57667 | PA      | $59584.41     | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1216000 | PA      | $1188792.00   | 0.04%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    810000 | PA      | $455118.75    | 0.01%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                   | McDonald's Corp.                                                                                                         | CUSIP: 58013MFW9<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1001429.85   | 0.03%             | 2053-08-14      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738BN7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |   3200000 | PA      | $3137963.81   | 0.10%             | 2034-08-12      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64170 | PA      | $54114.38     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                     | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    350000 | PA      | $347871.82    | 0.01%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DN4J9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4700750 | PA      | $4316361.39   | 0.14%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multi-Family Structured Credit Risk                          | FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN2, Class M1                                                    | CUSIP: 35563JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1630571 | PA      | $1600631.46   | 0.05%             | 2041-07-25      | Floating      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3720, Class A                                                                                       | CUSIP: 3137A1XL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         8 | PA      | $8.43         | 0.00%             | 2025-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL                                                   | JBS USA LUX Sarl                                                                                                         | CUSIP: 472140AC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1337064.50   | 0.04%             | 2055-02-25      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Renew                                                              | Renew, Series 2024-1A, Class A                                                                                           | CUSIP: 75973VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4212174 | PA      | $4211450.04   | 0.14%             | 2059-11-20      | Fixed         | 6.21%                 | Yes           |                  3 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                       | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    208000 | PA      | $168004.46    | 0.01%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                                                          | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8721 | PA      | $8744.18      | 0.00%             | 2033-10-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                        | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A2U5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    490000 | PA      | $504797.16    | 0.02%             | 2028-07-17      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2                                         | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1005000 | PA      | $951242.35    | 0.03%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2714 | PA      | $2758.69      | 0.00%             | 2035-09-01      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| BG Beta I Ltd.                                                     | BG Beta Ltd.                                                                                                             | CUSIP: 05593PAD8<br>LEI: 254900Z3OU5JTNX05R08 | Long             | ABS-O            | CORP              | KY        |   2758000 | PA      | $2794342.17   | 0.09%             | 2054-07-16      | Fixed         | 6.28%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68928 | PA      | $69588.53     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    945000 | PA      | $953173.10    | 0.03%             | 2031-02-25      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                             | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    300000 | PA      | $236145.49    | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    645000 | PA      | $660310.69    | 0.02%             | 2027-07-13      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1088236.02   | 0.04%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13469500 | PA      | $12453499.79  | 0.40%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                                          | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $3793098.54   | 0.12%             | 2032-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166108 | PA      | $156769.01    | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3229, Class HE                                                                                      | CUSIP: 31397BRQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4644 | PA      | $4634.01      | 0.00%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189859 | PA      | $159543.99    | 0.01%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1215000 | PA      | $1142190.01   | 0.04%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2822548 | PA      | $2493431.58   | 0.08%             | 2032-05-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11724 | PA      | $680.14       | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                   | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    845000 | PA      | $633375.53    | 0.02%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1300000 | PA      | $1252886.13   | 0.04%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   1717000 | PA      | $1634451.76   | 0.05%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                                     | NiSource, Inc.                                                                                                           | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    740000 | PA      | $625522.15    | 0.02%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1315000 | PA      | $1236126.34   | 0.04%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                 | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1442720.40   | 0.05%             | 2032-02-04      | Fixed         | 2.45%                 | 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        |    508068 | PA      | $418555.21    | 0.01%             | 2035-11-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1120000 | PA      | $720960.56    | 0.02%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75127 | PA      | $75568.48     | 0.00%             | 2064-01-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CN8<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1892981.40   | 0.06%             | 2054-11-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                    | AES Corp. (The)                                                                                                          | CUSIP: 00130HCM5<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   1620000 | PA      | $1605794.04   | 0.05%             | 2032-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3133LWAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2180417 | PA      | $1970422.99   | 0.06%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    905000 | PA      | $910305.10    | 0.03%             | 2030-01-27      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14253 | PA      | $1100.81      | 0.00%             | 2032-02-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-10, Class S                                                                                            | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113042 | PA      | $1748.49      | 0.00%             | 2038-02-20      | Floating      | 1.39%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                  | CUSIP: 55336VBX7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1665942.60   | 0.05%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    800000 | PA      | $761718.38    | 0.02%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                              | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2419366.01   | 0.08%             | 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        |     28135 | PA      | $29019.90     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                                          | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    150000 | PA      | $118639.64    | 0.00%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ACT0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $995880.13    | 0.03%             | 2052-10-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                              | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675DCN0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    405000 | PA      | $417334.62    | 0.01%             | 2030-01-22      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5350000 | PA      | $3250125.00   | 0.10%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    795000 | PA      | $720679.70    | 0.02%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158725 | PA      | $157549.35    | 0.01%             | 2036-07-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1573000 | PA      | $1537988.10   | 0.05%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9984 | PA      | $9535.54      | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2U7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    765000 | PA      | $668209.91    | 0.02%             | 2033-01-20      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                          | Bank of Nova Scotia (The)                                                                                                | CUSIP: 06417XAP6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1650000 | PA      | $1667592.23   | 0.05%             | 2030-02-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    235000 | PA      | $215823.49    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MJ7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2069179 | PA      | $1779578.66   | 0.06%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                      | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                                                                | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      6998 | PA      | $6614.33      | 0.00%             | 2034-08-25      | Variable      | 7.35%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                         | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    300000 | PA      | $227123.02    | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8350000 | PA      | $7152924.71   | 0.23%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust                                                                                        | CUSIP: 22530BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6009000.00   | 0.19%             | 2034-02-15      | Fixed         | 6.95%                 | No            |                  3 | On Loan: No      |
| Intel Corp.                                                        | Intel Corp.                                                                                                              | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    695000 | PA      | $423756.14    | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H05, Class FB                                                                                          | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9476 | PA      | $9393.05      | 0.00%             | 2062-02-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2464, Class SI                                                                                      | CUSIP: 31392MWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85373 | PA      | $7152.99      | 0.00%             | 2032-02-15      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-68, Class KI                                                                                           | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    510433 | PA      | $45285.23     | 0.00%             | 2035-09-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                                          | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810179 | PA      | $62488.00     | 0.00%             | 2037-08-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6839000 | PA      | $7445810.11   | 0.24%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833XZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11800000 | PA      | $9303320.25   | 0.30%             | 2031-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                            | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    550000 | PA      | $328509.50    | 0.01%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                     | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-1                               | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    604629 | PA      | $615018.45    | 0.02%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                  | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494BM4<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    920000 | PA      | $937679.00    | 0.03%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3152, Class MO                                                                                      | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86409 | PA      | $75059.05     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143761 | PA      | $151491.59    | 0.00%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3451 | PA      | $3468.26      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UOG ABS Issuer I LLC                                               | UOG ABS Issuer I LLC, Series 2023-1, Class A1                                                                            | CUSIP: 90319TAA1<br>LEI: 254900YID84NR2CXVT21 | Long             | ABS-O            | CORP              | US        |   1493555 | PA      | $1522231.68   | 0.05%             | 2040-06-05      | Fixed         | 8.35%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31015000 | PA      | $31596531.25  | 1.02%             | 2035-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2022-3A, Class D                                                               | CUSIP: 38014QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2530984.75   | 0.08%             | 2028-06-15      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 639057AV0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    870000 | PA      | $873380.91    | 0.03%             | 2031-05-23      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                                           | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     68106 | PA      | $67550.06     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2344, Class ZD                                                                                      | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163177 | PA      | $169338.38    | 0.01%             | 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        |     56732 | PA      | $58769.01     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3325000 | PA      | $1979933.59   | 0.06%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11329 | PA      | $11495.04     | 0.00%             | 2034-01-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    550000 | PA      | $496161.33    | 0.02%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                 | Delta Air Lines Pass-Through Trust, Series 2015-1, Class AA                                                              | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    193285 | PA      | $187640.67    | 0.01%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196080 | PA      | $195500.05    | 0.01%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2                                                                   | CUSIP: 36298XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1213673 | PA      | $65445.88     | 0.00%             | 2036-04-25      | Variable      | 1.54%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228059 | PA      | $22627.42     | 0.00%             | 2037-03-25      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                | DT Auto Owner Trust, Series 2022-3A, Class D                                                                             | CUSIP: 23345RAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3588793.95   | 0.12%             | 2028-07-17      | Fixed         | 8.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52943 | PA      | $55460.80     | 0.00%             | 2034-05-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4400000 | PA      | $3939890.64   | 0.13%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    630000 | PA      | $469325.39    | 0.02%             | 2045-11-15      | Fixed         | 3.00%                 | 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        |    118748 | PA      | $106658.85    | 0.00%             | 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        |     12884 | PA      | $13037.70     | 0.00%             | 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        |    980000 | PA      | $790791.18    | 0.03%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224592 | PA      | $16053.74     | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                 | Republic of Poland                                                                                                       | CUSIP: 731011AZ5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    921000 | PA      | $833159.63    | 0.03%             | 2054-03-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H18, Class JA                                                                                          | CUSIP: 38375B7P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223088 | PA      | $224073.92    | 0.01%             | 2063-08-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119DB2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1259000 | PA      | $1268929.85   | 0.04%             | 2035-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3925, Class FL                                                                                      | CUSIP: 3137AFGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27718 | PA      | $27665.02     | 0.00%             | 2041-01-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12303 | PA      | $12627.72     | 0.00%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Cisco Systems, Inc.                                                | Cisco Systems, Inc.                                                                                                      | CUSIP: 17275RBU5<br>LEI: 549300LKFJ962MZ46593 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1466988.56   | 0.05%             | 2054-02-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58561 | PA      | $62066.97     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Bedrock Abs I LLC                                                  | Bedrock ABS I LLC                                                                                                        | CUSIP: 076909AA8<br>LEI: 25490001S3H0GYUMTK70 | Long             | ABS-O            | CORP              | US        |   2090340 | PA      | $2147851.98   | 0.07%             | 2037-12-27      | Fixed         | 7.95%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-37, Class Z                                                                                     | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20421 | PA      | $21006.64     | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR12, Class 2P                                                | CUSIP: 93363NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31418 | PA      | $27550.42     | 0.00%             | 2036-10-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                                                        | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88543 | PA      | $87408.46     | 0.00%             | 2037-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                              | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1307763.01   | 0.04%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                                    | Wingspire Equipment Finance LLC, Series 2024-1A, Class B                                                                 | CUSIP: 97415AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4006208.40   | 0.13%             | 2032-09-20      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    629000 | PA      | $496559.95    | 0.02%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux Sarl                                           | JBS USA Holding Lux Sarl                                                                                                 | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1347000 | PA      | $1447208.72   | 0.05%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                                                       | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32322 | PA      | $32715.02     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51893 | PA      | $52600.78     | 0.00%             | 2036-11-01      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62520 | PA      | $60713.69     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LJBK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5131690.80   | 0.17%             | 2030-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1140559.36   | 0.04%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                | NatWest Markets plc                                                                                                      | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   2500000 | PA      | $2563663.73   | 0.08%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    795000 | PA      | $747911.59    | 0.02%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531031 | PA      | $490279.43    | 0.02%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3737 | PA      | $221.07       | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NV3Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2325000 | PA      | $2343167.39   | 0.08%             | 2029-10-01      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25714 | PA      | $25905.39     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16069 | PA      | $17356.12     | 0.00%             | 2037-09-20      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                                                      | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45724 | PA      | $17406.84     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                                                       | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87350 | PA      | $86245.53     | 0.00%             | 2046-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2196127 | PA      | $1885658.33   | 0.06%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133BMM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1059175 | PA      | $1028094.28   | 0.03%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18837 | PA      | $16455.01     | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2399, Class TH                                                                                      | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44175 | PA      | $45951.84     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Entergy Mississippi LLC                                            | Entergy Mississippi LLC                                                                                                  | CUSIP: 29366WAE6<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |    610000 | PA      | $594591.46    | 0.02%             | 2054-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-2, Class A                                                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    832537 | PA      | $766599.01    | 0.02%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                               | Sprint Capital Corp.                                                                                                     | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |    591000 | PA      | $632251.32    | 0.02%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43761 | PA      | $45510.97     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-90, Class PM                                                                                    | CUSIP: 3136AF6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1694000 | PA      | $1538346.13   | 0.05%             | 2043-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    560000 | PA      | $357663.36    | 0.01%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922862 | PA      | $925001.32    | 0.03%             | 2065-06-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2779070 | PA      | $120833.15    | 0.00%             | 2067-03-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAQ0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1720000 | PA      | $1739458.05   | 0.06%             | 2029-01-10      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    360000 | PA      | $364458.57    | 0.01%             | 2028-02-08      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2020-M50, Class X1                                                                                     | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17552826 | PA      | $754550.35    | 0.02%             | 2030-10-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        26 | PA      | $24.24        | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140W0DB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7178927 | PA      | $5893031.01   | 0.19%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3142884 | PA      | $2759324.78   | 0.09%             | 2051-01-20      | Fixed         | 3.50%                 | 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        |     30238 | PA      | $9792.58      | 0.00%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                     | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                                               | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80421 | PA      | $76808.63     | 0.00%             | 2034-10-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1965000 | PA      | $2009902.77   | 0.06%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                            | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1518091.58   | 0.05%             | 2054-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class AE                                                                                   | CUSIP: 3136AGC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1825428 | PA      | $1751591.28   | 0.06%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP                                        | Penske Truck Leasing Co. LP                                                                                              | CUSIP: 709599BW3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1220000 | PA      | $1264986.28   | 0.04%             | 2028-08-01      | Fixed         | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Intel Corp.                                                        | Intel Corp.                                                                                                              | CUSIP: 458140CJ7<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    590000 | PA      | $529452.69    | 0.02%             | 2053-02-10      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL                                           | JBS USA Holding Lux SARL                                                                                                 | CUSIP: 46590XAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   1305000 | PA      | $1197327.86   | 0.04%             | 2031-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR3, Class C                                                                                    | CUSIP: 00180UAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1526586.56   | 0.05%             | 2038-10-17      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3F8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2355000 | PA      | $2385140.49   | 0.08%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92941 | PA      | $17216.59     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1339097 | PA      | $1273002.82   | 0.04%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2021-95, Class GA                                                                                    | CUSIP: 3136BKUK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7903386 | PA      | $6555747.71   | 0.21%             | 2051-03-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1407638.03   | 0.05%             | 2030-01-23      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59540 | PA      | $1104.70      | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27406 | PA      | $28037.42     | 0.00%             | 2035-04-01      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                         | Mars, Inc.                                                                                                               | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   2335000 | PA      | $2290710.47   | 0.07%             | 2045-05-01      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| HGI CRE CLO Ltd.                                                   | HGI CRE CLO Ltd., Series 2022-FL3, Class B                                                                               | CUSIP: 403950AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1501360.50   | 0.05%             | 2037-04-20      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       555 | NC      | $762780.55    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA/FHLMC                                                         | FNMA/FHLMC UMBS, Single Family, 30 Year                                                                                  | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22840000 | PA      | $18605388.86  | 0.60%             | 2055-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                      | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    750000 | PA      | $724742.30    | 0.02%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2022-154, Class JZ                                                                                          | CUSIP: 38383YUR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1409055 | PA      | $1214660.74   | 0.04%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YDF3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   2500000 | PA      | $2551160.83   | 0.08%             | 2030-07-10      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3117, Class OK                                                                                      | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66796 | PA      | $57596.73     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    446856 | PA      | $463884.73    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    455634 | PA      | $446559.03    | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2023-M8, Class A2                                                                                      | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3290000 | PA      | $3259950.46   | 0.11%             | 2033-03-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                        | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A3G5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1410000 | PA      | $1429851.87   | 0.05%             | 2032-01-30      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                | FNMA, Grantor Trust, Series 2017-T1, Class A                                                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4805439 | PA      | $4654344.66   | 0.15%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp., Series 21A                                                                               | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    420000 | PA      | $259006.82    | 0.01%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Graphic Packaging International LLC                                | Graphic Packaging International LLC                                                                                      | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   1246000 | PA      | $1206072.08   | 0.04%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MDZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60579 | PA      | $59522.07     | 0.00%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-6, Class 2A7                                                                  | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101232 | PA      | $90042.85     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    815000 | PA      | $639607.88    | 0.02%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Triad Holdings III LLC                                             | Triad Holdings III LLC                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    550000 | PA      | $550000.00    | 0.02%             | 2052-04-01      | Fixed         | 7.25%                 | No            |                  3 | On Loan: No      |
| ONEOK Partners LP                                                  | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    350000 | PA      | $367805.82    | 0.01%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                          | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1345000 | PA      | $1299875.37   | 0.04%             | 2049-06-01      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    695000 | PA      | $526628.22    | 0.02%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   1535000 | PA      | $1581727.83   | 0.05%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    805000 | PA      | $744815.10    | 0.02%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3344742 | PA      | $3121886.79   | 0.10%             | 2032-10-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                         | CPS Auto Receivables Trust, Series 2022-D, Class C                                                                       | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4048628.00   | 0.13%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2017-1, Class A                                                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    463704 | PA      | $430872.83    | 0.01%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31408EN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15946 | PA      | $15834.48     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                | Kinder Morgan, Inc.                                                                                                      | CUSIP: 28368EAD8<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |   1151000 | PA      | $1308432.51   | 0.04%             | 2031-08-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    455000 | PA      | $405013.23    | 0.01%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                              | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    359000 | PA      | $316395.35    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                          | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    455000 | PA      | $453264.90    | 0.01%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                       | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    440000 | PA      | $330211.11    | 0.01%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26017 | PA      | $26248.00     | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 355, Class 11                                                                                       | CUSIP: 3136FCNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61840 | PA      | $7614.25      | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2560000 | PA      | $2518893.34   | 0.08%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $434389.58    | 0.01%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    371000 | PA      | $374219.56    | 0.01%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHVW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2065000 | PA      | $2049433.99   | 0.07%             | 2032-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma, Series G                                                                                 | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2647912.26   | 0.09%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H23, Class FB                                                                                          | CUSIP: 38376RHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    727585 | PA      | $729985.37    | 0.02%             | 2065-09-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22592 | PA      | $22690.89     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17985000 | PA      | $18723368.60  | 0.60%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39622 | PA      | $34952.57     | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                           | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAE3<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193200.00    | 0.01%             | 2036-01-09      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128334S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29215000 | PA      | $22493004.50  | 0.72%             | 2031-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec                        | Federation des Caisses Desjardins du Quebec                                                                              | CUSIP: 31429KAK9<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |   1280000 | PA      | $1318767.55   | 0.04%             | 2028-03-14      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                              | Cheniere Energy, Inc.                                                                                                    | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |    690000 | PA      | $688566.27    | 0.02%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209917 | PA      | $204796.91    | 0.01%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6934 | PA      | $7141.15      | 0.00%             | 2036-05-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23424 | PA      | $24035.81     | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WQAD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    509069 | PA      | $491997.98    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337P9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14050000 | PA      | $10953245.82  | 0.35%             | 2031-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFT7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    840000 | PA      | $834523.59    | 0.03%             | 2035-07-19      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11522 | PA      | $11737.35     | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                                            | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      8765 | PA      | $8339.37      | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13322 | PA      | $13799.91     | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69705.08     | 0.00%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    701000 | PA      | $691539.31    | 0.02%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2904 | PA      | $2502.48      | 0.00%             | 2032-04-25      | None          | 0.00%                 | 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        |    231624 | PA      | $231482.00    | 0.01%             | 2051-03-27      | Variable      | 6.12%                 | Yes           |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co.                                                                                                         | CUSIP: 641423CG1<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    560000 | PA      | $553811.31    | 0.02%             | 2054-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    190000 | PA      | $159275.84    | 0.01%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                              | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   3835000 | PA      | $2683663.82   | 0.09%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M1S, Class A2                                                                                     | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5230000 | PA      | $4477553.62   | 0.14%             | 2032-04-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1998634.80   | 0.06%             | 2031-05-07      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAU9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   3000000 | PA      | $3083909.07   | 0.10%             | 2028-08-08      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31412BTY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56748 | PA      | $58329.95     | 0.00%             | 2034-02-01      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7163 | PA      | $7164.27      | 0.00%             | 2061-05-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    980000 | PA      | $952206.34    | 0.03%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    355000 | PA      | $344505.55    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3                                                               | CUSIP: 31393YU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170794 | PA      | $175810.29    | 0.01%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    850000 | PA      | $742823.23    | 0.02%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    915000 | PA      | $594562.94    | 0.02%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                         | RALI Trust, Series 2004-QA6, Class NB2                                                                                   | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172098 | PA      | $159796.42    | 0.01%             | 2034-12-26      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                                | Bank of New Zealand                                                                                                      | CUSIP: 06407EAH8<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |    910000 | PA      | $926454.52    | 0.03%             | 2029-01-30      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Lending Funding Trust                                              | Lending Funding Trust, Series 2020-2A, Class C                                                                           | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1737441.17   | 0.06%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2963 | PA      | $2960.70      | 0.00%             | 2062-07-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                        | Prologis LP                                                                                                              | CUSIP: 74340XBP5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    905000 | PA      | $571918.62    | 0.02%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                 | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    440000 | PA      | $404372.83    | 0.01%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                                      | AIB Group plc                                                                                                            | CUSIP: 00135TAE4<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   1500000 | PA      | $1522614.48   | 0.05%             | 2035-03-28      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Children's Hospital                                                | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    650000 | PA      | $396194.48    | 0.01%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                       | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    240000 | PA      | $201446.92    | 0.01%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    880000 | PA      | $748969.09    | 0.02%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $704036.17    | 0.02%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13373 | PA      | $13955.10     | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1915000 | PA      | $1661675.89   | 0.05%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LG5D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2172000 | PA      | $2076651.98   | 0.07%             | 2032-08-01      | Fixed         | 3.87%                 | 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        |     24767 | PA      | $24861.89     | 0.00%             | 2042-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3992928 | PA      | $3261348.13   | 0.11%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $16739296.92  | 0.54%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Children's Hospital Corp. (The)                                    | Children's Hospital Corp. (The), Series 2020                                                                             | CUSIP: 16876BAB8<br>LEI: 549300NXFO6BISJLOS32 | Long             | DBT              | CORP              | US        |    580000 | PA      | $333773.88    | 0.01%             | 2050-02-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1486000 | PA      | $941860.19    | 0.03%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1057000 | PA      | $1022996.63   | 0.03%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                   | McDonald's Corp.                                                                                                         | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    700000 | PA      | $673295.14    | 0.02%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BHP Billiton Finance USA Ltd.                                      | BHP Billiton Finance USA Ltd.                                                                                            | CUSIP: 055451BK3<br>LEI: 5493003NUVITP3TMY274 | Long             | DBT              | CORP              | AU        |   1080000 | PA      | $1092035.20   | 0.04%             | 2032-02-21      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1087793 | PA      | $1145708.64   | 0.04%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27687 | PA      | $28741.64     | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NVNH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5082375.10   | 0.16%             | 2030-08-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  54415000 | PA      | $55086685.16  | 1.77%             | 2030-01-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37135 | PA      | $39175.00     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18434 | PA      | $18750.04     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       721 | PA      | $723.05       | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2380000 | PA      | $2448199.71   | 0.08%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 3                                                              | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      7884 | PA      | $5448.91      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3790010 | PA      | $3349954.55   | 0.11%             | 2032-03-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    639000 | PA      | $645735.45    | 0.02%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24653 | PA      | $25491.32     | 0.00%             | 2034-10-01      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                                                       | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13481 | PA      | $13301.11     | 0.00%             | 2034-08-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Huntington Bancshares, Inc.                                        | Huntington Bancshares, Inc.                                                                                              | CUSIP: 446150BE3<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |    920000 | PA      | $929963.72    | 0.03%             | 2031-01-15      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44666 | PA      | $46397.78     | 0.00%             | 2036-10-01      | Variable      | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                                                       | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151991 | PA      | $153244.19    | 0.00%             | 2036-06-27      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1861 | PA      | $1877.19      | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                    | Nordea Bank Abp                                                                                                          | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    865000 | PA      | $881084.79    | 0.03%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class QS                                                                                      | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34704 | PA      | $36802.18     | 0.00%             | 2032-02-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MTU                                                            | CUSIP: 35563PYZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5821309 | PA      | $4982972.69   | 0.16%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    170000 | PA      | $147504.18    | 0.00%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                   | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4080000 | PA      | $4098283.30   | 0.13%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1485000 | PA      | $1541533.68   | 0.05%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  56200000 | PA      | $57038609.66  | 1.84%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30304 | PA      | $30294.42     | 0.00%             | 2035-05-01      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    720000 | PA      | $667575.72    | 0.02%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                                                  | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93830 | PA      | $93468.85     | 0.00%             | 2042-12-25      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MLRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1307582 | PA      | $1200116.85   | 0.04%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24914 | PA      | $25049.51     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337Q7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10790000 | PA      | $8206618.28   | 0.26%             | 2031-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $472037.46    | 0.02%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                           | Avis Budget Rental Car Funding AESOP LLC, Series 2025-2A, Class B                                                        | CUSIP: 05377RKR4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1510801.50   | 0.05%             | 2031-08-20      | Fixed         | 5.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2765 | PA      | $2773.35      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                                      | Honeywell International, Inc.                                                                                            | CUSIP: 438516CT1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1109670.50   | 0.04%             | 2054-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10855 | PA      | $11016.84     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6693 | PA      | $5916.05      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2001-2, Class A                                                                        | CUSIP: 36228FEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210313 | PA      | $204971.46    | 0.01%             | 2032-06-19      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    904000 | PA      | $893346.49    | 0.03%             | 2028-03-13      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCZ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    780000 | PA      | $812361.08    | 0.03%             | 2029-06-08      | Variable      | 6.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    158561 | PA      | $12381.60     | 0.00%             | 2038-09-25      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                              | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                                                                       | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1990067.80   | 0.06%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                               | Meta Platforms, Inc.                                                                                                     | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |    815000 | PA      | $773683.54    | 0.02%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10021832 | PA      | $8242760.43   | 0.27%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3047, Class OD                                                                                      | CUSIP: 31396CJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    184844 | PA      | $189012.47    | 0.01%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    772000 | PA      | $432320.00    | 0.01%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-51, Class SY                                                                                    | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28120 | PA      | $28205.52     | 0.00%             | 2034-07-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Jonah Energy ABS II LLC                                            | Jonah Energy ABS II LLC, Series 2025-1A, Class A1                                                                        | CUSIP: 479913AD7<br>LEI: 254900MMTK6TS4MGMV20 | Long             | ABS-O            | CORP              | US        |   3253483 | PA      | $3253482.52   | 0.10%             | 2040-12-10      | Fixed         | 6.59%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WQH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314173 | PA      | $304586.94    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    399285 | PA      | $400348.55    | 0.01%             | 2065-06-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26606 | PA      | $27907.80     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                                                  | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16547 | PA      | $16144.80     | 0.00%             | 2033-08-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                                         | PRET Trust, Series 2024-RPL2, Class A1                                                                                   | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3702574 | PA      | $3506604.10   | 0.11%             | 2064-06-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co., Series 08-A                                                                              | CUSIP: 842400FH1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195307.85    | 0.01%             | 2038-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607                                                                                                | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81568 | PA      | $67051.47     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                            | Duke Energy Florida LLC                                                                                                  | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $1409873.37   | 0.05%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3260, Class CS                                                                                      | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111566 | PA      | $9857.52      | 0.00%             | 2037-01-15      | Floating      | 1.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 383, Class 32                                                                                       | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23820 | PA      | $4311.29      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2317353 | PA      | $2258648.80   | 0.07%             | 2028-06-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                        | Nationwide Building Society                                                                                              | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1810000 | PA      | $1759544.49   | 0.06%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAK3<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    571000 | PA      | $579949.57    | 0.02%             | 2030-01-10      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600952 | PA      | $1376908.59   | 0.04%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LKMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1972222 | PA      | $1946185.81   | 0.06%             | 2033-06-01      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2020-K737, Class B                                                                          | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $537161.96    | 0.02%             | 2053-01-25      | Variable      | 3.33%                 | Yes           |                  2 | On Loan: No      |
| Ohio State University (The)                                        | Ohio State University (The), General Receipts, Series 2011A                                                              | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   1563000 | PA      | $1265023.74   | 0.04%             | 2111-06-01      | Fixed         | 4.80%                 | 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        |     18429 | PA      | $18599.83     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                                            | Purewest ABS Issuer LLC, Series 2025-1, Class A2                                                                         | CUSIP: 74628AAB0<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |   4993588 | PA      | $4993588.39   | 0.16%             | 2040-04-05      | Fixed         | 6.53%                 | Yes           |                  3 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M45T                                                     | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2598291 | PA      | $2491653.59   | 0.08%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   1600000 | PA      | $1603463.28   | 0.05%             | 2035-12-03      | Variable      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1088719.29   | 0.04%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10120000 | PA      | $9562620.15   | 0.31%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4098 | PA      | $4131.18      | 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        |   3132933 | PA      | $210696.04    | 0.01%             | 2033-11-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                                       | Santander Holdings USA, Inc.                                                                                             | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    670000 | PA      | $685883.19    | 0.02%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                 | HERO Funding Trust, Series 2017-1A, Class A2                                                                             | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    594749 | PA      | $540303.61    | 0.02%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  3 | On Loan: No      |
| Sigeco Securitization I LLC                                        | Sigeco Securitization I LLC, Series A1                                                                                   | CUSIP: 82655KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    822924 | PA      | $821682.00    | 0.03%             | 2036-11-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2004-1, Class 12A1                                                                        | CUSIP: 07384MG48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110906 | PA      | $98860.38     | 0.00%             | 2034-04-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3385, Class SN                                                                                      | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23666 | PA      | $1527.95      | 0.00%             | 2037-11-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213276 | PA      | $201064.23    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |    649000 | PA      | $679992.88    | 0.02%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                              | Haleon US Capital LLC                                                                                                    | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $1032095.94   | 0.03%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                            | MVW LLC, Series 2019-2A, Class B                                                                                         | CUSIP: 55400DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    613067 | PA      | $601222.65    | 0.02%             | 2038-10-20      | Fixed         | 2.44%                 | Yes           |                  2 | On Loan: No      |
| Interstate Power and Light Co.                                     | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AW4<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    765000 | PA      | $708435.20    | 0.02%             | 2054-09-30      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45586 | PA      | $40248.44     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1146786.02   | 0.04%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38440 | PA      | $39077.16     | 0.00%             | 2034-08-01      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                    | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   1007000 | PA      | $862795.66    | 0.03%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MLRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1429136 | PA      | $1401523.22   | 0.05%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MMAF Equipment Finance LLC                                         | MMAF Equipment Finance LLC, Series 2024-A, Class A4                                                                      | CUSIP: 55318CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1206100 | PA      | $1222778.67   | 0.04%             | 2049-07-13      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| ING Groep NV                                                       | ING Groep NV                                                                                                             | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    361000 | PA      | $367465.59    | 0.01%             | 2027-09-11      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                                         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120226 | PA      | $115460.53    | 0.00%             | 2034-11-21      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| RT Fin LLC                                                         | RT Fin LLC                                                                                                               | CUSIP: 74983KAA9<br>LEI: 2549000QL0MZ8X7VL058 | Long             | ABS-O            | CORP              | US        |   2193359 | PA      | $2224825.16   | 0.07%             | 2043-10-15      | Fixed         | 7.85%                 | No            |                  3 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                          | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $699143.22    | 0.02%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    831431 | PA      | $808036.91    | 0.03%             | 2026-12-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4340201 | PA      | $4220553.47   | 0.14%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    628000 | PA      | $641742.29    | 0.02%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2498390 | PA      | $2186828.08   | 0.07%             | 2034-09-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                            | Lendingpoint Asset Securitization Trust, Series 2022-B, Class B                                                          | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4728700 | PA      | $4564736.50   | 0.15%             | 2029-10-15      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| DTE Electric Co.                                                   | DTE Electric Co., Series B                                                                                               | CUSIP: 23338VAP1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1334988.36   | 0.04%             | 2051-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Merck & Co., Inc.                                                  | Merck & Co., Inc.                                                                                                        | CUSIP: 58933YBG9<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    965000 | PA      | $545215.05    | 0.02%             | 2061-12-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    685000 | PA      | $736787.99    | 0.02%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $4147031.25   | 0.13%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5030176 | PA      | $4156123.31   | 0.13%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1006000 | PA      | $980253.10    | 0.03%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $6170946.53   | 0.20%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Mayo Clinic                                                        | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    225000 | PA      | $173325.59    | 0.01%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18355000 | PA      | $13065031.73  | 0.42%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96743 | PA      | $95808.64     | 0.00%             | 2044-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3053 | PA      | $3050.60      | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    395000 | PA      | $389265.31    | 0.01%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                                              | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84303 | PA      | $80774.52     | 0.00%             | 2034-11-20      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJGG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2818174 | PA      | $2673338.13   | 0.09%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37983 | PA      | $32868.51     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                                                           | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2632000 | PA      | $2690560.68   | 0.09%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak OP LLC                                                  | Healthpeak OP LLC                                                                                                        | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    772000 | PA      | $736145.43    | 0.02%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                             | Banc of America Alternative Loan Trust, Series 2006-4, Class 1A4                                                         | CUSIP: 05950AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217351 | PA      | $195279.36    | 0.01%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500892 | PA      | $378737.64    | 0.01%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   2840000 | PA      | $2899431.32   | 0.09%             | 2027-09-13      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                     | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    520000 | PA      | $392067.00    | 0.01%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    235000 | PA      | $237226.70    | 0.01%             | 2029-01-19      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                       | MASTR Resecuritization Trust, Series 2005-PO, Class 3                                                                    | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39603 | PA      | $29840.38     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LKDU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1904000 | PA      | $1904330.36   | 0.06%             | 2032-01-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1093976 | PA      | $1056473.50   | 0.03%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-19, Class IP                                                                                    | CUSIP: 31397NUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340322 | PA      | $59637.71     | 0.00%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                     | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A23                                                | CUSIP: 225458QV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    773806 | PA      | $789171.59    | 0.03%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                           | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AN6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1280864.29   | 0.04%             | 2027-09-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1815000 | PA      | $1830932.36   | 0.06%             | 2031-05-27      | Variable      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4225000 | PA      | $4001852.40   | 0.13%             | 2032-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3079 | PA      | $3144.71      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       638 | PA      | $644.41       | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78848 | PA      | $82122.60     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2022-SFR3, Class C                                                                          | CUSIP: 33768EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3466000 | PA      | $3426917.38   | 0.11%             | 2038-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SYB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    632398 | PA      | $592915.01    | 0.02%             | 2045-03-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93913 | PA      | $979.73       | 0.00%             | 2037-12-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                           | Electricite de France SA                                                                                                 | CUSIP: 268317AZ7<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   1025000 | PA      | $1052439.70   | 0.03%             | 2034-04-22      | Fixed         | 5.95%                 | Yes           |                  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        |    424787 | PA      | $380297.71    | 0.01%             | 2037-10-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92217 | PA      | $95763.74     | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    832000 | PA      | $831574.14    | 0.03%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31389DS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69223 | PA      | $70617.93     | 0.00%             | 2031-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                                                      | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1273030 | PA      | $57547.72     | 0.00%             | 2035-11-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    490000 | PA      | $295441.34    | 0.01%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    457953 | PA      | $463169.09    | 0.01%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5329000 | PA      | $3051685.16   | 0.10%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ADC8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    825000 | PA      | $832973.30    | 0.03%             | 2029-06-24      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                  | Time Warner Cable Enterprises LLC                                                                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $803965.60    | 0.03%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    890000 | PA      | $921316.70    | 0.03%             | 2028-05-04      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200326 | PA      | $200321.54    | 0.01%             | 2041-10-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121311 | PA      | $12137.70     | 0.00%             | 2038-04-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3469882 | PA      | $3258068.08   | 0.10%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16531 | PA      | $16781.87     | 0.00%             | 2032-12-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31410GNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41390 | PA      | $42017.67     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4797421 | PA      | $4583617.12   | 0.15%             | 2032-10-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                       | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                                                    | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67859 | PA      | $60949.66     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-75, Class WA                                                                                           | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447826 | PA      | $455921.51    | 0.01%             | 2040-06-20      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2949564.66   | 0.10%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36916 | PA      | $37524.73     | 0.00%             | 2037-03-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404J2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17882 | PA      | $18054.15     | 0.00%             | 2034-04-01      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1505000 | PA      | $1404823.44   | 0.05%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                          | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    843000 | PA      | $809709.04    | 0.03%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    296363 | PA      | $307505.71    | 0.01%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                       | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    985000 | PA      | $917565.35    | 0.03%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LLSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4077000 | PA      | $4237760.06   | 0.14%             | 2032-04-01      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                         | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    545000 | PA      | $528822.86    | 0.02%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617FUPG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5384488 | PA      | $5674765.53   | 0.18%             | 2072-08-20      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                       | Zoetis, Inc.                                                                                                             | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    760000 | PA      | $674711.33    | 0.02%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6927753 | PA      | $5437741.11   | 0.18%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    175000 | PA      | $172215.73    | 0.01%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Solventum Corp.                                                    | Solventum Corp.                                                                                                          | CUSIP: 83444MAR2<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |   1590000 | PA      | $1603714.34   | 0.05%             | 2034-03-23      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $925992.64    | 0.03%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49264 | PA      | $51270.60     | 0.00%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-35, Class UC                                                                                    | CUSIP: 31393BL86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1370 | PA      | $1352.85      | 0.00%             | 2033-05-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    998000 | PA      | $987110.34    | 0.03%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22840 | PA      | $23680.20     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50370000 | PA      | $49864332.55  | 1.61%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143796 | PA      | $136467.32    | 0.00%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3312021 | PA      | $2547249.45   | 0.08%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    425000 | PA      | $415986.75    | 0.01%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617VUET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5125662 | PA      | $5352541.17   | 0.17%             | 2071-10-20      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138731 | PA      | $130838.94    | 0.00%             | 2042-01-20      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144870 | PA      | $11115.21     | 0.00%             | 2039-02-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-1, Class A                                                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    474343 | PA      | $450659.58    | 0.01%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                    | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    200000 | PA      | $168712.37    | 0.01%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4301 | PA      | $4354.97      | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35729 | PA      | $34940.17     | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                                                      | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49448 | PA      | $49365.65     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                 | Devon Energy Corp.                                                                                                       | CUSIP: 25179MBH5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   1310000 | PA      | $1138759.63   | 0.04%             | 2054-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    535000 | PA      | $457605.40    | 0.01%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    795000 | PA      | $793592.37    | 0.03%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                                        | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44582 | PA      | $46370.62     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1307278 | PA      | $1162821.39   | 0.04%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                     | Enterprise Fleet Financing LLC, Series 2025-2, Class A4                                                                  | CUSIP: 29375TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2880000 | PA      | $2876189.47   | 0.09%             | 2031-12-22      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                                                                   | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       526 | PA      | $521.35       | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18672 | PA      | $16060.21     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                   | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     88000 | PA      | $81972.00     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $971032.85    | 0.03%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                              | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FBB2<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   2405000 | PA      | $2480117.34   | 0.08%             | 2028-07-13      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                                          | Aqua Finance Issuer Trust, Series 2025-A, Class B                                                                        | CUSIP: 038394AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3477000 | PA      | $3481704.03   | 0.11%             | 2050-12-19      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                                           | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    747974 | PA      | $743011.34    | 0.02%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                              | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $627533.98    | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                                             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287132 | PA      | $70358.11     | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DNFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728614 | PA      | $625610.40    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PPL Electric Utilities Corp.                                       | PPL Electric Utilities Corp.                                                                                             | CUSIP: 69351UBB8<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    890000 | PA      | $827595.14    | 0.03%             | 2053-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     76220 | PA      | $64273.29     | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust               | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                                           | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32454 | PA      | $32527.39     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1933467.16   | 0.06%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    780000 | PA      | $751279.45    | 0.02%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                              | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174596 | PA      | $108176.50    | 0.00%             | 2036-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-2, Class B                                                               | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    536458 | PA      | $531268.12    | 0.02%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    273000 | PA      | $247371.58    | 0.01%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-81, Class SB                                                                                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239209 | PA      | $14361.57     | 0.00%             | 2038-09-25      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GLU1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1496316.66   | 0.05%             | 2034-09-15      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                          | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    920000 | PA      | $901872.12    | 0.03%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                 | Vodafone Group plc                                                                                                       | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   1105000 | PA      | $925010.87    | 0.03%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                       | Nasdaq, Inc.                                                                                                             | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    392000 | PA      | $402371.10    | 0.01%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3784132 | PA      | $3322429.90   | 0.11%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                 | Delta Air Lines Pass-Through Trust, Series 2020-1, Class AA                                                              | CUSIP: 247361ZV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    254363 | PA      | $237556.72    | 0.01%             | 2028-06-10      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    710000 | PA      | $698457.56    | 0.02%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                                                             | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96761 | PA      | $93007.08     | 0.00%             | 2044-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                    | Prestige Auto Receivables Trust, Series 2022-1A, Class C                                                                 | CUSIP: 74113RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3426460 | PA      | $3439065.83   | 0.11%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-108, Class GU                                                                                   | CUSIP: 3136AGMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2111172 | PA      | $2026421.07   | 0.07%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JSLW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    377443 | PA      | $373477.66    | 0.01%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBQ0<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |   1040000 | PA      | $1007902.82   | 0.03%             | 2055-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108336 | PA      | $95034.77     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1824 | PA      | $1842.90      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2023-1A, Class C                                                                       | CUSIP: 784024AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3815000 | PA      | $3942124.57   | 0.13%             | 2033-08-22      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                          | Commercial Mortgage Trust, Series 2013-300P, Class A1                                                                    | CUSIP: 12625XAA5<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3483062.10   | 0.11%             | 2030-08-10      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                                        | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    942106 | PA      | $906743.58    | 0.03%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3004, Class EK                                                                                      | CUSIP: 31395VXP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1139023 | PA      | $1132332.70   | 0.04%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3560000 | PA      | $1206762.25   | 0.04%             | 2046-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| University of Miami                                                | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    480000 | PA      | $366027.54    | 0.01%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    190000 | PA      | $153778.99    | 0.00%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                                          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29085 | PA      | $28907.40     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                      | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                                                   | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    247859 | PA      | $248241.84    | 0.01%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                                            | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    133553 | PA      | $111875.92    | 0.00%             | 2035-08-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFS9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    615000 | PA      | $621107.71    | 0.02%             | 2030-07-19      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   2415000 | PA      | $2418338.79   | 0.08%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QN3C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7813273 | PA      | $6693095.89   | 0.22%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    273000 | PA      | $221589.43    | 0.01%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                            | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    925000 | PA      | $875980.63    | 0.03%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3370000 | PA      | $3168520.17   | 0.10%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     88000 | PA      | $72748.02     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2661353 | PA      | $2599170.68   | 0.08%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                  | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    895000 | PA      | $685356.87    | 0.02%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XCTH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7634486 | PA      | $6284673.70   | 0.20%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    725000 | PA      | $664892.72    | 0.02%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1252000 | PA      | $1028518.00   | 0.03%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4017 | PA      | $4046.05      | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    435000 | PA      | $383407.77    | 0.01%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1605000 | PA      | $1653007.65   | 0.05%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    650000 | PA      | $627448.87    | 0.02%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                       | American Water Capital Corp.                                                                                             | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   1096000 | PA      | $750554.32    | 0.02%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67752 | PA      | $68920.10     | 0.00%             | 2036-10-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                          | Vistra Operations Co. LLC                                                                                                | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    221000 | PA      | $224130.69    | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7290 | PA      | $8018.68      | 0.00%             | 2036-01-15      | Floating      | 8.26%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    783000 | PA      | $781983.48    | 0.03%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L94G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2059116 | PA      | $1927388.98   | 0.06%             | 2035-06-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45610 | PA      | $45698.03     | 0.00%             | 2035-08-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    648901 | PA      | $575981.88    | 0.02%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                                                       | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2041764 | PA      | $1703298.74   | 0.05%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    790000 | PA      | $678271.49    | 0.02%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       718 | PA      | $719.16       | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2864074 | PA      | $2874573.65   | 0.09%             | 2052-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class A                                                               | CUSIP: 22535PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3845000 | PA      | $3894093.73   | 0.13%             | 2033-12-15      | Fixed         | 6.13%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                                     | PEAC Solutions Receivables LLC, Series 2024-1A, Class A3                                                                 | CUSIP: 69433BAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5900000 | PA      | $6028347.42   | 0.19%             | 2030-11-20      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1410000 | PA      | $1419304.80   | 0.05%             | 2036-01-30      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                         | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    563000 | PA      | $585913.36    | 0.02%             | 2028-01-13      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AA5E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7858820 | PA      | $6491824.01   | 0.21%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $216673.22    | 0.01%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CY3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    685000 | PA      | $668473.17    | 0.02%             | 2035-09-11      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 8426EPAG3<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    760000 | PA      | $782597.77    | 0.03%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-16, Class FC                                                                                    | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31820 | PA      | $31788.63     | 0.00%             | 2037-03-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30479 | PA      | $30859.20     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    505793 | PA      | $494255.77    | 0.02%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12000000 | PA      | $11704687.44  | 0.38%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2004-2, Class 30                                                                   | CUSIP: 06051GCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59068 | PA      | $44687.21     | 0.00%             | 2034-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  64920000 | PA      | $64955503.45  | 2.09%             | 2028-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Edison International                                               | Edison International                                                                                                     | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1058249.93   | 0.03%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Monongahela Power Co.                                              | Monongahela Power Co.                                                                                                    | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $429942.70    | 0.01%             | 2034-02-15      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                            | APA Infrastructure Ltd.                                                                                                  | CUSIP: 00188LAA5<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |   2012000 | PA      | $1942177.83   | 0.06%             | 2034-09-16      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                        | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |   1126000 | PA      | $1107688.90   | 0.04%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                     | Banc of America Mortgage Trust, Series 2004-A, Class 2A2                                                                 | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19922 | PA      | $19647.14     | 0.00%             | 2034-02-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| J M Smucker Co. (The)                                              | J M Smucker Co. (The)                                                                                                    | CUSIP: 832696AX6<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |    525000 | PA      | $557350.08    | 0.02%             | 2033-11-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                        | Stellantis Finance US, Inc.                                                                                              | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    785000 | PA      | $650766.99    | 0.02%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                    | Virginia Electric and Power Co.                                                                                          | CUSIP: 927804GN8<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   2120000 | PA      | $2019771.66   | 0.07%             | 2053-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CX5<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    665000 | PA      | $662074.37    | 0.02%             | 2030-09-11      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-2, Class MS                                                                                            | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61244 | PA      | $4809.93      | 0.00%             | 2038-01-16      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                                         | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    624471 | PA      | $17844.26     | 0.00%             | 2039-03-25      | Variable      | 1.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $24.73        | 0.00%             | 2062-05-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150639 | PA      | $129115.78    | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| F&G Annuities & Life, Inc.                                         | F&G Annuities & Life, Inc.                                                                                               | CUSIP: 30190AAF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    470000 | PA      | $480409.45    | 0.02%             | 2029-06-04      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    308000 | PA      | $217148.89    | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                 | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1574991.30   | 0.05%             | 2027-09-22      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                        | vMobo, Inc.                                                                                                              | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5997529 | PA      | $5703649.81   | 0.18%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Renew                                                              | Renew, Series 2017-1A, Class A                                                                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    299272 | PA      | $277874.23    | 0.01%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    683170 | PA      | $644910.21    | 0.02%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61885 | PA      | $11315.33     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    525000 | PA      | $390891.77    | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971000 | PA      | $867040.77    | 0.03%             | 2031-09-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20201 | PA      | $2370.09      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $936072.61    | 0.03%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma                                                                                           | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    330000 | PA      | $322505.28    | 0.01%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57104 | PA      | $60654.97     | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2998 | PA      | $149.59       | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    520000 | PA      | $524815.79    | 0.02%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                                         | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    693671 | PA      | $12439.61     | 0.00%             | 2038-08-25      | Variable      | 0.81%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14665000 | PA      | $8972001.25   | 0.29%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                 | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $1979848.39   | 0.06%             | 2030-03-17      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    630000 | PA      | $553691.07    | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1729000 | PA      | $988641.01    | 0.03%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MCW8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1480000 | PA      | $1541148.30   | 0.05%             | 2030-01-13      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LLL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3907344 | PA      | $3878908.85   | 0.12%             | 2033-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 05581KAH4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2015000 | PA      | $2040071.34   | 0.07%             | 2030-01-09      | Variable      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1376 | PA      | $1324.49      | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2022-3A, Class C                                                               | CUSIP: 38014QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1497461 | PA      | $1498421.94   | 0.05%             | 2028-06-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36911 | PA      | $38126.73     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14120 | PA      | $11631.01     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1679 | PA      | $1660.34      | 0.00%             | 2027-09-01      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5217616 | PA      | $4792783.82   | 0.15%             | 2029-11-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FLK20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4684293 | PA      | $4427231.92   | 0.14%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    410000 | PA      | $433824.58    | 0.01%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       952 | PA      | $967.40       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  48290000 | PA      | $34400965.89  | 1.11%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    310000 | PA      | $272180.00    | 0.01%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                   | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1995000 | PA      | $1214769.94   | 0.04%             | 2051-06-04      | Fixed         | 2.94%                 | 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        |    235415 | PA      | $235150.45    | 0.01%             | 2051-02-27      | Variable      | 5.89%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170970 | PA      | $3191.13      | 0.00%             | 2037-04-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6944 | PA      | $410.65       | 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        |    865000 | PA      | $864798.76    | 0.03%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                                         | ROCK Trust, Series 2024-CNTR, Class C                                                                                    | CUSIP: 74970WAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5174557.50   | 0.17%             | 2041-11-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $4027790.65   | 0.13%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    451892 | PA      | $431858.48    | 0.01%             | 2043-04-20      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| HINNT LLC                                                          | HINNT LLC, Series 2024-A, Class B                                                                                        | CUSIP: 40472QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2723015 | PA      | $2737985.04   | 0.09%             | 2043-03-15      | Fixed         | 5.84%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1733664.97   | 0.06%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31404ADZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124115 | PA      | $121551.52    | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3605000 | PA      | $3635538.46   | 0.12%             | 2031-05-28      | Variable      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1020560.15   | 0.03%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    435927 | PA      | $65433.86     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3352 | PA      | $3353.27      | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132DM2N4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4997039 | PA      | $4279718.33   | 0.14%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                    | Martin Marietta Materials, Inc.                                                                                          | CUSIP: 573284AQ9<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    770000 | PA      | $752644.81    | 0.02%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3649 | PA      | $3804.56      | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Aon North America, Inc.                                            | Aon North America, Inc.                                                                                                  | CUSIP: 03740MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1990000 | PA      | $2012072.76   | 0.06%             | 2034-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    565000 | PA      | $271023.44    | 0.01%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32220 | PA      | $33136.70     | 0.00%             | 2036-07-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                        | Intel Corp.                                                                                                              | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    580000 | PA      | $394168.52    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14186 | PA      | $14425.10     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                    | CoreVest American Finance Trust, Series 2020-3, Class B                                                                  | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3180000 | PA      | $2819199.43   | 0.09%             | 2053-08-15      | Fixed         | 2.20%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                                                 | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16608 | PA      | $16162.64     | 0.00%             | 2033-09-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FREMF 2019-K96 Mortgage Trust                                      | FREMF Mortgage Trust, Series 2019-K96, Class C                                                                           | CUSIP: 30314DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5113313.15   | 0.16%             | 2056-08-25      | Variable      | 3.81%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   7294000 | PA      | $6874959.70   | 0.22%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406QGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11182 | PA      | $11344.86     | 0.00%             | 2035-02-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97400 | PA      | $4146.90      | 0.00%             | 2039-06-20      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54282 | PA      | $45173.33     | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                                                          | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34119 | PA      | $31481.79     | 0.00%             | 2029-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1513705.56   | 0.05%             | 2028-02-16      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                        | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    600000 | PA      | $630863.67    | 0.02%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-27, Class SA                                                                                           | CUSIP: 38375JJ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    152469 | PA      | $5196.41      | 0.00%             | 2037-05-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60292 | PA      | $63283.68     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18386400 | PA      | $10060090.08  | 0.32%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2437 | PA      | $2439.26      | 0.00%             | 2062-09-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Hanover Insurance Group, Inc. (The)                                | Hanover Insurance Group, Inc. (The)                                                                                      | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |    500000 | PA      | $436662.27    | 0.01%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7225000 | PA      | $3914482.46   | 0.13%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144456 | PA      | $139660.61    | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30951 | PA      | $26399.39     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DNB Bank ASA                                                       | DNB Bank ASA                                                                                                             | CUSIP: 23341CAE3<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    975000 | PA      | $979314.46    | 0.03%             | 2030-11-05      | Variable      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| DataBank Issuer                                                    | DataBank Issuer, Series 2021-1A, Class A2                                                                                | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2631583.89   | 0.08%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-7, Class SG                                                                                     | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784962 | PA      | $86426.92     | 0.00%             | 2036-08-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                 | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    675000 | PA      | $630605.25    | 0.02%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2961 | PA      | $3019.74      | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35478 | PA      | $35705.71     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XPTF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4307840 | PA      | $3709631.78   | 0.12%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-37T1, Class A2                                                                       | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1885700 | PA      | $112775.22    | 0.00%             | 2035-09-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                                                          | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |   3545000 | PA      | $3517807.37   | 0.11%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| DP Lion Holdco LLC                                                 | DP Lion Holdco LLC, Series 2023-1A, Class A                                                                              | CUSIP: 23359MAA8<br>LEI: 254900327YUW2NAXPW14 | Long             | ABS-O            | CORP              | US        |   1329360 | PA      | $1361357.99   | 0.04%             | 2043-11-30      | Fixed         | 8.24%                 | No            |                  3 | On Loan: No      |
| Interstate Power and Light Co.                                     | Interstate Power and Light Co.                                                                                           | CUSIP: 461070AV6<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    480000 | PA      | $463685.77    | 0.01%             | 2034-09-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp.                                            | Boston Scientific Corp.                                                                                                  | CUSIP: 101137AE7<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | DBT              | CORP              | US        |    900000 | PA      | $994833.07    | 0.03%             | 2035-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-1, Class A                                                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    658760 | PA      | $606250.81    | 0.02%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163140 | PA      | $168008.50    | 0.01%             | 2035-04-01      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    900000 | PA      | $682549.70    | 0.02%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                                  | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $206842.03    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | 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        |    477460 | PA      | $435095.16    | 0.01%             | 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        |    291624 | PA      | $308757.52    | 0.01%             | 2036-11-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84595.10     | 0.00%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Intel Corp.                                                        | Intel Corp.                                                                                                              | CUSIP: 458140BW9<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    695000 | PA      | $399599.94    | 0.01%             | 2051-08-12      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YKN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3074438 | PA      | $2736733.24   | 0.09%             | 2053-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6564400 | PA      | $5538456.09   | 0.18%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7887 | PA      | $7953.19      | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1540000 | PA      | $1553501.35   | 0.05%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                                                 | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16417 | PA      | $15319.97     | 0.00%             | 2034-06-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KR7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2124000 | PA      | $2099213.28   | 0.07%             | 2034-05-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                              | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    592000 | PA      | $497494.27    | 0.02%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    545000 | PA      | $386803.12    | 0.01%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1150000 | PA      | $1162027.57   | 0.04%             | 2035-01-23      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $1000130.00   | 0.03%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    800000 | PA      | $489896.25    | 0.02%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.             | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class 1                                         | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       565 | PA      | $562.27       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7232 | PA      | $7323.29      | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                                           | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16514 | PA      | $16630.80     | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                                       | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6141188 | PA      | $5278121.17   | 0.17%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142088 | PA      | $12176.26     | 0.00%             | 2033-11-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13662 | PA      | $13559.62     | 0.00%             | 2036-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Pendoor Proper                                                     | Pendoor Proper                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    720452 | PA      | $714111.60    | 0.02%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33051 | PA      | $34159.70     | 0.00%             | 2036-10-01      | Variable      | 7.19%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1942000 | PA      | $1334138.83   | 0.04%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NNN REIT, Inc.                                                     | NNN REIT, Inc.                                                                                                           | CUSIP: 637417AH9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    783000 | PA      | $780408.46    | 0.03%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1350000 | PA      | $1424206.38   | 0.05%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J2T89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3813683 | PA      | $3529416.28   | 0.11%             | 2027-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                           | PRET LLC, Series 2021-RN4, Class A1                                                                                      | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3929379 | PA      | $3923903.86   | 0.13%             | 2051-10-25      | Variable      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6824 | PA      | $7080.71      | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-30, Class PM                                                                                    | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26186 | PA      | $26787.27     | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1467429.50   | 0.05%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 174                                                      | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   2060000 | PA      | $1666425.26   | 0.05%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       714 | PA      | $722.54       | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $399218.14    | 0.01%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                                                               | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3085000 | PA      | $3120344.85   | 0.10%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185410 | PA      | $191209.65    | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2610000 | PA      | $1886336.73   | 0.06%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45151 | PA      | $46673.65     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  37120000 | PA      | $23300049.91  | 0.75%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                   | Principal Life Global Funding II                                                                                         | CUSIP: 74256LEY1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    800000 | PA      | $812340.54    | 0.03%             | 2029-01-25      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                      | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                                                   | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119078 | PA      | $116198.01    | 0.00%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    312000 | PA      | $307301.22    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       885 | PA      | $899.82       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2020-SFR2, Class E                                                                          | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2954249.10   | 0.10%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Memorial Health Services                                           | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $916726.99    | 0.03%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Identity Digital Ltd.                                              | Identity Digital Ltd.                                                                                                    | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |   5000000 | PA      | $5000000.00   | 0.16%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80097 | PA      | $1426.24      | 0.00%             | 2037-06-16      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                           | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    570000 | PA      | $501096.46    | 0.02%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                       | American Water Capital Corp.                                                                                             | CUSIP: 03040WBC8<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   2300000 | PA      | $2157896.09   | 0.07%             | 2054-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                         | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    266000 | PA      | $203965.98    | 0.01%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31385WZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112031 | PA      | $112053.54    | 0.00%             | 2033-01-01      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170177 | PA      | $166520.39    | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1345000 | PA      | $1338584.35   | 0.04%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                              | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                                          | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414352 | PA      | $103659.11    | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    268336 | PA      | $252974.33    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                                                   | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69412 | PA      | $71384.24     | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28936 | PA      | $24628.72     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46513 | PA      | $47229.35     | 0.00%             | 2034-10-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                   | Jersey Central Power & Light Co., Series WI*                                                                             | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    460000 | PA      | $450164.90    | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       307 | PA      | $307.82       | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Anchor Mortgage Trust                                              | Anchor Mortgage Trust                                                                                                    | CUSIP: 03332JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $4056522.40   | 0.13%             | 2031-03-25      | Variable      | 8.23%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55654 | PA      | $58439.27     | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2423, Class MT                                                                                      | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35094 | PA      | $36682.78     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124141 | PA      | $130497.10    | 0.00%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                              | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KCV0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2220974.93   | 0.07%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12308 | PA      | $12869.47     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2022-SFR3, Class E2                                                                   | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2685000 | PA      | $2661775.56   | 0.09%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Goodleap 6.625   144a                                              | Goodleap 6.625   144a                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3960000 | PA      | $4063236.80   | 0.13%             | 2038-07-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Reynolds American, Inc.                                            | Reynolds American, Inc.                                                                                                  | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102854.02    | 0.00%             | 2041-08-04      | 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        |     65040 | PA      | $71463.16     | 0.00%             | 2034-04-16      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8200000 | PA      | $6176906.25   | 0.20%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103060 | PA      | $577.12       | 0.00%             | 2037-11-20      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                    | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    540000 | PA      | $455408.68    | 0.01%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4465000 | PA      | $4012395.50   | 0.13%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MNR ABS Issuer I LLC                                               | MNR ABS Issuer I LLC                                                                                                     | CUSIP: 55317XAB5<br>LEI: 254900P5PAYARXBH9O74 | Long             | ABS-O            | CORP              | US        |   1722844 | PA      | $1754575.22   | 0.06%             | 2038-12-15      | Fixed         | 8.95%                 | No            |                  3 | On Loan: No      |
| New York State Dormitory Authority                                 | New York State Dormitory Authority, State Personal Income Tax, General Purpose, Series 2010D                             | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    360000 | PA      | $361165.10    | 0.01%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2025-6, Class A                                                                                             | CUSIP: 38385B5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5802138 | PA      | $5405711.86   | 0.17%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXDY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    128888 | PA      | $125186.28    | 0.00%             | 2035-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    254000 | PA      | $250639.91    | 0.01%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    552000 | PA      | $407956.41    | 0.01%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    149165 | PA      | $148754.94    | 0.00%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                    | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    410000 | PA      | $248366.37    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | 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        |     51979 | PA      | $51403.61     | 0.00%             | 2033-11-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1646000 | PA      | $1259393.87   | 0.04%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74032 | PA      | $63369.94     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3131, Class BK                                                                                      | CUSIP: 31396JMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4051 | PA      | $4047.19      | 0.00%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                 | Macquarie Airfinance Holdings Ltd.                                                                                       | CUSIP: 55609NAF5<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |   1880000 | PA      | $1885514.04   | 0.06%             | 2028-03-27      | Fixed         | 5.20%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                                  | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    985000 | PA      | $708249.50    | 0.02%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WSPZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263949 | PA      | $257542.10    | 0.01%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    690000 | PA      | $692279.48    | 0.02%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                                          | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18043 | PA      | $17143.67     | 0.00%             | 2028-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Pennsylvania Electric Co.                              | FirstEnergy Pennsylvania Electric Co.                                                                                    | CUSIP: 708696BY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    150000 | PA      | $144556.17    | 0.00%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                   | Hackensack Meridian Health, Inc., Series 2020                                                                            | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $967703.35    | 0.03%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Perimeter Master Note Business Trust                               | Perimeter Master Note Business Trust, Series 2025-1A, Class A                                                            | CUSIP: 71384PBC4<br>LEI: 5493005H6EB040833X54 | Long             | ABS-O            | CORP              | US        |   6550000 | PA      | $6514319.53   | 0.21%             | 2030-12-16      | Fixed         | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                    | Impac CMB Trust, Series 2005-4, Class 2A1                                                                                | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49200 | PA      | $46973.39     | 0.00%             | 2035-05-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    749714 | PA      | $542854.23    | 0.02%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Chase Funding Trust                                                | Chase Funding Trust, Series 2003-6, Class 1A7                                                                            | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179463 | PA      | $176508.26    | 0.01%             | 2034-11-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2100000 | PA      | $2180369.54   | 0.07%             | 2029-01-10      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| Ameren Illinois Co.                                                | Ameren Illinois Co.                                                                                                      | CUSIP: 02361DBB5<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |   1650000 | PA      | $1569633.00   | 0.05%             | 2054-07-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                         | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A                                                      | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4220000 | PA      | $4255155.98   | 0.14%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                                                  | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144053 | PA      | $141877.79    | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3618N5MJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $6705333.68   | 0.22%             | 2055-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1521891.78   | 0.05%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28479 | PA      | $29801.50     | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AIG SunAmerica Global Financing X                                  | AIG SunAmerica Global Financing X                                                                                        | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    520000 | PA      | $568293.77    | 0.02%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1268422.91   | 0.04%             | 2026-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5686872 | PA      | $4719856.49   | 0.15%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3843584 | PA      | $3630469.99   | 0.12%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617WJ5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239564 | PA      | $1306315.35   | 0.04%             | 2072-08-20      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                              | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $402659.38    | 0.01%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6359038 | PA      | $5191533.75   | 0.17%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49979 | PA      | $53086.45     | 0.00%             | 2034-04-25      | Floating      | 7.32%                 | 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        |     73241 | PA      | $68707.52     | 0.00%             | 2034-06-20      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1999-1, Class 2Z                                                                           | CUSIP: 911760MJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197650 | PA      | $198419.45    | 0.01%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 056121AB2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   3945000 | PA      | $4003546.25   | 0.13%             | 2036-05-28      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    411000 | PA      | $411631.21    | 0.01%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom International Finance BV                          | Deutsche Telekom International Finance BV                                                                                | CUSIP: 25156PAR4<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    232000 | PA      | $208325.15    | 0.01%             | 2042-03-06      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1480000 | PA      | $1491978.91   | 0.05%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                   | Bank of Montreal                                                                                                         | CUSIP: 06368L8L3<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    790000 | PA      | $789390.48    | 0.03%             | 2030-09-10      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Ohio University                                                    | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |    200000 | PA      | $175880.44    | 0.01%             | 2114-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-118, Class A2                                                                                   | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89223 | PA      | $87654.00     | 0.00%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23146 | PA      | $23454.35     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1560000 | PA      | $1590662.44   | 0.05%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Hartford Insurance Group, Inc. (The)                               | Hartford Insurance Group, Inc. (The)                                                                                     | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    400000 | PA      | $330039.24    | 0.01%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                                                       | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48234 | PA      | $48240.68     | 0.00%             | 2037-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    822511 | PA      | $792413.97    | 0.03%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2662 | PA      | $2381.40      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MDS6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1500000 | PA      | $1531591.34   | 0.05%             | 2030-04-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Accenture Capital, Inc.                                            | Accenture Capital, Inc.                                                                                                  | CUSIP: 00440KAC7<br>LEI: 254900FRO0P7RIINYT25 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1104634.13   | 0.04%             | 2031-10-04      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4612601 | PA      | $3867174.16   | 0.12%             | 2052-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625004 | PA      | $596722.73    | 0.02%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1086000 | PA      | $644439.24    | 0.02%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR1, Class D                                                                                    | CUSIP: 00179DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $785930.57    | 0.03%             | 2038-06-17      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1015000 | PA      | $717904.21    | 0.02%             | 2052-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust                      | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class B                                                    | CUSIP: 10805NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2240000 | PA      | $2250490.82   | 0.07%             | 2028-10-16      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    615000 | PA      | $598521.31    | 0.02%             | 2029-06-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1920563.70   | 0.06%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800338 | PA      | $802272.66    | 0.03%             | 2065-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42860 | PA      | $43364.83     | 0.00%             | 2035-01-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406DJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103049 | PA      | $104667.59    | 0.00%             | 2034-11-01      | Variable      | 6.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-25, Class 1P                                           | CUSIP: 22541QYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61438 | PA      | $46237.63     | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                   | Kroger Co. (The)                                                                                                         | CUSIP: 501044DW8<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |    440000 | PA      | $406860.49    | 0.01%             | 2054-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                                                           | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4825071.70   | 0.16%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1245724.07   | 0.04%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2058607 | PA      | $1889959.98   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3                               | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314895 | PA      | $13750.22     | 0.00%             | 2035-04-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229193 | PA      | $229865.09    | 0.01%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    327595 | PA      | $304103.58    | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    305000 | PA      | $273635.00    | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102342 | PA      | $106878.24    | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EL8<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1380457.07   | 0.04%             | 2064-02-22      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAT0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1912000 | PA      | $1888462.55   | 0.06%             | 2030-09-19      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179YRD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2613424 | PA      | $2326367.07   | 0.07%             | 2054-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316775 | PA      | $298640.06    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    350000 | PA      | $398279.53    | 0.01%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28039 | PA      | $29185.39     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46412 | PA      | $47358.61     | 0.00%             | 2033-12-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                                          | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117681 | PA      | $57635.02     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                     | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    308000 | PA      | $252333.14    | 0.01%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130331 | PA      | $7934.61      | 0.00%             | 2036-10-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                             | Banc of America Alternative Loan Trust, Series 2004-6, Class 15                                                          | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5442 | PA      | $2249.82      | 0.00%             | 2019-07-25      | None          | 0.00%                 | 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        |    136101 | PA      | $114839.04    | 0.00%             | 2036-01-25      | Variable      | 2.84%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                         | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    770000 | PA      | $757836.49    | 0.02%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Sigeco Securitization I LLC                                        | Sigeco Securitization I LLC, Series A2                                                                                   | CUSIP: 82655KAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    107000 | PA      | $103726.99    | 0.00%             | 2041-05-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419513 | PA      | $312912.00    | 0.01%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-4                                                                           | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $387925.95    | 0.01%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   1180000 | PA      | $756510.15    | 0.02%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820000 | PA      | $765757.36    | 0.02%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29999 | PA      | $30490.84     | 0.00%             | 2035-05-01      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                 | CNO Global Funding                                                                                                       | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1398656.49   | 0.05%             | 2029-09-09      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   4510000 | PA      | $4422973.24   | 0.14%             | 2035-12-03      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                       | Diversified ABS Phase LLC, Series VI, Class A                                                                            | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   1666868 | PA      | $1649365.65   | 0.05%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    429648 | PA      | $422223.65    | 0.01%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                            | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4                                                       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232225 | PA      | $226927.13    | 0.01%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1605537 | PA      | $1473923.77   | 0.05%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                                         | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59570 | PA      | $56042.12     | 0.00%             | 2034-12-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2873516.29   | 0.09%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165558 | PA      | $160694.28    | 0.01%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Energy, Inc.                                              | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    300000 | PA      | $332661.15    | 0.01%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9U26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1803709 | PA      | $1692143.85   | 0.05%             | 2030-06-01      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| Safehold GL Holdings LLC                                           | Safehold GL Holdings LLC                                                                                                 | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2582968.34   | 0.08%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NWLS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    812917 | PA      | $821502.15    | 0.03%             | 2030-09-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| PNM Energy Transition Bond Co. I LLC                               | PNM Energy Transition Bond Co. I LLC, Series A-2                                                                         | CUSIP: 69380MAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2605000 | PA      | $2625552.62   | 0.08%             | 2048-08-15      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2023-3A, Class C                                                           | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3439576.00   | 0.11%             | 2028-09-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2348556.25   | 0.08%             | 2028-02-15      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56001 | PA      | $57493.02     | 0.00%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2887618 | PA      | $2357449.82   | 0.08%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31412QDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114080 | PA      | $116227.41    | 0.00%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    191799 | PA      | $13008.65     | 0.00%             | 2039-04-20      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-76, Class SA                                                                                           | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213140 | PA      | $2696.43      | 0.00%             | 2037-11-20      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1360474.82   | 0.04%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                                                   | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131132 | PA      | $135123.91    | 0.00%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-119                                                                                             | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21612 | PA      | $18816.43     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2                                                              | CUSIP: 17307GBP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |        38 | PA      | $34.37        | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                     | Element Fleet Management Corp.                                                                                           | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   2690000 | PA      | $2728908.78   | 0.09%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $333096.56    | 0.01%             | 2050-02-15      | Fixed         | 3.55%                 | 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        |    214617 | PA      | $213526.58    | 0.01%             | 2042-12-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                          | Goodgreen, Series 2023-1A, Class A                                                                                       | CUSIP: 38217DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JE        |   2595046 | PA      | $2438270.94   | 0.08%             | 2061-01-17      | Fixed         | 5.90%                 | Yes           |                  3 | On Loan: No      |
| KLA Corp.                                                          | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    600000 | PA      | $405290.68    | 0.01%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2023-3A, Class C                                                               | CUSIP: 36267PAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2085000 | PA      | $2104028.96   | 0.07%             | 2029-05-15      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| AstraZeneca plc                                                    | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $331212.26    | 0.01%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                              | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $361220.18    | 0.01%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9743 | PA      | $9826.38      | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    522000 | PA      | $453510.70    | 0.01%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249256.06    | 0.01%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                 | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |    316000 | PA      | $353694.90    | 0.01%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                           | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CD5<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1781778.77   | 0.06%             | 2031-05-13      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NEF4<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1050225.29   | 0.03%             | 2053-05-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| P -stla                                                            | P4 SFR                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2548000.00   | 0.08%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403DQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68138 | PA      | $68778.75     | 0.00%             | 2035-06-01      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3433295 | PA      | $2815213.90   | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    620000 | PA      | $661524.22    | 0.02%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   4585000 | PA      | $4629218.38   | 0.15%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38901 | PA      | $38905.93     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31833 | PA      | $32519.91     | 0.00%             | 2036-01-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-157, Class OP                                                                                          | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    395900 | PA      | $335869.41    | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                                        | Toronto-Dominion Bank (The)                                                                                              | CUSIP: 89115A2M3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    600000 | PA      | $610576.28    | 0.02%             | 2028-01-10      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347860 | PA      | $34491.18     | 0.00%             | 2037-10-25      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                                        | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276034 | PA      | $273576.67    | 0.01%             | 2045-03-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5318 | PA      | $5338.14      | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Canadian Pacific Railway Co.                                       | Canadian Pacific Railway Co.                                                                                             | CUSIP: 13648TAF4<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    712000 | PA      | $605514.65    | 0.02%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58707 | PA      | $55698.83     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                             | Jonah Energy ABS LLC, Series 2022-1, Class A1                                                                            | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   1419563 | PA      | $1424305.95   | 0.05%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  3 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBX9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    878000 | PA      | $891325.51    | 0.03%             | 2035-01-19      | Variable      | 6.07%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    670000 | PA      | $677694.90    | 0.02%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                          | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    755000 | PA      | $727626.72    | 0.02%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-2, Class NS                                                                                            | CUSIP: 38374DPV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    204148 | PA      | $10461.53     | 0.00%             | 2038-01-16      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117109 | PA      | $8769.85      | 0.00%             | 2036-10-15      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Banco Nacional de Panama                                           | Banco Nacional de Panama                                                                                                 | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |   1250000 | PA      | $1037812.50   | 0.03%             | 2030-08-11      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Ascension Health                                                   | Ascension Health, Series B                                                                                               | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $396409.33    | 0.01%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    375000 | PA      | $294357.66    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2024-3A, Class C                                                               | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2506185.25   | 0.08%             | 2031-02-18      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-22T1, Class A2                                                                       | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2507821 | PA      | $150277.15    | 0.00%             | 2035-06-25      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-56                                                                                              | CUSIP: 31395NWL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87624 | PA      | $76726.44     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834JH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5430000 | PA      | $2493488.09   | 0.08%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                          | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    675000 | PA      | $542929.50    | 0.02%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11265 | PA      | $11370.72     | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187297 | PA      | $184684.98    | 0.01%             | 2037-07-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                        | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                                                     | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27616 | PA      | $27413.00     | 0.00%             | 2034-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35288 | PA      | $29091.98     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21527 | PA      | $21938.50     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                         | Flagship Credit Auto Trust, Series 2022-4, Class C                                                                       | CUSIP: 33843XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5190000 | PA      | $5271770.01   | 0.17%             | 2028-10-16      | Fixed         | 7.71%                 | Yes           |                  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        |   1972330 | PA      | $2008089.28   | 0.06%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                                 | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    750000 | PA      | $726187.52    | 0.02%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| KBC Group NV                                                       | KBC Group NV                                                                                                             | CUSIP: 48241FAC8<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   1890000 | PA      | $1996220.82   | 0.06%             | 2034-09-21      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                   | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    560000 | PA      | $558217.25    | 0.02%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   1200000 | PA      | $859083.14    | 0.03%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-60, Class DZ                                                                                    | CUSIP: 31395NTE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2029313 | PA      | $2128170.52   | 0.07%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                            | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAQ3<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    240000 | PA      | $217965.46    | 0.01%             | 2054-09-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1210987.06   | 0.04%             | 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        |     16125 | PA      | $18587.25     | 0.00%             | 2031-10-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156026 | PA      | $644.06       | 0.00%             | 2038-04-20      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                                                           | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4738433.31   | 0.15%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                                          | CFIN 2022-RTL1 Issuer LLC, Class A                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1100000.00   | 0.04%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | 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        |      6610 | PA      | $6582.44      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                       | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    705000 | PA      | $688112.15    | 0.02%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    745000 | PA      | $718922.10    | 0.02%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41009 | PA      | $42488.23     | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    395000 | PA      | $382608.90    | 0.01%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2022-1A, Class A3                                                                      | CUSIP: 784033AS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132531 | PA      | $131988.63    | 0.00%             | 2029-07-20      | Fixed         | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                                         | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16701 | PA      | $15513.26     | 0.00%             | 2034-05-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                            | Pfizer Investment Enterprises Pte. Ltd.                                                                                  | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |   2060000 | PA      | $1888132.41   | 0.06%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                         | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $869858.92    | 0.03%             | 2030-06-27      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNXM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4127321 | PA      | $3790506.29   | 0.12%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134016 | PA      | $147335.90    | 0.00%             | 2034-05-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                               | Columbia Pipelines Operating Co. LLC                                                                                     | CUSIP: 19828TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2415000 | PA      | $2247299.53   | 0.07%             | 2055-02-15      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17015 | PA      | $17692.62     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12300000 | PA      | $9175031.25   | 0.30%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39676 | PA      | $40129.65     | 0.00%             | 2034-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5575000 | PA      | $5277572.69   | 0.17%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Northern Natural Gas Co.                                           | Northern Natural Gas Co.                                                                                                 | CUSIP: 665501AN2<br>LEI: 5493007M02M6CT9EXE41 | Long             | DBT              | CORP              | US        |    240000 | PA      | $222854.60    | 0.01%             | 2054-02-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                          | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                                                      | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5048924 | PA      | $4335834.51   | 0.14%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                                                    | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325278 | PA      | $3484.93      | 0.00%             | 2035-09-25      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39890 | PA      | $32072.11     | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LKGC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2449263 | PA      | $2430482.32   | 0.08%             | 2032-01-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Viterra Finance BV                                                 | Viterra Finance BV                                                                                                       | CUSIP: 92852LAB5<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |   1500000 | PA      | $1362550.74   | 0.04%             | 2031-04-21      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Essex Portfolio LP                                                 | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1714699.90   | 0.06%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10031 | PA      | $10396.14     | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Grene Energy Senio                                                 | Grene Energy Senio                                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    174327 | PA      | $147655.34    | 0.00%             | 2061-01-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Delmarva Power & Light Co.                                         | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    235000 | PA      | $184375.22    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1600000 | PA      | $1683348.30   | 0.05%             | 2029-10-19      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1120000 | PA      | $1140345.10   | 0.04%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 323, Class 300                                                                                     | CUSIP: 3132HTZ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    720835 | PA      | $642435.99    | 0.02%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                          | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    432000 | PA      | $423976.62    | 0.01%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2984000 | PA      | $1972668.90   | 0.06%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1813591 | PA      | $1734856.05   | 0.06%             | 2029-04-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Yale-New Haven Health Services Corp.                               | Yale-New Haven Health Services Corp., Series 2020                                                                        | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    780000 | PA      | $443222.70    | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                     | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CM1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    214000 | PA      | $147755.98    | 0.00%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Texas Instruments, Inc.                                            | Texas Instruments, Inc.                                                                                                  | CUSIP: 882926AA6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |   2379000 | PA      | $2100559.89   | 0.07%             | 2063-05-18      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAQ5<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1141131.86   | 0.04%             | 2029-10-30      | Variable      | 7.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40265 | PA      | $41849.68     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1160000 | PA      | $1016744.40   | 0.03%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Swiss Re Finance Luxembourg SA                                     | Swiss Re Finance Luxembourg SA                                                                                           | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    200000 | PA      | $197269.00    | 0.01%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    546776 | PA      | $549369.45    | 0.02%             | 2065-12-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36436 | PA      | $37504.31     | 0.00%             | 2033-09-01      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| Diversified ABS IX Holdings LLC                                    | Diversified ABS Holdings LLC, Series 2024-2A, Class A                                                                    | CUSIP: 260968AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2849972 | PA      | $2856241.53   | 0.09%             | 2044-09-30      | Fixed         | 6.55%                 | Yes           |                  3 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280DW6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $734600.39    | 0.02%             | 2044-03-09      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20510000 | PA      | $18684129.25  | 0.60%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                         | US Bancorp                                                                                                               | CUSIP: 91159HJQ4<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |    965000 | PA      | $986981.11    | 0.03%             | 2030-01-23      | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139188 | PA      | $11654.17     | 0.00%             | 2038-08-15      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    485000 | PA      | $474916.85    | 0.02%             | 2027-01-14      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    415000 | PA      | $327088.08    | 0.01%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals, Inc.                                    | Regeneron Pharmaceuticals, Inc.                                                                                          | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $1087969.30   | 0.04%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                                                       | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215139 | PA      | $213530.80    | 0.01%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2926000 | PA      | $2839109.24   | 0.09%             | 2028-12-20      | Variable      | 3.42%                 | 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        |    135870 | PA      | $138927.95    | 0.00%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    161764 | PA      | $12176.58     | 0.00%             | 2037-03-15      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1465382.01   | 0.05%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    659481 | PA      | $86152.62     | 0.00%             | 2037-07-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410RP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36483 | PA      | $36881.87     | 0.00%             | 2036-07-01      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14034 | PA      | $14407.39     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21972 | PA      | $22696.80     | 0.00%             | 2033-07-15      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                      | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                                                 | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1034132 | PA      | $506213.55    | 0.02%             | 2035-05-25      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967PL9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   5850000 | PA      | $5861746.45   | 0.19%             | 2035-06-11      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                     | Carvana Auto Receivables Trust, Series 2023-P3, Class A3                                                                 | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    982574 | PA      | $988975.21    | 0.03%             | 2028-08-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $639578.74    | 0.02%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25651 | PA      | $25189.52     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAX1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1240000 | PA      | $1253145.76   | 0.04%             | 2035-01-05      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2412 | PA      | $2655.78      | 0.00%             | 2029-03-15      | Floating      | 11.20%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4                               | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1625221 | PA      | $70014.51     | 0.00%             | 2035-04-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33397 | PA      | $34403.23     | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $980370.17    | 0.03%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16031 | PA      | $17213.34     | 0.00%             | 2035-06-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MFY56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21712057 | PA      | $18505612.39  | 0.60%             | 2052-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45928 | PA      | $46741.34     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26487 | PA      | $26399.47     | 0.00%             | 2041-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                                                   | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7170 | PA      | $5549.07      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    548000 | PA      | $402758.60    | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VMware LLC                                                         | VMware LLC                                                                                                               | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    550000 | PA      | $550815.18    | 0.02%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5074 | PA      | $4442.07      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400JD6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1755000 | PA      | $1541671.27   | 0.05%             | 2054-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19838 | PA      | $20626.58     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                        | Aker BP ASA                                                                                                              | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    360000 | PA      | $315076.09    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13569 | PA      | $14509.00     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    528000 | PA      | $542059.99    | 0.02%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3820946 | PA      | $3476415.84   | 0.11%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class A                               | CUSIP: 1729734K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45980 | PA      | $27194.21     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KFSY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1104417 | PA      | $1009258.07   | 0.03%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-58, Class NI                                                                                           | CUSIP: 38374LM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348019 | PA      | $35972.60     | 0.00%             | 2035-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2588528 | PA      | $2459276.80   | 0.08%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2009921 | PA      | $1751527.47   | 0.06%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32756 | PA      | $34046.25     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       922 | PA      | $916.28       | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155874 | PA      | $129561.82    | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                                                          | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   4330000 | PA      | $4355804.20   | 0.14%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34650 | PA      | $3828.39      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LLNA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $3256973.66   | 0.10%             | 2033-09-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                           | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                                                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998000 | PA      | $938485.87    | 0.03%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Royalty Pharma plc                                                 | Royalty Pharma plc                                                                                                       | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    353000 | PA      | $349688.81    | 0.01%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| PPL Capital Funding, Inc.                                          | PPL Capital Funding, Inc.                                                                                                | CUSIP: 69352PAT0<br>LEI: 549300MROK5WY0D2NU17 | Long             | DBT              | CORP              | US        |    745000 | PA      | $737529.27    | 0.02%             | 2034-09-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                        | Prologis LP                                                                                                              | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    380000 | PA      | $354625.10    | 0.01%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1492680.11   | 0.05%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H26Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    485209 | PA      | $465412.85    | 0.01%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2136, Class PG                                                                                      | CUSIP: 3133TKA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13123 | PA      | $13302.55     | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3601 | PA      | $157.37       | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                          | PG&E Recovery Funding LLC, Series A-2                                                                                    | CUSIP: 71710TAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1135000 | PA      | $1118692.02   | 0.04%             | 2042-06-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                     | Hewlett Packard Enterprise Co.                                                                                           | CUSIP: 42824CBV0<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |   2090000 | PA      | $2035020.21   | 0.07%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                                                               | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6980000 | PA      | $7028470.52   | 0.23%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-48                                                                                              | CUSIP: 31396VD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33130 | PA      | $28954.13     | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1240252 | PA      | $1201056.59   | 0.04%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 2003-2, Class Z                                                                            | CUSIP: 911760TM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1105347 | PA      | $1110055.16   | 0.04%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    135000 | PA      | $133959.92    | 0.00%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     65577 | PA      | $54770.62     | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Texas Natural Gas Securitization Finance Corp.                     | Texas Natural Gas Securitization Finance Corp., Customer Rate Relief Bonds, Series 2023A-2                               | CUSIP: 88258MAB1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1155000 | PA      | $1147574.85   | 0.04%             | 2041-04-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                           | Eastern Gas Transmission & Storage, Inc.                                                                                 | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    807000 | PA      | $570046.00    | 0.02%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                           | Tricon Residential Trust, Series 2022-SFR1, Class D                                                                      | CUSIP: 89616QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1837000 | PA      | $1803555.21   | 0.06%             | 2039-04-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481255 | PA      | $57530.52     | 0.00%             | 2041-01-25      | Floating      | 2.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142061 | PA      | $12056.56     | 0.00%             | 2038-01-15      | Floating      | 1.55%                 | 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        |    503325 | PA      | $502540.08    | 0.02%             | 2051-04-25      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2396, Class FM                                                                                      | CUSIP: 31339LJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16712 | PA      | $16700.79     | 0.00%             | 2031-12-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72157 | PA      | $74840.94     | 0.00%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88567 | PA      | $90698.82     | 0.00%             | 2035-01-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703DBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     61000 | PA      | $40365.94     | 0.00%             | 2051-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                               | Coterra Energy, Inc.                                                                                                     | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1212121.73   | 0.04%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    609000 | PA      | $408463.64    | 0.01%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                  | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    971564 | PA      | $781584.38    | 0.03%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                                      | Enel Finance International NV                                                                                            | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    770000 | PA      | $779546.37    | 0.03%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   1140000 | PA      | $1152970.81   | 0.04%             | 2028-01-05      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    939000 | PA      | $937184.50    | 0.03%             | 2026-09-12      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   7185000 | PA      | $5009924.11   | 0.16%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    815000 | PA      | $751129.76    | 0.02%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90694 | PA      | $93895.76     | 0.00%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                           | Mid-Atlantic Interstate Transmission LLC                                                                                 | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $310872.12    | 0.01%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       987 | PA      | $1004.72      | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NYM81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7500000 | PA      | $7525677.95   | 0.24%             | 2032-06-01      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KQAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5859453 | PA      | $4587841.99   | 0.15%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146714 | PA      | $138883.87    | 0.00%             | 2033-08-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                            | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    859000 | PA      | $874826.74    | 0.03%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XKR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3270172 | PA      | $3007886.89   | 0.10%             | 2051-12-01      | Fixed         | 4.00%                 | 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        |    334109 | PA      | $321847.47    | 0.01%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2113000 | PA      | $1527699.00   | 0.05%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $872584.80    | 0.03%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1670684 | PA      | $1561392.73   | 0.05%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A9                               | CUSIP: 92922FY93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    554926 | PA      | $486183.31    | 0.02%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    945000 | PA      | $935328.71    | 0.03%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                           | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    635000 | PA      | $350805.86    | 0.01%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8800000 | PA      | $4518250.00   | 0.15%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                    | CoreVest American Finance Trust, Series 2019-2, Class D                                                                  | CUSIP: 21872GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1916579.60   | 0.06%             | 2052-06-15      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-1, Class BI                                                                                     | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110826 | PA      | $8342.50      | 0.00%             | 2038-02-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                         | ANZ New Zealand Int'l Ltd.                                                                                               | CUSIP: 00182EBU2<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |   1070000 | PA      | $1099674.27   | 0.04%             | 2028-08-14      | Fixed         | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                    | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    749000 | PA      | $772016.22    | 0.02%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    317000 | PA      | $314237.61    | 0.01%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63725 | PA      | $66158.75     | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1222000 | PA      | $1245179.57   | 0.04%             | 2030-05-20      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154510 | PA      | $158300.99    | 0.01%             | 2037-02-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                            | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2583000 | PA      | $2482801.32   | 0.08%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1135000 | PA      | $1166782.50   | 0.04%             | 2031-01-14      | Variable      | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2353, Class AZ                                                                                      | CUSIP: 3133TUYS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78363 | PA      | $80442.97     | 0.00%             | 2031-09-15      | Fixed         | 6.00%                 | 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        |    207324 | PA      | $212887.95    | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cadence Design Systems, Inc.                                       | Cadence Design Systems, Inc.                                                                                             | CUSIP: 127387AN8<br>LEI: GCT7RXJOGLXPV0NXZY22 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9931.97      | 0.00%             | 2029-09-10      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                                           | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    111446 | PA      | $96503.73     | 0.00%             | 2035-02-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                          | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1080438 | PA      | $920407.65    | 0.03%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  3 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1270000 | PA      | $1256665.00   | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2005-4F, Class AP                                                                        | CUSIP: 36242DY56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2 | PA      | $2.03         | 0.00%             | 2035-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31721 | PA      | $32847.45     | 0.00%             | 2036-11-01      | Variable      | 7.26%                 | No            |                  2 | On Loan: No      |
| Intuit, Inc.                                                       | Intuit, Inc.                                                                                                             | CUSIP: 46124HAH9<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |    380000 | PA      | $367769.38    | 0.01%             | 2053-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7968504 | PA      | $7330526.65   | 0.24%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140NV7D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4443000 | PA      | $4452803.57   | 0.14%             | 2031-08-01      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                                                       | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    633132 | PA      | $266562.88    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-22, Class UD                                                                                    | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386090 | PA      | $378793.10    | 0.01%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1521171.95   | 0.05%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    575000 | PA      | $505724.97    | 0.02%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1170267.70   | 0.04%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124321 | PA      | $108618.66    | 0.00%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1362388.91   | 0.04%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115798 | PA      | $119798.32    | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7468658.64   | 0.24%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    570000 | PA      | $598152.39    | 0.02%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJ7M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4235266 | PA      | $3489197.96   | 0.11%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133BCYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3813253 | PA      | $3279353.11   | 0.11%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    379000 | PA      | $294503.39    | 0.01%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1                                                                | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2321 | PA      | $1157.03      | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  3 | On Loan: No      |
| CaixaBank SA                                                       | CaixaBank SA                                                                                                             | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   3480000 | PA      | $3560267.21   | 0.11%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DBA7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $917008.39    | 0.03%             | 2027-09-18      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1065000 | PA      | $1064127.36   | 0.03%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| KBC Group NV                                                       | KBC Group NV                                                                                                             | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    200000 | PA      | $200687.39    | 0.01%             | 2030-10-16      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                         | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBL1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294219.30    | 0.01%             | 2032-05-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L5RM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1498029 | PA      | $1489936.27   | 0.05%             | 2025-12-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                                 | F&G Global Funding                                                                                                       | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1121474.07   | 0.04%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60226 | PA      | $5635.65      | 0.00%             | 2038-07-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                            | MPLX LP                                                                                                                  | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    520000 | PA      | $419726.91    | 0.01%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                           | PNC Financial Services Group, Inc. (The)                                                                                 | CUSIP: 693475CA1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   1160000 | PA      | $1145531.74   | 0.04%             | 2032-10-21      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292564 | PA      | $302665.83    | 0.01%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K754, Class AM                                          | CUSIP: 3137HBC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1740000 | PA      | $1779401.43   | 0.06%             | 2030-11-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51677 | PA      | $42825.19     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury Ultra Bond                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       112 | NC      | $296145.51    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XVN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5588529 | PA      | $4880619.78   | 0.16%             | 2053-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17645 | PA      | $1825.48      | 0.00%             | 2036-07-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 351, Class 7                                                                                        | CUSIP: 3136FCHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66590 | PA      | $7308.76      | 0.00%             | 2034-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    424000 | PA      | $432473.66    | 0.01%             | 2030-02-08      | Variable      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Equinix, Inc.                                                      | Equinix, Inc.                                                                                                            | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1101724.45   | 0.04%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QRRS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2421090 | PA      | $2353471.65   | 0.08%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6453 | PA      | $6708.30      | 0.00%             | 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        |    109432 | PA      | $374.65       | 0.00%             | 2039-02-16      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3622ADXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6503216 | PA      | $5873396.18   | 0.19%             | 2065-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                       | Bridge Trust, Series 2022-SFR1, Class A                                                                                  | CUSIP: 10805VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2997668 | PA      | $2964987.48   | 0.10%             | 2037-11-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    285225 | PA      | $302188.81    | 0.01%             | 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        |    310382 | PA      | $268147.01    | 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        |     14618 | PA      | $13951.04     | 0.00%             | 2033-07-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2024-SFR5, Class D                                                                    | CUSIP: 74332HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1892000 | PA      | $1721488.99   | 0.06%             | 2029-08-09      | Variable      | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2425493.52   | 0.08%             | 2029-07-15      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5167 | PA      | $5219.16      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                       | CaixaBank SA                                                                                                             | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   4960000 | PA      | $5111672.09   | 0.16%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54238 | PA      | $4283.25      | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intuit, Inc.                                                       | Intuit, Inc.                                                                                                             | CUSIP: 46124HAG1<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |   1210000 | PA      | $1237691.73   | 0.04%             | 2033-09-15      | Fixed         | 5.20%                 | 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        |    132222 | PA      | $124290.89    | 0.00%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8756271 | PA      | $7329205.36   | 0.24%             | 2033-12-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| DOC DR LLC                                                         | DOC DR LLC                                                                                                               | CUSIP: 71951QAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    505000 | PA      | $437192.48    | 0.01%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                    | Eastern Energy Gas Holdings LLC                                                                                          | CUSIP: 27636AAC6<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |    720000 | PA      | $719545.56    | 0.02%             | 2055-01-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury 10 Year Ultra Note                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       802 | NC      | $1047981.96   | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                                       | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2245734 | PA      | $1987671.40   | 0.06%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1175000 | PA      | $1181536.18   | 0.04%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2024-57, Class PT                                                                                           | CUSIP: 38384NCN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4309432 | PA      | $4155711.20   | 0.13%             | 2064-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       201 | PA      | $202.15       | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                          | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    129000 | PA      | $107324.69    | 0.00%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                        | Aker BP ASA                                                                                                              | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    660000 | PA      | $619012.76    | 0.02%             | 2034-10-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                                  | Duke Energy Corp.                                                                                                        | CUSIP: 26441CCA1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1347907.91   | 0.04%             | 2053-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                                              | Saudi Arabian Oil Co.                                                                                                    | CUSIP: 80414L2H7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |    278000 | PA      | $273558.95    | 0.01%             | 2025-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3618BDHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1361746 | PA      | $1385722.62   | 0.04%             | 2053-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                          | FHLMC Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                                                      | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2961530 | PA      | $2523178.46   | 0.08%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53050000 | PA      | $52527789.06  | 1.69%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3716146 | PA      | $3081084.98   | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                 | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |    450000 | PA      | $447593.92    | 0.01%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8AZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3026156 | PA      | $2970753.60   | 0.10%             | 2026-12-01      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74400 | PA      | $2699.67      | 0.00%             | 2038-09-20      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                        | Southern California Gas Co.                                                                                              | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1416043.69   | 0.05%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                    | Impac CMB Trust, Series 2004-7, Class 1A1                                                                                | CUSIP: 45254NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151010 | PA      | $149108.97    | 0.00%             | 2034-11-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2006-26CB, Class A9                                                                       | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840160 | PA      | $411506.75    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1495000 | PA      | $1513859.99   | 0.05%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QCG9<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |   1925000 | PA      | $1218313.73   | 0.04%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15617 | PA      | $16228.54     | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6992 | PA      | $7035.13      | 0.00%             | 2039-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2576445 | PA      | $2702914.88   | 0.09%             | 2071-08-20      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2710000 | PA      | $2807639.29   | 0.09%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  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        |     83747 | PA      | $84379.71     | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24583 | PA      | $25130.80     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                     | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A18                                                | CUSIP: 225458QQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    366900 | PA      | $374185.65    | 0.01%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Holding Co. LLC                                 | Columbia Pipelines Holding Co. LLC                                                                                       | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    481000 | PA      | $471696.43    | 0.02%             | 2031-10-01      | Fixed         | 5.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XJWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4243208 | PA      | $3649416.86   | 0.12%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11827 | PA      | $12023.36     | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                     | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    690000 | PA      | $584614.05    | 0.02%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5632528 | PA      | $4331876.11   | 0.14%             | 2062-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAV7<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1700000 | PA      | $1738660.60   | 0.06%             | 2031-04-15      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31109 | PA      | $31823.18     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2004-1, Class 30                                                                | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5979 | PA      | $4404.72      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2462, Class JG                                                                                      | CUSIP: 31392MQP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44505 | PA      | $46416.65     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HBJ3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $616737.08    | 0.02%             | 2030-01-17      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                                                               | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4228606.62   | 0.14%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35529 | PA      | $36520.76     | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                  | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAN2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $909041.43    | 0.03%             | 2045-03-06      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| AIB Group plc                                                      | AIB Group plc                                                                                                            | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |   2470000 | PA      | $2491775.42   | 0.08%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9541 | PA      | $8605.80      | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36071 | PA      | $29137.71     | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46264 | PA      | $331.12       | 0.00%             | 2033-02-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31410DVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12313 | PA      | $12521.11     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H31, Class FD                                                                                          | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211709 | PA      | $212029.24    | 0.01%             | 2062-12-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405YX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32680 | PA      | $32969.22     | 0.00%             | 2034-10-01      | Variable      | 6.56%                 | 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        |     64847 | PA      | $67059.52     | 0.00%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274459 | PA      | $17270.97     | 0.00%             | 2041-05-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    324000 | PA      | $198370.26    | 0.01%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFK6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2507952.34   | 0.08%             | 2030-01-16      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    527843 | PA      | $529131.65    | 0.02%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1483000 | PA      | $1504614.73   | 0.05%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                                          | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3840894.40   | 0.12%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMMH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8234262 | PA      | $7395214.63   | 0.24%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $320050.12    | 0.01%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                         | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599CX1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    509000 | PA      | $390021.25    | 0.01%             | 2039-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138EPR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1659084 | PA      | $1650395.86   | 0.05%             | 2026-01-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36745 | PA      | $39467.48     | 0.00%             | 2032-02-15      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                            | MVW LLC, Series 2025-1A, Class B                                                                                         | CUSIP: 627924AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4507443 | PA      | $4505448.59   | 0.15%             | 2042-09-22      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAW1<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    880000 | PA      | $876185.20    | 0.03%             | 2028-01-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16316 | PA      | $13291.75     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-10, Class XI                                                                                    | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111938 | PA      | $9615.47      | 0.00%             | 2038-03-25      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47584 | PA      | $7621.68      | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-90, Class SI                                                                                           | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223041 | PA      | $11940.89     | 0.00%             | 2034-10-20      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A                                                               | CUSIP: 22536VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4566096.45   | 0.15%             | 2034-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3256303 | PA      | $3177298.25   | 0.10%             | 2028-07-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Sierra Pacific Power Co.                                           | Sierra Pacific Power Co.                                                                                                 | CUSIP: 826418BQ7<br>LEI: QB888G5GSVGE1LD1WV84 | Long             | DBT              | CORP              | US        |   1030000 | PA      | $1000200.67   | 0.03%             | 2054-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CFIN Issuer LLC                                                    | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                              | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    791120 | PA      | $784791.03    | 0.03%             | 2026-02-16      | Variable      | 4.75%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38223 | PA      | $38459.24     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3064, Class MC                                                                                      | CUSIP: 31396ER57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2436071 | PA      | $2530777.87   | 0.08%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7723 | PA      | $7869.71      | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XW7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1207364 | PA      | $1052147.69   | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3850000 | PA      | $3569220.69   | 0.11%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4593909 | PA      | $4495612.82   | 0.14%             | 2027-04-25      | Variable      | 3.09%                 | 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        |     33956 | PA      | $34107.70     | 0.00%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N4C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1636420 | PA      | $1589156.62   | 0.05%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24768 | PA      | $20372.59     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                                | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $564906.17    | 0.02%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       291 | PA      | $291.54       | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1697 | PA      | $1874.21      | 0.00%             | 2031-12-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-40, Class SB                                                                                           | CUSIP: 38375KA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319169 | PA      | $14344.62     | 0.00%             | 2037-07-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                                           | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129303 | PA      | $132225.77    | 0.00%             | 2033-02-25      | Variable      | 6.68%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                           | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1401784.27   | 0.05%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3050000 | PA      | $2775450.53   | 0.09%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1262848 | PA      | $1167889.41   | 0.04%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BBB5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1061000 | PA      | $1092830.00   | 0.04%             | 2030-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       284 | PA      | $284.23       | 0.00%             | 2028-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                 | DT Midstream, Inc.                                                                                                       | CUSIP: 23345MAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    900000 | PA      | $827701.65    | 0.03%             | 2032-04-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                    | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBQ4<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1472625.80   | 0.05%             | 2035-06-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                                                               | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2523511.00   | 0.08%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34256 | PA      | $27875.24     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97941 | PA      | $101856.82    | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $315238.94    | 0.01%             | 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        |     50731 | PA      | $52951.34     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                       | Biogen, Inc.                                                                                                             | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |   1235000 | PA      | $1243315.03   | 0.04%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K22K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1754046 | PA      | $1516240.64   | 0.05%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXC59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    879490 | PA      | $777884.49    | 0.03%             | 2056-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    769000 | PA      | $725348.47    | 0.02%             | 2043-09-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CMH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  43900000 | PA      | $43999460.72  | 1.42%             | 2027-01-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3142GR6T2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7643790 | PA      | $7779349.57   | 0.25%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    846546 | PA      | $843822.75    | 0.03%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2003-3, Class 1A1                                                                   | CUSIP: 576434DT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41905 | PA      | $42467.19     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    690000 | PA      | $651336.60    | 0.02%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-8, Class 30                                                                   | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28854 | PA      | $18608.96     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10363300 | PA      | $6631297.52   | 0.21%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                         | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAU0<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    460000 | PA      | $428405.52    | 0.01%             | 2054-01-17      | Fixed         | 5.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3653 | PA      | $460.08       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                                             | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44252 | PA      | $43693.29     | 0.00%             | 2043-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-84, Class XM                                                                                    | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    261131 | PA      | $268212.28    | 0.01%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84534 | PA      | $72834.53     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1062526 | PA      | $1028892.94   | 0.03%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    920000 | PA      | $625113.47    | 0.02%             | 2050-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                                                | Deutsche Telekom AG                                                                                                      | CUSIP: 251566AA3<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |    335000 | PA      | $235734.53    | 0.01%             | 2050-01-21      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Uber Technologies, Inc.                                            | Uber Technologies, Inc.                                                                                                  | CUSIP: 90353TAP5<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |    720000 | PA      | $694782.14    | 0.02%             | 2034-09-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   2085000 | PA      | $2135647.26   | 0.07%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-7, Class 30                                                                   | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49322 | PA      | $49935.55     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1377657.90   | 0.04%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1217226.64   | 0.04%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                         | City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    365000 | PA      | $389906.18    | 0.01%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30263 | PA      | $30318.09     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Entergy Texas, Inc.                                                | Entergy Texas, Inc.                                                                                                      | CUSIP: 29365TAN4<br>LEI: LWXX58X12AJXISQ28573 | Long             | DBT              | CORP              | US        |    450000 | PA      | $433942.27    | 0.01%             | 2053-09-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4690000 | PA      | $4327807.43   | 0.14%             | 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        |        13 | PA      | $12.58        | 0.00%             | 2025-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136013 | PA      | $16809.91     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10580000 | PA      | $9543077.37   | 0.31%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    400000 | PA      | $315951.95    | 0.01%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H03, Class FA                                                                                          | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        57 | PA      | $56.44        | 0.00%             | 2060-08-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 9128337N4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6865000 | PA      | $5481750.14   | 0.18%             | 2030-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                                     | Enbridge, Inc.                                                                                                           | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1350000 | PA      | $1362996.21   | 0.04%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                                                       | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266796 | PA      | $28703.34     | 0.00%             | 2035-03-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| Seasoned Loans Structured Transaction Trust                        | Seasoned Loans Structured Transaction Trust, Series 2025-1, Class A1                                                     | CUSIP: 35564CTW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10655997 | PA      | $9638971.60   | 0.31%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3511, Class SA                                                                                      | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103162 | PA      | $7460.55      | 0.00%             | 2039-02-15      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95959 | PA      | $99414.56     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183236 | PA      | $27477.07     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bimbo Bakeries USA, Inc.                                           | Bimbo Bakeries USA, Inc.                                                                                                 | CUSIP: 09031WAC7<br>LEI: 549300HOXXHHT7926W92 | Long             | DBT              | CORP              | US        |    200000 | PA      | $207500.00    | 0.01%             | 2029-01-15      | Fixed         | 6.05%                 | 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        |    168074 | PA      | $152608.56    | 0.00%             | 2032-07-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2554613 | PA      | $2226253.26   | 0.07%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    100000 | PA      | $108594.65    | 0.00%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                         | Occidental Petroleum Corp.                                                                                               | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    370000 | PA      | $367541.35    | 0.01%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                        | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    170000 | PA      | $166496.88    | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| ConocoPhillips Co.                                                 | ConocoPhillips Co.                                                                                                       | CUSIP: 20826FBM7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1382977.50   | 0.04%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129292 | PA      | $21424.26     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                  | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    893000 | PA      | $805703.73    | 0.03%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7205 | PA      | $7527.48      | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                 | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    828000 | PA      | $679022.51    | 0.02%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1125632 | PA      | $1060901.68   | 0.03%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                            | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    622000 | PA      | $512580.87    | 0.02%             | 2033-02-02      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FGMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1809703 | PA      | $1763647.74   | 0.06%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FMR LLC                                                            | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    500000 | PA      | $545640.64    | 0.02%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3528 | PA      | $3566.60      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  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        |   3935000 | PA      | $3405799.16   | 0.11%             | 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        |     76252 | PA      | $76189.17     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    655000 | PA      | $581612.54    | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2279969 | PA      | $2005245.27   | 0.06%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3851848 | PA      | $3328097.04   | 0.11%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEBF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3841424 | PA      | $3289626.22   | 0.11%             | 2031-11-01      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                        | Academic Loan Funding Trust, Series 2013-1A, Class A                                                                     | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370066 | PA      | $357664.26    | 0.01%             | 2044-12-26      | Floating      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1850779.52   | 0.06%             | 2032-09-01      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0L91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5045739 | PA      | $4165664.51   | 0.13%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 165                                                      | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    440000 | PA      | $452997.91    | 0.01%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    824000 | PA      | $837279.36    | 0.03%             | 2035-01-24      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    640000 | PA      | $518645.35    | 0.02%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                                          | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103822 | PA      | $98168.65     | 0.00%             | 2028-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2                                                               | CUSIP: 31392GVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291264 | PA      | $307194.09    | 0.01%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                       | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    573852 | PA      | $510336.39    | 0.02%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  3 | On Loan: No      |
| Entergy Arkansas LLC                                               | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    415000 | PA      | $235580.09    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                              | OneMain Direct Auto Receivables Trust, Series 2019-1A, Class B                                                           | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3880000 | PA      | $3849343.34   | 0.12%             | 2028-11-14      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1040000 | PA      | $878312.50    | 0.03%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-130, Class CA                                                                                   | CUSIP: 3136A2B85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340462 | PA      | $355642.13    | 0.01%             | 2041-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                          | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1298725.74   | 0.04%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                | Brown & Brown, Inc.                                                                                                      | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1586440.73   | 0.05%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140XMUL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4345657 | PA      | $3590166.06   | 0.12%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    125000 | PA      | $100829.37    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2004-6, Class 15                                                                | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127 | PA      | $126.05       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    554000 | PA      | $546596.18    | 0.02%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40935 | PA      | $42253.18     | 0.00%             | 2036-12-01      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                     | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    450000 | PA      | $274910.30    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-18, Class Z                                                                                     | CUSIP: 31359VRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1820 | PA      | $1815.82      | 0.00%             | 2029-04-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                | Bank of New York Mellon Corp. (The)                                                                                      | CUSIP: 06406RBU0<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1087937.93   | 0.04%             | 2034-10-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25633 | PA      | $47.83        | 0.00%             | 2031-08-16      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                                                           | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5800000 | PA      | $5853094.94   | 0.19%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N1PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1673226 | PA      | $1624899.40   | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2990, Class UZ                                                                                      | CUSIP: 31395V4P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    701308 | PA      | $729203.11    | 0.02%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                                                         | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3586466.98   | 0.12%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    855000 | PA      | $857173.29    | 0.03%             | 2031-03-03      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                                                      | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231654 | PA      | $205101.33    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    994553 | PA      | $878366.20    | 0.03%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3974555.92   | 0.13%             | 2032-10-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2024-1, Class AA                                                              | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1472077 | PA      | $1462230.47   | 0.05%             | 2037-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                           | MRCD MARK Mortgage Trust, Series 2019-PARK, Class D                                                                      | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2685000 | PA      | $1978576.50   | 0.06%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                                                        | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2082456 | PA      | $2019595.14   | 0.07%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3178156 | PA      | $3171602.54   | 0.10%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119DA4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    526000 | PA      | $532359.93    | 0.02%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                                                           | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3047000 | PA      | $3113902.67   | 0.10%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    650000 | PA      | $588235.78    | 0.02%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2022-9, Class P                                                                                             | CUSIP: 38383FP56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5463610 | PA      | $4786837.17   | 0.15%             | 2051-09-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11170 | PA      | $11618.81     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3132E0FW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3161425 | PA      | $2903442.11   | 0.09%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38828 | PA      | $39530.65     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110706 | PA      | $15542.25     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76501 | PA      | $79640.63     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAM4<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    765000 | PA      | $749999.93    | 0.02%             | 2034-01-26      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                            | Volkswagen Group of America Finance LLC                                                                                  | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    378000 | PA      | $348235.18    | 0.01%             | 2027-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Evergy Missouri West Storm Funding I LLC                           | Evergy Missouri West Storm Funding I LLC, Series A-1                                                                     | CUSIP: 30037HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1582939 | PA      | $1558080.56   | 0.05%             | 2038-12-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W3D4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3895000 | PA      | $3897303.58   | 0.13%             | 2031-05-09      | Variable      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFT53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2993500 | PA      | $2677671.20   | 0.09%             | 2031-09-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617FRAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3810902 | PA      | $4026545.21   | 0.13%             | 2072-07-20      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                | Abbott Laboratories                                                                                                      | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    380000 | PA      | $371830.75    | 0.01%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                                                        | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    498152 | PA      | $491897.16    | 0.02%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $1151710.26   | 0.04%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1820000 | PA      | $1836408.34   | 0.06%             | 2034-07-21      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19028 | PA      | $19531.67     | 0.00%             | 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        |      9454 | PA      | $9674.43      | 0.00%             | 2033-09-25      | Variable      | 7.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2450, Class GZ                                                                                      | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29189 | PA      | $30764.63     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                   | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    475000 | PA      | $467933.49    | 0.02%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                                                | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    290428 | PA      | $288553.45    | 0.01%             | 2033-09-25      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    235000 | PA      | $228532.60    | 0.01%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                            | PNMAC GMSR ISSUER TRUST, Series 2022-GT1, Class A                                                                        | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3450000 | PA      | $3459974.64   | 0.11%             | 2027-05-25      | Floating      | 8.57%                 | Yes           |                  2 | On Loan: No      |
| Exelon Corp.                                                       | Exelon Corp.                                                                                                             | CUSIP: 30161NBK6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1011322.94   | 0.03%             | 2033-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2021-SFR1, Class E2                                                                         | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8600000 | PA      | $8246576.12   | 0.27%             | 2038-08-17      | Fixed         | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                          | Williams Cos., Inc. (The)                                                                                                | CUSIP: 969457CQ1<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    380000 | PA      | $369049.44    | 0.01%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3045000 | PA      | $2993921.34   | 0.10%             | 2035-03-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50991 | PA      | $3719.29      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FW Energy Asset Issuer LLC                                         | FW Energy Asset Issuer LLC                                                                                               | CUSIP: 302704AA9<br>LEI: 254900YOL2L2C8PFZR08 | Long             | ABS-O            | CORP              | US        |   3262871 | PA      | $3289172.61   | 0.11%             | 2044-08-25      | Fixed         | 7.15%                 | No            |                  3 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122EK0<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    160000 | PA      | $151939.40    | 0.00%             | 2054-02-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                              | NextEra Energy Capital Holdings, Inc.                                                                                    | CUSIP: 65339KBS8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2160000 | PA      | $2165600.82   | 0.07%             | 2025-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8914 | PA      | $9083.91      | 0.00%             | 2036-10-01      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4310772 | PA      | $3725461.24   | 0.12%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8931 | PA      | $9210.23      | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    582000 | PA      | $590083.98    | 0.02%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  29645000 | PA      | $23881595.19  | 0.77%             | 2044-05-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-42, Class SB                                                                                           | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188242 | PA      | $8567.39      | 0.00%             | 2037-07-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DYY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35707 | PA      | $35326.03     | 0.00%             | 2033-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                                         | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50237 | PA      | $49450.46     | 0.00%             | 2034-04-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-27, Class SN                                                                                    | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55956 | PA      | $5719.43      | 0.00%             | 2038-04-25      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    754348 | PA      | $37099.27     | 0.00%             | 2038-05-16      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                     | AutoZone, Inc.                                                                                                           | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    760000 | PA      | $765827.00    | 0.02%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $811046.66    | 0.03%             | 2031-04-24      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   2440000 | PA      | $2478848.34   | 0.08%             | 2036-01-09      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 89788MAN2<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    720000 | PA      | $729295.31    | 0.02%             | 2027-06-08      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3215000 | PA      | $3229439.43   | 0.10%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                 | Canadian Imperial Bank of Commerce                                                                                       | CUSIP: 13608JAA5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    630000 | PA      | $644616.79    | 0.02%             | 2029-04-08      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105551 | PA      | $6779.23      | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    719000 | PA      | $632433.01    | 0.02%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                       | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    343000 | PA      | $336067.77    | 0.01%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6802000 | PA      | $6031017.79   | 0.19%             | 2032-06-25      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71506 | PA      | $74286.68     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                                                       | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75904 | PA      | $77091.12     | 0.00%             | 2034-08-25      | Variable      | 7.21%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1                                           | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56670 | PA      | $55750.73     | 0.00%             | 2034-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Extra Space Storage LP                                             | Extra Space Storage LP                                                                                                   | CUSIP: 30225VAN7<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              | CORP              | US        |    859000 | PA      | $834499.36    | 0.03%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                      | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    665000 | PA      | $645768.98    | 0.02%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  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        |     48430 | PA      | $34818.53     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-128, Class BP                                                                                   | CUSIP: 31396PES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15423 | PA      | $15461.90     | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Diversified ABS Phase VIII LLC                                     | Diversified ABS Phase LLC, Series 2024-1A, Class A1                                                                      | CUSIP: 255123AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3249981 | PA      | $3276133.91   | 0.11%             | 2044-05-30      | Fixed         | 7.08%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2018-160, Class PA                                                                                          | CUSIP: 38381AH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    633514 | PA      | $622923.80    | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140JBHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2746356 | PA      | $2415815.31   | 0.08%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                 | Northwestern Mutual Global Funding                                                                                       | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    795000 | PA      | $735238.34    | 0.02%             | 2028-06-01      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    828398 | PA      | $840715.93    | 0.03%             | 2042-11-20      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                     | Synopsys, Inc.                                                                                                           | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1350861.43   | 0.04%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    337000 | PA      | $330727.79    | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GB37<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3048939.38   | 0.10%             | 2035-07-23      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                           | Marvell Technology, Inc.                                                                                                 | CUSIP: 573874AP9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1406557.02   | 0.05%             | 2029-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                             | Memorial Sloan-Kettering Cancer Center, Series 2015                                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    200000 | PA      | $156667.72    | 0.01%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4428115 | PA      | $3666190.66   | 0.12%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    480000 | PA      | $422634.92    | 0.01%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1450000 | PA      | $1473757.83   | 0.05%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400JH7<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    805000 | PA      | $722838.22    | 0.02%             | 2055-03-01      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    304000 | PA      | $258306.17    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                  | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    239000 | PA      | $253511.03    | 0.01%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                              | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3387707.20   | 0.11%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128278 | PA      | $131792.55    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Assets                                                      | Energy Assets                                                                                                            | CUSIP: 302704AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |   1020983 | PA      | $1028484.78   | 0.03%             | 2044-08-25      | Fixed         | 8.11%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4928, Class PB                                                                                      | CUSIP: 3137FPVS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359791 | PA      | $325078.12    | 0.01%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Porsche Innovative Lease Owner Trust                               | Porsche Innovative Lease Owner Trust, Series 2024-1A, Class A4                                                           | CUSIP: 73328AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4230000 | PA      | $4240020.02   | 0.14%             | 2030-02-20      | Fixed         | 4.66%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2024-1A, Class B                                                                       | CUSIP: 783896AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2280000 | PA      | $2343565.49   | 0.08%             | 2032-04-20      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-42, Class AO                                                                                    | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4211 | PA      | $3674.92      | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                         | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    220000 | PA      | $196723.91    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2006-A, Class 3A2                                                                  | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74927 | PA      | $67232.32     | 0.00%             | 2036-02-20      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12061 | PA      | $12396.24     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $801276.26    | 0.03%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Corning, Inc.                                                      | Corning, Inc.                                                                                                            | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   1043000 | PA      | $763502.67    | 0.02%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-3, Class CX                                | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    487808 | PA      | $75836.31     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49420 | PA      | $3510.92      | 0.00%             | 2038-03-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2225468 | PA      | $2226367.69   | 0.07%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DS6<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    426000 | PA      | $413417.03    | 0.01%             | 2043-03-02      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83443 | PA      | $70662.92     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                               | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    513000 | PA      | $436224.34    | 0.01%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KMJZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7998315 | PA      | $6246419.53   | 0.20%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CHQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38000000 | PA      | $38283515.72  | 1.23%             | 2028-07-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10785000 | PA      | $10390673.44  | 0.33%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617Y3BB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2509963 | PA      | $2607921.77   | 0.08%             | 2072-02-20      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58233 | PA      | $9956.51      | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14637 | PA      | $14448.32     | 0.00%             | 2037-02-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3074, Class BH                                                                                      | CUSIP: 31396FM83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51014 | PA      | $51589.29     | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** JPMorgan Institutional Trust

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer