# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0001752724-23-016716
**Filing Date:** 2023-1
**Character Count:** 287956
**Document Hash:** 16e405bbd042656d3614fe36fff59a5b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016716.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016716

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230228

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 23563091

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

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

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

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

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

## Series and Classes Contracts Data

### JPMorgan Limited Duration Bond Fund (Series ID: S000003492)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009662 | Class I      | HLGFX           |
| C000009663 | Class A      | ONUAX           |
| C000009665 | Class C      | OGUCX           |
| C000009666 | Class R6     | JUSUX           |

## Nport-Ex

**JPMorgan Limited Duration Bond Fund**

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

**(Unaudited)** 

---

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

---

------

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

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE** <br>**($000)**<br>|
| **Asset-Backed Securities — 41.6%** | **Asset-Backed Securities — 41.6%** | **Asset-Backed Securities — 41.6%** |
| &nbsp;&nbsp;&nbsp; ACC Auto Trust Series 2021-A, Class A, 1.08%, 4/15/2027 (a) | 647 | 636 |
| &nbsp;&nbsp;&nbsp; ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 4.77%, 12/18/2037 (a) (b) | 1373 | 1332 |
| &nbsp;&nbsp;&nbsp; American Credit Acceptance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 0.68%, 5/13/2025 (a) | 14 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 0.45%, 9/15/2025 (a) | 649 | 647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A, 2.66%, 2/13/2026 (a) | 1957 | 1937 |
| &nbsp;&nbsp;&nbsp; American Express Credit Account Master Trust Series 2018-5, Class A, 4.22%, 12/15/2025 (b) | 10000 | 9996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2003-7, Class M1, 4.81%, 8/25/2033 ‡ <br> (b)<br>| 45 | 44 |
| &nbsp;&nbsp;&nbsp; Amortizing Residential Collateral Trust Series 2002-BC9, Class M1, 5.69%, 12/25/2032 ‡ (b) | 1340 | 1225 |
| &nbsp;&nbsp;&nbsp; AMRESCO Residential Securities Corp. Mortgage Loan Trust Series 1998-3, Class M1A, 4.67%, 9/25/2028 ‡ (b) | 7 | 7 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a) | 7104 | 6359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3434 |
| &nbsp;&nbsp;&nbsp; Amur Equipment Finance Receivables VIII LLC Series 2020-1A, Class A2, 1.68%, 8/20/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp; Apidos CLO (Cayman Islands) Series 2019-31A, Class A1R, 5.18%, 4/15/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4256 |
| &nbsp;&nbsp;&nbsp; Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC Series 2019-3A, Class A, 2.36%, 3/20/2026 (a) | &nbsp;&nbsp;&nbsp; 10490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9738 |
| &nbsp;&nbsp;&nbsp; BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3239 |
| &nbsp;&nbsp;&nbsp; Ballyrock CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1R, 5.25%, 10/20/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, 5.11%, 7/15/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6257 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities I Trust Series 2005-HE1, Class M2, 5.29%, 1/25/2035 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 458 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust Series 2003-SD1, Class A, 4.94%, 12/25/2033 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 451 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 421 |
| &nbsp;&nbsp;&nbsp; BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A, 3.28%, 9/26/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1490 |
| &nbsp;&nbsp;&nbsp; BSPRT Issuer Ltd. (Cayman Islands) Series 2022-FL8, Class A, 4.72%, 2/15/2037 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4757 |
| &nbsp;&nbsp;&nbsp; Business Jet Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.98%, 11/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1627 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.16%, 4/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 4.46%, 6/15/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8579 |
| &nbsp;&nbsp;&nbsp; BXG Receivables Note Trust Series 2018-A, Class A, 3.77%, 2/2/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1202 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1152 |
| &nbsp;&nbsp;&nbsp; BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 4.88%, 11/15/2037 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8840 |
| &nbsp;&nbsp;&nbsp; Capital One Multi-Asset Execution Trust Series 2022-A1, Class A1, 2.80%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5005 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4782 |
| &nbsp;&nbsp;&nbsp; CarMax Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class A3, 0.62%, 3/17/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1328 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class A3, 0.50%, 8/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1966 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1903 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 3.49%, 2/16/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4588 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-P1, Class A3, 0.44%, 6/9/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-P1, Class A4, 0.61%, 10/8/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2047 |
| &nbsp;&nbsp;&nbsp; Centex Home Equity Loan Trust Series 2002-A, Class MV1, 4.89%, 1/25/2032 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp; CF Hippolyta Issuer LLC Series 2020-1, Class A1, 1.69%, 7/15/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2076 |
| &nbsp;&nbsp;&nbsp; CNH Equipment Trust Series 2019-C, Class A3, 2.01%, 12/16/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 911 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 3.32%, 3/15/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A, 3.38%, 5/15/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class A, 1.17%, 12/15/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4716 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4131 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Countrywide Asset-Backed Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-BC2, Class 2A1, 4.64%, 6/25/2033 ‡ (b) | 287 | 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S1, Class M2, 5.58%, 2/25/2035 ‡ (c) | 15 | 15 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-D, Class A, 0.61%, 10/15/2025 (a) | 2132 | 2103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class A, 4.18%, 4/15/2030 (a) | 7569 | 7486 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A, 1.37%, 7/16/2029 (a) | 5585 | 5519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A, 1.24%, 10/15/2029 (a) | 9845 | 9580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 0.96%, 2/15/2030 (a) | 5580 | 5332 |
| &nbsp;&nbsp;&nbsp; Diamond Resorts Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 3.70%, 1/21/2031 (a) | 347 | 339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 2.89%, 2/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1851 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 675 |
| &nbsp;&nbsp;&nbsp; DLLST LLC Series 2022-1A, Class A3, 3.40%, 1/21/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4375 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class B, 0.91%, 12/16/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 822 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 0.41%, 3/17/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 504 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A, 0.33%, 4/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 2.88%, 6/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 0.84%, 10/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1242 |
| &nbsp;&nbsp;&nbsp; Elmwood CLO V Ltd. (Cayman Islands) Series 2020-2A, Class AR, 5.39%, 10/20/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7224 |
| &nbsp;&nbsp;&nbsp; Enterprise Fleet Financing LLC Series 2022-1, Class A2, 3.03%, 1/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3968 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 0.57%, 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 1810 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A3, 4.21%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5942 |
| &nbsp;&nbsp;&nbsp; First Franklin Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-FF1, Class M1, 5.09%, 4/25/2032 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-FF4, Class M1, 5.62%, 2/25/2033 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 578 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-FFH1, Class M2, 6.67%, 9/25/2033 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-FF8, Class M4, 5.65%, 10/25/2034 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 181 |
| &nbsp;&nbsp;&nbsp; First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 525 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class A, 1.34%, 8/17/2037 (a) | &nbsp;&nbsp;&nbsp; 12604 | &nbsp;&nbsp;&nbsp;&nbsp; 11246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6961 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5960 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust Series 2020-4, Class A, 0.53%, 4/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp; FREED ABS Trust Series 2022-3FP, Class A, 4.50%, 8/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2492 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2478 |
| &nbsp;&nbsp;&nbsp; Freedom Series 2021-SAVF1, 4.90%, 3/25/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2061 |
| &nbsp;&nbsp;&nbsp; Fremont Home Loan Trust Series 2005-C, Class M2, 4.78%, 7/25/2035 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 363 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 360 |
| &nbsp;&nbsp;&nbsp; FS Rialto (Cayman Islands) Series 2021-FL3, Class A, 5.14%, 11/16/2036 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5027 |
| &nbsp;&nbsp;&nbsp; Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 5.05%, 10/15/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1944 |
| &nbsp;&nbsp;&nbsp; Goodgreen (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, 3.93%, 10/15/2053 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 3.86%, 10/15/2054 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1614 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1501 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-2A, Class A, 3.26%, 10/15/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1257 |
| &nbsp;&nbsp;&nbsp; GreenPoint Mortgage Funding Trust Series 2005-HE3, Class A, 4.06%, 9/15/2030 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp; HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 919 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 848 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-AA, Class A, 3.54%, 2/25/2032 (a) | 522 | 505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A, 4.30%, 1/25/2037 (a) | 2495 | 2396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 2.74%, 2/25/2039 (a) | 1104 | 1037 |
| &nbsp;&nbsp;&nbsp; Hyundai Auto Lease Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 0.61%, 10/15/2025 (a) | 1475 | 1431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 0.62%, 3/16/2026 (a) | 4635 | 4383 |
| &nbsp;&nbsp;&nbsp; LCM Ltd. (Cayman Islands) Series 29A, Class AR, 5.15%, 4/15/2031 (a) (b) | 5000 | 4863 |
| &nbsp;&nbsp;&nbsp; Lendingpoint Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | 4626 | 4509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class A, 6.56%, 2/15/2030 (a) | 5681 | 5651 |
| &nbsp;&nbsp;&nbsp; LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (a) | 3076 | 3028 |
| &nbsp;&nbsp;&nbsp; Lendmark Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.78%, 4/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1611 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1559 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 5.12%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2901 |
| &nbsp;&nbsp;&nbsp; LP LMS Asset Securitization Trust Series 2021-2A, Class A, 1.75%, 1/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2098 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2024 |
| &nbsp;&nbsp;&nbsp; Mariner Finance Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 2.19%, 8/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2561 |
| &nbsp;&nbsp;&nbsp; Marlin Receivables LLC Series 2022-1A, Class A2, 4.53%, 9/20/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4886 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6046 |
| &nbsp;&nbsp;&nbsp; MF1 Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FL7, Class A, 5.02%, 10/16/2036 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL8, Class A, 4.77%, 2/19/2037 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4782 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital I, Inc. Trust Series 2005-WMC4, Class M5, 5.02%, 4/25/2035 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 5.21%, 7/20/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4334 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust Series 2003-5, Class AII, 3.99%, 11/25/2033 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp; New Residential Advance Receivables Trust Advance Receivables Backed Series 2020-T1, Class AT1, 1.43%, 8/15/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9149 |
| &nbsp;&nbsp;&nbsp; OCP CLO Ltd. (Cayman Islands) Series 2015-9A, Class A1R2, 5.11%, 1/15/2033 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4875 |
| &nbsp;&nbsp;&nbsp; OneMain Financial Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 3.84%, 5/14/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2407 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1, 1.55%, 6/16/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4220 |
| &nbsp;&nbsp;&nbsp; Oportun Issuance Trust Series 2022-A, Class A, 5.05%, 6/9/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4811 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Debt Selection Trust Series 2021-3, Class A, 1.15%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1681 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1, 5.04%, 7/20/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2617 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1, 4.88%, 10/15/2029 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4154 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1, 5.13%, 10/15/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4798 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4717 |
| &nbsp;&nbsp;&nbsp; PFP Ltd. (Cayman Islands) Series 2021-7, Class A, 4.73%, 4/14/2038 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 513 |
| &nbsp;&nbsp;&nbsp; PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2939 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2716 |
| &nbsp;&nbsp;&nbsp; Progress Residential |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class A, 1.05%, 4/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR4, Class A, 1.56%, 5/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4315 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR4, Class A, 2.69%, 10/17/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class A, 2.08%, 6/17/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp; 10987 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9453 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (a) | 4489 | 3838 |
| &nbsp;&nbsp;&nbsp; RASC Trust Series 2003-KS4, Class MI2, 5.01%, 6/25/2033 ‡ (c) | 523 | 400 |
| &nbsp;&nbsp;&nbsp; Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (a) | 2750 | 2520 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class A2, 3.98%, 1/15/2025 | 5880 | 5837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6, Class A2, 4.37%, 5/15/2025 | 4250 | 4225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A2, 2.12%, 10/15/2026 | 2434 | 2422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class A3, 4.14%, 2/16/2027 | 7340 | 7146 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a) | 5900 | 5956 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.59%, 5/20/2036 (a) | 571 | 548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A, 1.33%, 7/20/2037 (a) | 807 | 757 |
| &nbsp;&nbsp;&nbsp; SoFi Professional Loan Program LLC Series 2016-B, Class A1, 5.22%, 6/25/2033 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp; SoFi Professional Loan Program Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class AFX, 1.14%, 2/15/2047 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3492 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-B, Class A2FX, 3.34%, 8/25/2047 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1132 |
| &nbsp;&nbsp;&nbsp; Structured Asset Investment Loan Trust Series 2003-BC2, Class A3, 4.74%, 4/25/2033 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 5.42%, 7/23/2033 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4863 |
| &nbsp;&nbsp;&nbsp; Tesla Auto Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class A3, 0.68%, 12/20/2023 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A3, 0.56%, 3/20/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A4, 0.63%, 9/22/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2497 |
| &nbsp;&nbsp;&nbsp; Toyota Auto Receivables Owner Trust Series 2020-C, Class A4, 0.57%, 10/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5039 |
| &nbsp;&nbsp;&nbsp; Tricon American Homes Series 2020-SFR1, Class A, 1.50%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5988 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5148 |
| &nbsp;&nbsp;&nbsp; Tricon American Homes Trust Series 2019-SFR1, Class A, 2.75%, 3/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3276 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2989 |
| &nbsp;&nbsp;&nbsp; Upstart Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 0.84%, 9/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2095 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4083 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4000 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3860 |
| &nbsp;&nbsp;&nbsp; VCAT LLC Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1001 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 955 |
| &nbsp;&nbsp;&nbsp; Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.39%, 1/22/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1514 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1503 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1643 |
| &nbsp;&nbsp;&nbsp; VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1616 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1430 |
| &nbsp;&nbsp;&nbsp; VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 5263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4712 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4362 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3860 |
| &nbsp;&nbsp;&nbsp; VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 1460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1288 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 ‡ (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 2393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2229 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 3246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2889 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 4193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3739 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1267 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1231 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2A, 0.39%, 10/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 558 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A2, 5.24%, 7/15/2025 (a) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9931 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A3, 3.75%, 4/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5206 |
| &nbsp;&nbsp;&nbsp; World Omni Auto Receivables Trust Series 2022-B, Class A3, 3.25%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8426 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; World Omni Select Auto Trust Series 2020-A, Class B, 0.84%, 6/15/2026 | 4750 | 4575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $500,653)<br>|  | &nbsp;&nbsp;&nbsp; 473616 |
| **Collateralized Mortgage Obligations — 24.2%** | **Collateralized Mortgage Obligations — 24.2%** | **Collateralized Mortgage Obligations — 24.2%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-J4, Class 1A6, 5.40%, 6/25/2034 (c) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-33, Class 3A3, 3.37%, 12/25/2034 (b) | 120 | 108 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust Series 2006-1, Class 2A1, 5.50%, 1/25/2036 | 103 | 87 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2004-D, Class 2A2, 3.05%, 5/25/2034 (b) | 97 | 90 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities I Trust Series 2004-AC6, Class M1, 5.05%, 11/25/2034 ‡ (b) | 124 | 25 |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1M1, 4.27%, 10/25/2041 ‡ (a) (b) | 1554 | 1538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1M1, 4.37%, 12/25/2041 ‡ (a) (b) | 5409 | 5301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1M1, 4.52%, 12/25/2041 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2934 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R06, Class 1M1, 6.27%, 5/25/2042 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3505 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M1, 6.50%, 6/25/2042 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R08, Class 1M1, 6.07%, 7/25/2042 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1867 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A1, 5.00%, 7/25/2020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5, Class 4A1, 6.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24, Class 2A4, 3.66%, 10/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 182 |
| &nbsp;&nbsp;&nbsp; Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 4.29%, 2/25/2020 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; FHLMC STACR REMIC Trust Series 2021-DNA3, Class M1, 4.27%, 10/25/2033 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3373 |
| &nbsp;&nbsp;&nbsp; FHLMC Structured Agency Credit Risk Debt Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-CS03, Class M1, 4.02%, 10/25/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA2, Class M1, 4.32%, 8/25/2033 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 712 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1508, Class KA, 1.63%, 5/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1689, Class M, PO, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2033, Class PR, PO, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1974, Class ZA, 7.00%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3737, Class DG, 5.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4120, Class KI, IO, 3.00%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 984 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5000, Class CB, 1.25%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 5292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3300, Class FA, 4.17%, 8/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3085, Class VS, IF, 13.23%, 12/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4867, Class WF, 3.12%, 4/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4350, Class AF, 3.23%, 12/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2261 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4350, Class FK, 3.12%, 6/15/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4515, Class FA, 3.21%, 8/15/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4350, Class KF, 2.58%, 1/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4448, Class TF, 3.27%, 5/15/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2785 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4480, Class FM, 2.69%, 6/15/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4457, Class KF, 3.03%, 10/15/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4363, Class FA, 3.03%, 9/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4413, Class WF, 3.02%, 10/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4559, Class AF, 3.52%, 3/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1373 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4074, Class FE, 4.27%, 7/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1542 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1509 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class F, 4.24%, 1/15/2043 (b) | 3855 | 3751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4161, Class YF, 4.24%, 2/15/2043 (b) | 2864 | 2788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4281, Class FB, 4.42%, 12/15/2043 (b) | 2028 | 1989 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4606, Class FL, 4.37%, 12/15/2044 (b) | 4209 | 4112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4594, Class GN, 2.50%, 2/15/2045 | 2024 | 1822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5072, Class QC, 1.00%, 10/25/2050 | 5695 | 4625 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 343, Class F4, 3.32%, 10/15/2037 (b) | 2301 | 2276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 328, Class S4, IF, IO, 1.82%, 2/15/2038 (b) | 4158 | 158 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 1A, PO, 9/25/2042 | 39 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 4A, 3.77%, 2/25/2043 (b) | 910 | 830 |
| &nbsp;&nbsp;&nbsp; First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.24%, 12/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp; Flagstar Mortgage Trust Series 2019-2, Class A2, 3.50%, 12/25/2049 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1588 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1411 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan Series 2004-W2, Class 4A, 3.48%, 2/25/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T6, Class A4, 4.50%, 3/25/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-T8, Class A1, 7.50%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 148 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G94-9, Class PJ, 6.50%, 8/17/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-43, Class YH, 2.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 890 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-17, Class BF, 4.37%, 1/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3, Class SB, IF, IO, 2.68%, 7/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class HZ, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-124, Class FC, 4.37%, 1/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-23, Class FA, 3.42%, 10/25/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9422 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-38, Class PA, 2.00%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class HF, 4.22%, 10/25/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-93, Class ME, 2.50%, 1/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-13, Class FA, 4.60%, 2/25/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5416 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-31, Class FB, 4.57%, 4/25/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4402 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-23, Class KJ, 2.25%, 5/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1907 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-119, Class FB, 4.37%, 11/25/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2914 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-139, Class JA, 3.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-6, Class FL, 4.42%, 2/25/2043 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-49, Class AF, 3.33%, 8/25/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-42, Class BF, 3.44%, 6/25/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-25, Class LA, 3.00%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 8046 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-33, Class JA, 3.00%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2846 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2637 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-91, Class AF, 3.09%, 12/25/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-58, Class SA, IO, 1.33%, 8/25/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-108, Class PA, 3.00%, 6/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-104, Class LA, 3.00%, 11/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-38, Class PC, 3.00%, 2/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 2689 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-77, Class FP, 4.57%, 1/25/2050 (b) | &nbsp;&nbsp;&nbsp; 10333 | &nbsp;&nbsp;&nbsp;&nbsp; 10083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-66, Class WF, 3.30%, 10/25/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1329 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 5A, 3.62%, 10/25/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W15, Class 3A, 4.03%, 12/25/2042 (b) | 489 | 455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.31%, 12/25/2042 (b) | 125 | 121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | 168 | 171 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-158, Class EB, 4.00%, 12/20/2026 | 2358 | 2304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-166, Class GP, 3.00%, 4/20/2039 | 472 | 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-61, Class FM, 4.29%, 5/16/2042 (b) | 3796 | 3753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H21, Class FA, 3.64%, 7/20/2062 (b) | 1370 | 1355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 3.66%, 10/20/2062 (b) | 1509 | 1496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H16, Class FA, 3.68%, 7/20/2063 (b) | 4248 | 4213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H07, Class FC, 3.74%, 5/20/2064 (b) | 9597 | 9485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H11, Class JA, 3.64%, 6/20/2064 (b) | 2727 | 2692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H17, Class FM, 3.11%, 8/20/2064 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H03, Class FD, 2.93%, 1/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H04, Class FL, 3.61%, 2/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7091 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7003 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FJ, 3.57%, 5/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5898 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H14, Class FB, 3.57%, 5/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8641 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8571 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FA, 3.62%, 5/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FB, 3.74%, 6/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7071 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H19, Class FN, 3.58%, 7/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7906 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7792 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H23, Class TA, 3.61%, 9/20/2065 (b) | &nbsp;&nbsp;&nbsp; 10038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9897 |
| &nbsp;&nbsp;&nbsp; GSAA Trust Series 2004-CW1, Class 1A1, 5.50%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 344 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust Series 2004-10F, Class 7A1, 5.50%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 1A2, 4.82%, 10/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class A1, 4.68%, 8/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp; IndyMac INDA Mortgage Loan Trust Series 2007-AR1, Class 1A1, 3.01%, 3/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust Series 2003-A1, Class 1A1, 2.92%, 10/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust Series 2020-RTL1, Class A1, 3.23%, 10/25/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 4.03%, 4/21/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 3A7B, 6.55%, 11/21/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp; MASTR Seasoned Securitization Trust Series 2003-1, Class 3A2, 4.44%, 2/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp; Mellon Residential Funding Corp. Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-TBC1, Class B1, 4.88%, 9/15/2030 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-TBC1, Class B2, 5.28%, 9/15/2030 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-TBC1, Class B1, 4.76%, 11/15/2031 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-D, Class A1, 4.70%, 9/25/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A3, 3.01%, 12/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp; Metlife Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A, 3.00%, 4/25/2055 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, 3.75%, 3/25/2057 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1954 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1828 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Dean Witter Capital I, Inc. Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A4, 3.12%, 3/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class B1, 3.12%, 3/25/2033 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 4A, 5.65%, 4/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 645 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5AR, Class 3A3, 3.33%, 7/25/2034 (b) | 89 | 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-5AR, Class 3A5, 3.33%, 7/25/2034 (b) | 500 | 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-11AR, Class 1A2A, 4.35%, 1/25/2035 (b) | 203 | 179 |
| &nbsp;&nbsp;&nbsp; MRA Issuance Trust Series 2021-EBO2, Class A, 4.35%, 4/5/2023 (a) (b) | 2888 | 2769 |
| &nbsp;&nbsp;&nbsp; MRFC Mortgage Pass-Through Trust Series 2002-TBC2, Class B1, 4.73%, 8/15/2032 ‡ (b) | 46 | 38 |
| &nbsp;&nbsp;&nbsp; NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3, Class AF, 4.49%, 2/25/2035 (a) (b) | 587 | 510 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust Series 2018-4A, Class A1S, 4.77%, 1/25/2048 (a) (b) | 1467 | 1405 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, Class A1, 5.50%, 8/25/2033 (c) | 167 | 162 |
| &nbsp;&nbsp;&nbsp; Prime Mortgage Trust Series 2005-2, Class 2A1, 6.07%, 10/25/2032 (b) | 204 | 198 |
| &nbsp;&nbsp;&nbsp; PRPM LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-6, Class A1, 2.36%, 11/25/2025 (a) (c) | 2198 | 2009 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (c) | 1406 | 1293 |
| &nbsp;&nbsp;&nbsp; RFMSI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-SA2, Class 2A2, 3.66%, 6/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 343 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA4, Class 2A1, 5.16%, 11/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust Series 2020-1, Class M55G, 3.00%, 8/25/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 7794 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7168 |
| &nbsp;&nbsp;&nbsp; Sequoia Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 11, Class A, 4.84%, 12/20/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-3, Class A2, 3.45%, 7/20/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-11, Class A2, 5.76%, 12/20/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust Series 2004-AR1, Class 1A1, 4.64%, 3/19/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments Trust Series 2002-AR2, Class A3, 4.69%, 7/19/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp; Structured Asset Securities Corp. Mortgage Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-24A, Class 2A, 3.78%, 7/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-40A, Class 4A, 3.46%, 1/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust Series 2004-4, Class 5A, 2.51%, 12/25/2044 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1331 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust Series 2018-4, Class A1, 3.00%, 6/25/2058 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3187 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2898 |
| &nbsp;&nbsp;&nbsp; Two Harbors Series 2019-VF1, Class A, IO, 4.00%, 2/8/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7500 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 3.10%, 6/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR11, Class A, 4.14%, 10/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $286,178)<br>|  | &nbsp;&nbsp;&nbsp; 275940 |
| **Commercial Mortgage-Backed Securities — 10.2%** | **Commercial Mortgage-Backed Securities — 10.2%** | **Commercial Mortgage-Backed Securities — 10.2%** |
| &nbsp;&nbsp;&nbsp; 20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3291 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3199 |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-200P, Class A, 3.22%, 4/14/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-DSNY, Class A, 4.72%, 9/15/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5870 |
| &nbsp;&nbsp;&nbsp; BANK Series 2021-BN35, Class A2, 1.87%, 6/15/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 2650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2342 |
| &nbsp;&nbsp;&nbsp; Bayview Commercial Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class A2, 4.67%, 1/25/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2A, Class A2, 4.57%, 8/25/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2A, Class M1, 4.69%, 8/25/2035 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3, Class A2, 4.33%, 7/25/2037 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 419 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; BBCMS Mortgage Trust Series 2020-C7, Class A2, 2.02%, 4/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 923 |
| &nbsp;&nbsp;&nbsp; BBCMS Trust Series 2015-VFM, Class A1, 2.47%, 3/10/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1076 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 997 |
| &nbsp;&nbsp;&nbsp; BHMS Series 2018-ATLS, Class A, 5.13%, 7/15/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5753 |
| &nbsp;&nbsp;&nbsp; BMO MORTGAGE TRUST Series 2022-C3, Class A1, 5.43%, 9/15/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3779 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; BPR Trust Series 2021-KEN, Class A, 5.12%, 2/15/2029 (a) (b) | 2115 | 2053 |
| &nbsp;&nbsp;&nbsp; BX Series 2021-MFM1, Class A, 4.57%, 1/15/2034 (a) (b) | 4000 | 3863 |
| &nbsp;&nbsp;&nbsp; BX Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BXMF, Class A, 4.51%, 10/15/2026 (a) (b) | 8000 | 7590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AJV, 4.68%, 2/15/2036 (a) (b) | 6500 | 6116 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust Series 2020-CBM, Class A1, 2.31%, 2/10/2037 (a) (b) | 12200 | 11118 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 5.55%, 1/25/2051 (a) (b) | 181 | 169 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KL3W, Class AFLW, 4.25%, 8/25/2025 (b) | 9700 | 9609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K086, Class A1, 3.67%, 12/25/2027 | 12 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q007, Class APT2, 3.31%, 10/25/2047 (b) | 1125 | 1085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series Q013, Class APT1, 1.39%, 5/25/2050 (b) | 3586 | 3393 |
| &nbsp;&nbsp;&nbsp; ILPT Commercial Mortgage Trust Series 2022-LPF2, Class A, 6.04%, 10/15/2039 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2977 |
| &nbsp;&nbsp;&nbsp; Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4678 |
| &nbsp;&nbsp;&nbsp; INTOWN Mortgage Trust Series 2022-STAY, Class A, 6.28%, 8/15/2039 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5940 |
| &nbsp;&nbsp;&nbsp; KKR Industrial Portfolio Trust Series 2021-KDIP, Class A, 4.43%, 12/15/2037 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 996 |
| &nbsp;&nbsp;&nbsp; One Bryant Park Trust Series 2019-OBP, Class A, 2.52%, 9/15/2054 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4108 |
| &nbsp;&nbsp;&nbsp; One Market Plaza Trust Series 2017-1MKT, Class A, 3.61%, 2/10/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4799 |
| &nbsp;&nbsp;&nbsp; ONE Mortgage Trust Series 2021-PARK, Class A, 4.61%, 3/15/2036 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6668 |
| &nbsp;&nbsp;&nbsp; SMR Mortgage Trust Series 2022-IND, Class A, 5.44%, 2/15/2039 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7717 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7241 |
| &nbsp;&nbsp;&nbsp; STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 5.53%, 11/15/2036 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2182 |
| &nbsp;&nbsp;&nbsp; UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SAVE, Class A, 5.02%, 2/15/2040 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3427 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3198 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C58, Class A1, 0.55%, 7/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $122,415)<br>|  | &nbsp;&nbsp;&nbsp; 115906 |
| **Corporate Bonds — 9.2%** | **Corporate Bonds — 9.2%** | **Corporate Bonds — 9.2%** |
| **Automobiles — 0.2%** | **Automobiles — 0.2%** | **Automobiles — 0.2%** |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America 1.30%, 1/8/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2574 |
| **Banks — 2.7%** | **Banks — 2.7%** | **Banks — 2.7%** |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) 2.75%, 5/28/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1879 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp. (ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1724 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1722 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, <br> 9/16/2026 (a) (d)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1901 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5620 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) (ICE LIBOR USD 3 Month + 0.66%), 3.91%, 9/13/2023 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3003 |
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) (SOFRINDX + 0.30%), 4.12%, 1/12/2024 (d) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9943 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) 0.95%, 1/12/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2557 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp. 1.20%, 8/5/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3630 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 30255 |
| **Consumer Finance — 2.2%** | **Consumer Finance — 2.2%** | **Consumer Finance — 2.2%** |
| &nbsp;&nbsp;&nbsp; American Express Co. (SOFR + 0.93%), 4.76%, 3/4/2025 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5001 |
| &nbsp;&nbsp;&nbsp; American Honda Finance Corp. (ICE LIBOR USD 3 Month + 0.28%), 4.20%, 1/12/2024 (d) | &nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9972 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp. (SOFR + 1.37%), 4.17%, 5/9/2025 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4864 |
| &nbsp;&nbsp;&nbsp; Toyota Motor Credit Corp. (SOFRINDX + 0.33%), 4.15%, 1/11/2024 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4984 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 24821 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** | **Diversified Telecommunication Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; AT&T, Inc. 1.65%, 2/1/2028 | 4335 | 3721 |
| **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; Southern Power Co. 0.90%, 1/15/2026 | 1780 | 1572 |
| **Insurance — 2.3%** | **Insurance — 2.3%** | **Insurance — 2.3%** |
| &nbsp;&nbsp;&nbsp; Athene Global Funding 0.95%, 1/8/2024 (a) | 4160 | 3944 |
| &nbsp;&nbsp;&nbsp; Metropolitan Life Global Funding I (SOFR + 0.32%), 4.14%, 1/7/2024 (a) (d) | 10000 | 9932 |
| &nbsp;&nbsp;&nbsp; Principal Life Global Funding II 0.88%, 1/12/2026 (a) | 8790 | 7779 |
| &nbsp;&nbsp;&nbsp; Protective Life Global Funding 1.17%, 7/15/2025 (a) | 5190 | 4663 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 26318 |
| **Multi-Utilities — 0.5%** | **Multi-Utilities — 0.5%** | **Multi-Utilities — 0.5%** |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc. Series D, (ICE LIBOR USD 3 Month + 0.53%), 3.82%, 9/15/2023 (d) | 6000 | 5988 |
| **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** | **Oil, Gas & Consumable Fuels — 0.1%** |
| &nbsp;&nbsp;&nbsp; Phillips 66 Co. 2.45%, 12/15/2024 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1492 |
| **Personal Products — 0.4%** | **Personal Products — 0.4%** | **Personal Products — 0.4%** |
| &nbsp;&nbsp;&nbsp; GSK Consumer Healthcare Capital US LLC (SOFR + 0.89%), 4.71%, 3/24/2024 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4978 |
| **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** |
| &nbsp;&nbsp;&nbsp; Home Depot, Inc. (The) 0.90%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $110,712)<br>|  | &nbsp;&nbsp;&nbsp; 104999 |
| **Mortgage-Backed Securities — 6.8%** | **Mortgage-Backed Securities — 6.8%** | **Mortgage-Backed Securities — 6.8%** |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year Pool # C35263, 7.50%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other Pool # U49009, 3.00%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1102 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2459, 4.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2904, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4483 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA2970, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5112 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year Pool # AD1969, 4.00%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 241 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 254911, 5.00%, 10/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1338, 3.00%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 996 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1401, 3.00%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1490, 3.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1269 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1204 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 50748, 7.50%, 6/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995724, 6.00%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0588, 5.00%, 12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD9721, 5.50%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3048, 4.00%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS4592, 4.00%, 2/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 5434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5560, 4.00%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 4089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA0411, 4.00%, 9/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3902 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK0888, 4.00%, 7/1/2048 (e) | &nbsp;&nbsp; 10754 | &nbsp;&nbsp;&nbsp;&nbsp; 10355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA2489, 4.50%, 10/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP7345, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 6759 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7436, 3.00%, 9/1/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3990 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ7454, 3.00%, 12/1/2051 | 5953 | 5281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS2898, 4.50%, 9/1/2052 | 5878 | 5727 |
| &nbsp;&nbsp;&nbsp; FNMA, Other Pool # BK7908, 4.00%, 11/1/2048 | 420 | 397 |
| &nbsp;&nbsp;&nbsp; GNMA I, 15 Year Pool # 723171, 4.50%, 10/15/2024 | 126 | 126 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1429, 7.50%, 10/20/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG5224, 3.50%, 8/20/2051 | 9357 | 8599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $85,706)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 77555 |
|  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>|  |
| **Short-Term Investments — 9.0%** | **Short-Term Investments — 9.0%** | **Short-Term Investments — 9.0%** |
| **Investment Companies — 9.0%** | **Investment Companies — 9.0%** | **Investment Companies — 9.0%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (f) (g) <br>(Cost $101,974)<br>| 101967 | 101997 |
| **Total Investments — 101.0%** <br>**(Cost $1,207,638)**<br>|  | **1150013** |
| **Liabilities in Excess of Other Assets — (1.0)%** |  | **(11510)** |
| **NET ASSETS — 100.0%** |  | **1138503** |

---

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

---

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;‡ Value determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.

------

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates
 and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) 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 predetermined trigger. The interest rate shown is the current rate as of November 30, 2022.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of
 November 30, 2022.

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised
 by J.P. Morgan Investment Management Inc.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) The rate shown is the current yield as of November 30, 2022.

------

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

------

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &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 | $— | $458348 | $15268 | $473616 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 261240 | &nbsp;&nbsp; 14700 | &nbsp;&nbsp;&nbsp;&nbsp; 275940 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 113645 | &nbsp;&nbsp;&nbsp;&nbsp; 2261 | &nbsp;&nbsp;&nbsp;&nbsp; 115906 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 104999 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 104999 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77555 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 101997 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 101997 |
| **Total Investments in Securities** | $101997 | $1015787 | $32229 | $1150013 |

---

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

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2022**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Other**<sup>(a)</sup> <br>| **Balance as of** <br>**November 30,** <br>**2022**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $18742 | $(3) | $(1078) | $2 | $—(b) | $(4528) | $5987 | $— | $(3854) | $15268 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 15188 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (426) | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; (5917) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 3854 | &nbsp;&nbsp; 14700 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 | &nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (88) | &nbsp;&nbsp; 1 | &nbsp;&nbsp; 2265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (22) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2261 |
| **Total** | $34035 | $(3) | $(1592) | $4 | $4265 | $(10467) | $5987 | $— | $— | $32229 |

---

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

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

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

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

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2022, which were valued using significant unobservable inputs (level 3) amounted to $(1,594).

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at** <br>**November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted** <br>**Average) (a)** <br>|
|  | $15268 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (8.89%) |
|  |  |  | Constant Default Rate | 0.00% - 7.80% (0.96%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.55% - 24.31% (7.23%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed <br>Securities<br>| &nbsp;&nbsp; 15268 |  |  |  |

---

------

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at**<br> **November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted**<br> **Average) (a)** <br>|
|  | &nbsp;&nbsp; 14700 | Discounted Cash Flow | Constant Prepayment Rate | 0.50% - 10.00% (9.14%) |
|  |  |  | Constant Default Rate | 0.00% - 3.85% (0.01%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.69% - 25.32% (6.92%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br>Obligations<br>| &nbsp;&nbsp; 14700 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 2261 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 10.00% (0.35%) |
|  |  |  | Constant Default Rate | 0.00% - 2.20% (0.08%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 7.14% - 7.89% (7.16%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage- <br>Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 2261 |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | $32229 |  |  |  |

---

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

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

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2022**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**November 30,** <br>**2022**<br>| **Shares at** <br>**November 30,** <br>**2022**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund <br> Class Institutional Shares, 3.94% (a) (b)<br>| $126083 | $356485 | $380570 | $(4) | $3 | $101997 | 101967 | $1341 | $— |

---

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

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

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

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

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

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

- **b. EDGAR series identifier (if any):** S000003492

- **c. LEI of Series:** SJDDXG06V4PVHZQZP374

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1152844422.16

**Total Liabilities:** $11075447.48

**Net Assets:** $1141768974.68

**Delayed Delivery Securities:** $10329299.22

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2229.45067000 | **1-Year:** 86955.64558000 | **5-Year:** 113033.06166000 | **10-Year:** 49406.73244000 | **30-Year:** 0.00000000

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

- **3-Month:** 202.23231000 | **1-Year:** 2955.39820000 | **5-Year:** 1587.22842000 | **10-Year:** 63.48652000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009665 | -1.02%               | -0.47%               | 0.83%                |
| Class ID C000009662 | -0.94%               | -0.51%               | 0.89%                |
| Class ID C000009666 | -0.92%               | -0.49%               | 0.90%                |
| Class ID C000009663 | -1.06%               | -0.42%               | 0.87%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4093.13                 | $-14681326.72                              |
| Month 2  | $-955996.18              | $-7097569.56                               |
| Month 3  | $1105.28                 | $7442287.71                                |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| MRFC Mortgage Pass-Through Trust                                            | MRFC Mortgage Pass-Through Trust, Series 2002-TBC2, Class B1                                         | CUSIP: 585525GA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45568 | PA      | $37661.70     | 0.00%             | 2032-08-15      | Floating      | 4.73%                 | No            |                  3 | On Loan: No      |
| American Credit Acceptance Receivables Trust                                | American Credit Acceptance Receivables Trust, Series 2021-2, Class B                                 | CUSIP: 025291AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13876 | PA      | $13854.84     | 0.00%             | 2025-05-13      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4606, Class FL                                                                  | CUSIP: 3137BR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4208777 | PA      | $4111989.54   | 0.36%             | 2044-12-15      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                            | OneMain Financial Issuance Trust, Series 2020-1A, Class A                                            | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2407397 | PA      | $2384491.32   | 0.21%             | 2032-05-14      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                                                  | Flagship Credit Auto Trust, Series 2020-4, Class A                                                   | CUSIP: 33845XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    133265 | PA      | $133051.16    | 0.01%             | 2025-04-15      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                                      | Tesla Auto Lease Trust, Series 2021-A, Class A3                                                      | CUSIP: 88161FAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1931374.80   | 0.17%             | 2025-03-20      | Fixed         | 0.56%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H23, Class TA                                                                      | CUSIP: 38376RHJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10037745 | PA      | $9897369.68   | 0.87%             | 2065-09-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2015-91, Class AF                                                                | CUSIP: 3136AQTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3029605 | PA      | $2992804.37   | 0.26%             | 2045-12-25      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 31418XYT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177672 | PA      | $179780.56    | 0.02%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                      | Sequoia Mortgage Trust, Series 11, Class A                                                           | CUSIP: 81744AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8670 | PA      | $7712.12      | 0.00%             | 2032-12-20      | Floating      | 4.84%                 | 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        |   4361478 | PA      | $3859930.48   | 0.34%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4350, Class KF                                                                  | CUSIP: 3137BBHT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456971 | PA      | $439050.47    | 0.04%             | 2039-01-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140KTHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4497598 | PA      | $3989927.50   | 0.35%             | 2051-09-01      | Fixed         | 3.00%                 | 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        | 101966525 | NS      | $101997115.37 | 8.93%             |  |  |  | No            |                  1 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2004-J4, Class 1A6                                                    | CUSIP: 12667FFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       401 | PA      | $386.75       | 0.00%             | 2034-06-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2017-104, Class LA                                                               | CUSIP: 3136B0LR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1170024 | PA      | $1084513.19   | 0.09%             | 2047-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                                             | FREED ABS Trust, Series 2022-3FP, Class A                                                            | CUSIP: 35634EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2491564 | PA      | $2477485.10   | 0.22%             | 2029-08-20      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4281, Class FB                                                                  | CUSIP: 3137B6N64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2027917 | PA      | $1988539.13   | 0.17%             | 2043-12-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2022-R08, Class 1M1                                      | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1879794 | PA      | $1867348.52   | 0.16%             | 2042-07-25      | Floating      | 6.07%                 | Yes           |                  3 | On Loan: No      |
| Ballyrock CLO Ltd.                                                          | Ballyrock CLO Ltd., Series 2020-2A, Class A1R                                                        | CUSIP: 05875DAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3244000 | PA      | $3172726.08   | 0.28%             | 2031-10-20      | Floating      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                                           | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                                          | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4757325.00   | 0.42%             | 2037-02-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                                     | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class A                                   | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3076220 | PA      | $3028376.96   | 0.27%             | 2028-10-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4074, Class FE                                                                  | CUSIP: 3137ASJS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1542196 | PA      | $1509501.44   | 0.13%             | 2042-07-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                                    | PRET LLC, Series 2021-NPL6, Class A1                                                                 | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2938728 | PA      | $2716180.69   | 0.24%             | 2051-07-25      | Variable      | 2.49%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series G94-9, Class PJ                                                                  | CUSIP: 31359LAH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25985 | PA      | $26010.24     | 0.00%             | 2024-08-17      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2013-6, Class FL                                                                 | CUSIP: 3136ABY80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    718410 | PA      | $700290.89    | 0.06%             | 2043-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                             | CoreVest American Finance Trust, Series 2020-2, Class A                                              | CUSIP: 21872VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    759249 | PA      | $717001.45    | 0.06%             | 2052-05-15      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| ACC Auto Trust                                                              | ACC Auto Trust, Series 2021-A, Class A                                                               | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    646498 | PA      | $636322.73    | 0.06%             | 2027-04-15      | Fixed         | 1.08%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2010-166, Class GP                                                                      | CUSIP: 38377RVK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    471521 | PA      | $462105.27    | 0.04%             | 2039-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                      | Lendmark Funding Trust, Series 2019-2A, Class A                                                      | CUSIP: 52604AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1611062 | PA      | $1558619.51   | 0.14%             | 2028-04-20      | Fixed         | 2.78%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                         | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1S                                       | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1466845 | PA      | $1404624.39   | 0.12%             | 2048-01-25      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Arivo Acceptance Auto Loan Receivables Trust                                | Arivo Acceptance Auto Loan Receivables Trust, Series 2021-1A, Class A                                | CUSIP: 04047AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331755 | PA      | $319503.53    | 0.03%             | 2027-01-15      | Fixed         | 1.19%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                | Hilton Grand Vacations Trust, Series 2018-AA, Class A                                                | CUSIP: 43284BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522395 | PA      | $504651.89    | 0.04%             | 2032-02-25      | Fixed         | 3.54%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                   | Commercial Mortgage Trust, Series 2020-CBM, Class A1                                                 | CUSIP: 20049AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12200000 | PA      | $11117723.36  | 0.97%             | 2037-02-10      | Variable      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140JAFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4088735 | PA      | $4035633.41   | 0.35%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                 | Capital One Financial Corp.                                                                          | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4864171.55   | 0.43%             | 2025-05-09      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                                   | Bank of Ireland Group plc                                                                            | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1940000 | PA      | $1900853.38   | 0.17%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                | Hilton Grand Vacations Trust, Series 2020-AA, Class A                                                | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1103852 | PA      | $1036794.63   | 0.09%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, STRIPS, Series 328, Class S4                                                                  | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4157737 | PA      | $157523.33    | 0.01%             | 2038-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                       | Countrywide Asset-Backed Certificates, Series 2003-BC2, Class 2A1                                    | CUSIP: 126671YB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287390 | PA      | $278950.83    | 0.02%             | 2033-06-25      | Floating      | 4.64%                 | No            |                  3 | On Loan: No      |
| 20 Times Square Trust                                                       | 20 Times Square Trust, Series 2018-20TS, Class A                                                     | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3291000 | PA      | $3199500.99   | 0.28%             | 2035-05-15      | Variable      | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                         | Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G                                       | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7793568 | PA      | $7168056.11   | 0.63%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q007, Class APT2                    | CUSIP: 3137FHQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1124762 | PA      | $1085352.71   | 0.10%             | 2047-10-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                                  | AMSR Trust, Series 2020-SFR3, Class A                                                                | CUSIP: 001807AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7104240 | PA      | $6358617.70   | 0.56%             | 2037-09-17      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2006-16, Class HZ                                                                | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128049 | PA      | $129153.61    | 0.01%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                  | BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class A                                | CUSIP: 05526QAA4<br>LEI: 549300UQK6PJ8BF5JQ90 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3235545.60   | 0.28%             | 2033-04-14      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC UMBS, 30 Year                                                                                  | CUSIP: 3133KJJP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5916621 | PA      | $5112239.92   | 0.45%             | 2050-07-01      | Fixed         | 2.50%                 | 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        |    272118 | PA      | $247387.91    | 0.02%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| BX                                                                          | BX, Series 2021-MFM1, Class A                                                                        | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3862559.20   | 0.34%             | 2034-01-15      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding                                                             | US Auto Funding, Series 2021-1A, Class A                                                             | CUSIP: 90355EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    516452 | PA      | $514592.59    | 0.05%             | 2024-07-15      | Fixed         | 0.79%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 1974, Class ZA                                                                  | CUSIP: 3133TAN73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19765 | PA      | $20044.82     | 0.00%             | 2027-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                                                         | CNH Equipment Trust, Series 2019-C, Class A3                                                         | CUSIP: 12597CAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    920428 | PA      | $910506.60    | 0.08%             | 2024-12-16      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                                    | Sierra Timeshare Receivables Funding LLC, Series 2020-2A, Class A                                    | CUSIP: 826525AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807378 | PA      | $756698.21    | 0.07%             | 2037-07-20      | Fixed         | 1.33%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2012-119, Class FB                                                               | CUSIP: 3136A9NH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2914284 | PA      | $2830862.13   | 0.25%             | 2042-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2004-FF8, Class M4                                        | CUSIP: 32027NNT4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205363 | PA      | $181194.94    | 0.02%             | 2034-10-25      | Floating      | 5.65%                 | No            |                  3 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust, Series 2005-5, Class A1                                                             | CUSIP: 45254NPU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335096 | PA      | $301065.22    | 0.03%             | 2035-08-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2012-H29, Class FA                                                                      | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1508673 | PA      | $1496075.81   | 0.13%             | 2062-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Symphony CLO XVIII Ltd.                                                     | Symphony CLO Ltd., Series 2016-18A, Class A1RR                                                       | CUSIP: 87154GAU9<br>LEI: 549300JQYSBIW1AM8R32 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4862830.00   | 0.43%             | 2033-07-23      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                                     | CarMax Auto Owner Trust, Series 2020-3, Class A3                                                     | CUSIP: 14315FAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1327942 | PA      | $1304582.93   | 0.11%             | 2025-03-17      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                                              | KKR Industrial Portfolio Trust, Series 2021-KDIP, Class A                                            | CUSIP: 48254CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1038157 | PA      | $996476.66    | 0.09%             | 2037-12-15      | Floating      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                          | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A3                                       | CUSIP: 61748HAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88703 | PA      | $77770.37     | 0.01%             | 2034-07-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1M1                                      | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1553631 | PA      | $1538416.82   | 0.13%             | 2041-10-25      | Floating      | 4.27%                 | Yes           |                  3 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                        | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-5, Class 1A1                       | CUSIP: 225458TF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3330 | PA      | $3154.75      | 0.00%             | 2020-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                             | Palmer Square Loan Funding Ltd., Series 2021-4A, Class A1                                            | CUSIP: 69702HAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4215648 | PA      | $4153909.44   | 0.36%             | 2029-10-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140Q9XT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696937 | PA      | $683164.58    | 0.06%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                                     | Hyundai Auto Lease Securitization Trust, Series 2021-A, Class B                                      | CUSIP: 44891TAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1475000 | PA      | $1431301.80   | 0.13%             | 2025-10-15      | Fixed         | 0.61%                 | Yes           |                  2 | On Loan: No      |
| DLLST LLC                                                                   | DLLST LLC, Series 2022-1A, Class A3                                                                  | CUSIP: 23292GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4510000 | PA      | $4375262.85   | 0.38%             | 2025-01-21      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, Other                                                                              | CUSIP: 3132FNAK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1162210 | PA      | $1101954.80   | 0.10%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                  | Progress Residential Trust, Series 2020-SFR3, Class A                                                | CUSIP: 74333AAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8974226 | PA      | $8074301.80   | 0.71%             | 2027-10-17      | Fixed         | 1.29%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC UMBS, 30 Year                                                                                  | CUSIP: 3133KHWU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5303614 | PA      | $5066952.20   | 0.44%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                                     | CarMax Auto Owner Trust, Series 2022-2, Class A3                                                     | CUSIP: 14317HAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4720000 | PA      | $4588128.39   | 0.40%             | 2027-02-16      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4413, Class WF                                                                  | CUSIP: 3137BFBJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1959870 | PA      | $1889879.68   | 0.17%             | 2041-10-15      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4448, Class TF                                                                  | CUSIP: 3137BGZB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2785481 | PA      | $2694715.32   | 0.24%             | 2040-05-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA I, 30 Year                                                                                      | CUSIP: 36204SGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.08         | 0.00%             | 2024-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 31418MUN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    818904 | PA      | $839125.97    | 0.07%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables VIII LLC                                 | Amur Equipment Finance Receivables VIII LLC, Series 2020-1A, Class A2                                | CUSIP: 03237PAG8<br>LEI: 549300LUWIM31186Z163 | Long             | ABS-O            | CORP              | US        |    314196 | PA      | $312901.52    | 0.03%             | 2025-08-20      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                                 | Diamond Resorts Owner Trust, Series 2021-1A, Class A                                                 | CUSIP: 25273CAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    732462 | PA      | $674637.55    | 0.06%             | 2033-11-21      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2014-H17, Class FM                                                                      | CUSIP: 38375UNT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7208356 | PA      | $7108081.49   | 0.62%             | 2064-08-20      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| BBCMS Trust                                                                 | BBCMS Trust, Series 2015-VFM, Class A1                                                               | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1076416 | PA      | $997266.06    | 0.09%             | 2036-03-10      | Fixed         | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Centex Home Equity Loan Trust                                               | Centex Home Equity Loan Trust, Series 2002-A, Class MV1                                              | CUSIP: 152314ER7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68774 | PA      | $68630.93     | 0.01%             | 2032-01-25      | Floating      | 4.89%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 3737, Class DG                                                                  | CUSIP: 3137GAU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    162697 | PA      | $161035.21    | 0.01%             | 2030-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates         | Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class B1      | CUSIP: 585525FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89647 | PA      | $79832.48     | 0.01%             | 2031-11-15      | Floating      | 4.76%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2012-H21, Class FA                                                                      | CUSIP: 38375BVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1369881 | PA      | $1355295.24   | 0.12%             | 2062-07-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                  | AT&T, Inc.                                                                                           | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   4335000 | PA      | $3721446.69   | 0.33%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                              | FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA2, Class M1                           | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |    714142 | PA      | $712021.40    | 0.06%             | 2033-08-25      | Floating      | 4.32%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                              | Bayview Commercial Asset Trust, Series 2005-2A, Class M1                                             | CUSIP: 07324SBQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86723 | PA      | $79039.85     | 0.01%             | 2035-08-25      | Floating      | 4.69%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 5072, Class QC                                                                  | CUSIP: 3137F9AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5694549 | PA      | $4624827.63   | 0.41%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                          | MRA Issuance Trust, Series 2021-EBO2, Class A                                                        | CUSIP: 55351BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2888256 | PA      | $2769259.70   | 0.24%             | 2023-04-05      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2012-93, Class ME                                                                | CUSIP: 3136A8KR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1211199 | PA      | $1107575.47   | 0.10%             | 2042-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                       | Dominion Energy, Inc., Series D                                                                      | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   6000000 | PA      | $5987796.24   | 0.52%             | 2023-09-15      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2014-H11, Class JA                                                                      | CUSIP: 38375UKE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2726997 | PA      | $2691790.02   | 0.24%             | 2064-06-20      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 31416CD52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163812 | PA      | $172262.91    | 0.02%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140Q7N52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3901704 | PA      | $3850991.66   | 0.34%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                     | GSR Mortgage Loan Trust, Series 2004-10F, Class 7A1                                                  | CUSIP: 36242DEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86230 | PA      | $83094.51     | 0.01%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                  | Progress Residential Trust, Series 2021-SFR8, Class A                                                | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4489280 | PA      | $3838303.96   | 0.34%             | 2038-10-17      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| INTOWN Mortgage Trust                                                       | INTOWN Mortgage Trust, Series 2022-STAY, Class A                                                     | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5939854.20   | 0.52%             | 2039-08-15      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                                  | CPS Auto Receivables Trust, Series 2022-C, Class A                                                   | CUSIP: 12664DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7569470 | PA      | $7486394.26   | 0.66%             | 2030-04-15      | Fixed         | 4.18%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, 30 Year                                                                                     | CUSIP: 36202BSS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       386 | PA      | $386.33       | 0.00%             | 2023-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                        | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-5, Class 4A1                       | CUSIP: 22541SZL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    251892 | PA      | $238019.10    | 0.02%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H03, Class FD                                                                      | CUSIP: 38375UTT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4269148 | PA      | $4172950.66   | 0.37%             | 2065-01-20      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                              | Bayview Commercial Asset Trust, Series 2005-2A, Class A2                                             | CUSIP: 07324SBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434220 | PA      | $397057.45    | 0.03%             | 2035-08-25      | Floating      | 4.57%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, Other                                                                                          | CUSIP: 3140HMYE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    419807 | PA      | $396817.83    | 0.03%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, Grantor Trust, Whole Loan, Series 2002-T6, Class A4                                            | CUSIP: 31392CYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    453500 | PA      | $425052.94    | 0.04%             | 2041-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                                                     | Fremont Home Loan Trust, Series 2005-C, Class M2                                                     | CUSIP: 35729PKS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    362679 | PA      | $359892.21    | 0.03%             | 2035-07-25      | Floating      | 4.78%                 | No            |                  3 | On Loan: No      |
| DT Auto Owner Trust                                                         | DT Auto Owner Trust, Series 2022-2A, Class A                                                         | CUSIP: 23345AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3018872 | PA      | $2959444.92   | 0.26%             | 2026-06-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K086, Class A1                      | CUSIP: 3137FKSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12449 | PA      | $12120.13     | 0.00%             | 2027-12-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust                                     | Hyundai Auto Lease Securitization Trust                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4635000 | PA      | $4382564.00   | 0.38%             | 2026-03-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                               | Banc of America Funding Trust, Series 2006-1, Class 2A1                                              | CUSIP: 05949TBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102926 | PA      | $87301.85     | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                      | Alternative Loan Trust, Series 2004-33, Class 3A3                                                    | CUSIP: 12667FC52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120295 | PA      | $108137.55    | 0.01%             | 2034-12-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                             | Phillips 66 Co.                                                                                      | CUSIP: 718547AA0<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |   1585000 | PA      | $1492187.22   | 0.13%             | 2024-12-15      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2016-58, Class SA                                                                | CUSIP: 3136ATAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7356088 | PA      | $218277.19    | 0.02%             | 2046-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                                      | Tesla Auto Lease Trust, Series 2020-A, Class A3                                                      | CUSIP: 88167HAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    902112 | PA      | $898430.42    | 0.08%             | 2023-12-20      | Fixed         | 0.68%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4150, Class F                                                                   | CUSIP: 3137AY3L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3854847 | PA      | $3750921.49   | 0.33%             | 2043-01-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| BA Credit Card Trust                                                        | BA Credit Card Trust, Series 2020-A1, Class A1                                                       | CUSIP: 05522RDC9<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3239029.38   | 0.28%             | 2026-05-15      | Fixed         | 0.34%                 | No            |                  2 | On Loan: No      |
| ACRE Commercial Mortgage Ltd.                                               | ACRE Commercial Mortgage Ltd., Series 2021-FL4, Class A                                              | CUSIP: 00489TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   1373111 | PA      | $1332431.22   | 0.12%             | 2037-12-18      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                             | Palmer Square Loan Funding Ltd., Series 2022-2A, Class A1                                            | CUSIP: 69701NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4798160 | PA      | $4717435.39   | 0.41%             | 2030-10-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates        | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-40A, Class 4A      | CUSIP: 86359BEP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149930 | PA      | $136939.17    | 0.01%             | 2034-01-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                                | Metlife Securitization Trust, Series 2018-1A, Class A                                                | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1953852 | PA      | $1828347.15   | 0.16%             | 2057-03-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4515, Class FA                                                                  | CUSIP: 3137BLAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1414957 | PA      | $1396375.68   | 0.12%             | 2038-08-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FS Rialto                                                                   | FS Rialto, Series 2021-FL3, Class A                                                                  | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5290000 | PA      | $5027256.28   | 0.44%             | 2036-11-16      | Floating      | 5.14%                 | Yes           |                  2 | On Loan: No      |
| AMRESCO Residential Securities Corp. Mortgage Loan Trust                    | AMRESCO Residential Securities Corp. Mortgage Loan Trust, Series 1998-3, Class M1A                   | CUSIP: 03215PFJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6709 | PA      | $6991.10      | 0.00%             | 2028-09-25      | Floating      | 4.67%                 | No            |                  3 | On Loan: No      |
| Structured Asset Mortgage Investments Trust                                 | Structured Asset Mortgage Investments Trust, Series 2002-AR2, Class A3                               | CUSIP: 86358HNR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140864 | PA      | $87562.66     | 0.01%             | 2032-07-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                                     | Lendingpoint Asset Securitization Trust, Series 2022-B, Class A                                      | CUSIP: 52606WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4626414 | PA      | $4508896.80   | 0.39%             | 2029-10-15      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 1993-146, Class E                                                                | CUSIP: 31359DCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         0 | PA      | $0.39         | 0.00%             | 2023-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                             | Goodgreen Trust, Series 2017-2A, Class A                                                             | CUSIP: 38218QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1399319 | PA      | $1257096.10   | 0.11%             | 2053-10-15      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 5000, Class CB                                                                  | CUSIP: 3137FVEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5292337 | PA      | $4649610.01   | 0.41%             | 2035-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                        | LHOME Mortgage Trust, Series 2020-RTL1, Class A1                                                     | CUSIP: 50201TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87768 | PA      | $87767.73     | 0.01%             | 2024-10-25      | Fixed         | 3.23%                 | Yes           |                  2 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                  | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A                                | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5869763.40   | 0.51%             | 2034-09-15      | Floating      | 4.72%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 20 Year                                                                                   | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    386288 | PA      | $366624.63    | 0.03%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC Gold Pools, 30 Year                                                                            | CUSIP: 31294BZ40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        15 | PA      | $15.02        | 0.00%             | 2028-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 37 Ltd.                                  | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-37A, Class AR                                   | CUSIP: 64133GAR1<br>LEI: 5493006JG853WBZS5J73 | Long             | ABS-CBDO         | CORP              | KY        |   4425000 | PA      | $4334353.88   | 0.38%             | 2031-07-20      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                    | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M5                                 | CUSIP: 61744CRE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    289626 | PA      | $288880.53    | 0.03%             | 2035-04-25      | Floating      | 5.02%                 | No            |                  3 | On Loan: No      |
| FirstKey Homes Trust                                                        | FirstKey Homes Trust, Series 2020-SFR1, Class A                                                      | CUSIP: 33767MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12604248 | PA      | $11246152.76  | 0.98%             | 2037-08-17      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                              | Banc of America Mortgage Trust, Series 2004-D, Class 2A2                                             | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97233 | PA      | $89950.35     | 0.01%             | 2034-05-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Freedom Frn                                                                 | Freedom Frn                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2100000 | PA      | $2060730.00   | 0.18%             | 2023-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates | Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2003-7, Class M1 | CUSIP: 03072SHR9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44487 | PA      | $44112.18     | 0.00%             | 2033-08-25      | Floating      | 4.81%                 | No            |                  3 | On Loan: No      |
| MF1 Ltd.                                                                    | MF1 Ltd., Series 2021-FL7, Class A                                                                   | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3343270.00   | 0.29%             | 2036-10-16      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| New Residential Advance Receivables Trust Advance Receivables Backed        | New Residential Advance Receivables Trust Advance Receivables Backed, Series 2020-T1, Class AT1      | CUSIP: 62942QCR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9535000 | PA      | $9149363.60   | 0.80%             | 2053-08-15      | Fixed         | 1.43%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes Trust                                                 | Tricon American Homes Trust, Series 2019-SFR1, Class A                                               | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3275521 | PA      | $2989115.04   | 0.26%             | 2038-03-17      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3138WEC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5434020 | PA      | $5307894.38   | 0.46%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140KTH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5953103 | PA      | $5281123.09   | 0.46%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2002-FF1, Class M1                                        | CUSIP: 32027NAR2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64358 | PA      | $62274.67     | 0.01%             | 2032-04-25      | Floating      | 5.09%                 | No            |                  3 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                               | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR11, Class A                             | CUSIP: 92922FYA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145363 | PA      | $129579.58    | 0.01%             | 2034-10-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KL3W, Class AFLW                    | CUSIP: 3137FJF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9699798 | PA      | $9609428.76   | 0.84%             | 2025-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| Santander Consumer Auto Receivables Trust                                   | Santander Consumer Auto Receivables Trust, Series 2021-AA, Class B                                   | CUSIP: 80282YAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2519987.53   | 0.22%             | 2026-08-17      | Fixed         | 0.71%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4120, Class KI                                                                  | CUSIP: 3137AVE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984117 | PA      | $66615.28     | 0.01%             | 2032-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LP LMS Asset Securitization Trust                                           | LP LMS Asset Securitization Trust, Series 2021-2A, Class A                                           | CUSIP: 50214JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2098446 | PA      | $2024341.75   | 0.18%             | 2029-01-15      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2022-R07, Class 1M1                                      | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5168358 | PA      | $5203493.05   | 0.46%             | 2042-06-25      | Floating      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H14, Class FB                                                                      | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8641328 | PA      | $8571253.05   | 0.75%             | 2065-05-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                                        | American Express Co.                                                                                 | CUSIP: 025816CR8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5000808.90   | 0.44%             | 2025-03-04      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                   | BPR Trust, Series 2021-KEN, Class A                                                                  | CUSIP: 05591QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2115000 | PA      | $2053105.37   | 0.18%             | 2029-02-15      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                          | New Century Home Equity Loan Trust, Series 2003-5, Class AII                                         | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174160 | PA      | $156370.22    | 0.01%             | 2033-11-25      | Floating      | 3.99%                 | No            |                  3 | On Loan: No      |
| PFP Ltd.                                                                    | PFP Ltd., Series 2021-7, Class A                                                                     | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    526742 | PA      | $512512.96    | 0.04%             | 2038-04-14      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2014-66, Class WF                                                                | CUSIP: 3136ALEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1344661 | PA      | $1329504.59   | 0.12%             | 2054-10-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Independence Plaza Trust                                                    | Independence Plaza Trust, Series 2018-INDP, Class A                                                  | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4677710.00   | 0.41%             | 2035-07-10      | Fixed         | 3.76%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA II, 30 Year                                                                                     | CUSIP: 3617WJYV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9357161 | PA      | $8598608.18   | 0.75%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA I, 30 Year                                                                                      | CUSIP: 36225BF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.33         | 0.00%             | 2025-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2022-R06, Class 1M1                                      | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3505080 | PA      | $3505079.57   | 0.31%             | 2042-05-25      | Floating      | 6.27%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1                                      | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2933652 | PA      | $2880655.02   | 0.25%             | 2041-12-25      | Floating      | 4.52%                 | Yes           |                  3 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2002-FF4, Class M1                                        | CUSIP: 32027NBU4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    578174 | PA      | $478242.87    | 0.04%             | 2033-02-25      | Floating      | 5.62%                 | No            |                  3 | On Loan: No      |
| Upstart Securitization Trust                                                | Upstart Securitization Trust, Series 2022-4, Class A                                                 | CUSIP: 91678YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4083161 | PA      | $3999989.41   | 0.35%             | 2032-08-20      | Fixed         | 5.98%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4363, Class FA                                                                  | CUSIP: 3137BCNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2102697 | PA      | $2025247.44   | 0.18%             | 2041-09-15      | Floating      | 3.03%                 | 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        |   3246178 | PA      | $2888581.84   | 0.25%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 2033, Class PR                                                                  | CUSIP: 3133TCWL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $0.86         | 0.00%             | 2024-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                                                    | MF1 Ltd., Series 2022-FL8, Class A                                                                   | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4782310.00   | 0.42%             | 2037-02-19      | Floating      | 4.77%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                    | PRPM LLC, Series 2020-6, Class A1                                                                    | CUSIP: 693587AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2197706 | PA      | $2008943.02   | 0.18%             | 2025-11-25      | Variable      | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I, Inc. Trust                            | Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2003-HYB1, Class A4                         | CUSIP: 61746WC24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75090 | PA      | $65712.41     | 0.01%             | 2033-03-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                      | Sequoia Mortgage Trust, Series 2003-3, Class A2                                                      | CUSIP: 81743PAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66718 | PA      | $58080.22     | 0.01%             | 2033-07-20      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2012-13, Class FA                                                                | CUSIP: 3136A3VK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5415594 | PA      | $5331185.32   | 0.47%             | 2042-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, STRIPS, Series 343, Class F4                                                                  | CUSIP: 31351DEC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2301482 | PA      | $2275540.16   | 0.20%             | 2037-10-15      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| NAAC Reperforming Loan REMIC Trust Certificates                             | NAAC Reperforming Loan REMIC Trust Certificates, Series 2004-R3, Class AF                            | CUSIP: 62951MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    587414 | PA      | $510403.03    | 0.04%             | 2035-02-25      | Floating      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4480, Class FM                                                                  | CUSIP: 3137BKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3162202 | PA      | $3067437.05   | 0.27%             | 2040-06-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program LLC                                          | SoFi Professional Loan Program LLC, Series 2016-B, Class A1                                          | CUSIP: 83402JAA6<br>LEI: 549300WT845S0N68C331 | Long             | ABS-O            | CORP              | US        |    123678 | PA      | $123605.61    | 0.01%             | 2033-06-25      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                              | Bayview Commercial Asset Trust, Series 2004-3, Class A2                                              | CUSIP: 07324SAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98522 | PA      | $98017.16     | 0.01%             | 2035-01-25      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| SMR Mortgage Trust                                                          | SMR Mortgage Trust, Series 2022-IND, Class A                                                         | CUSIP: 78458MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7716724 | PA      | $7240861.24   | 0.63%             | 2039-02-15      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                                        | Westgate Resorts LLC, Series 2020-1A, Class A                                                        | CUSIP: 96034LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1266696 | PA      | $1231440.46   | 0.11%             | 2034-03-20      | Fixed         | 2.71%                 | Yes           |                  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        |    124778 | PA      | $121427.76    | 0.01%             | 2042-12-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                              | Carvana Auto Receivables Trust, Series 2020-P1, Class A4                                             | CUSIP: 14687AAP3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2220000 | PA      | $2047082.42   | 0.18%             | 2026-10-08      | Fixed         | 0.61%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                              | Bayview Commercial Asset Trust, Series 2007-3, Class A2                                              | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    419181 | PA      | $367768.77    | 0.03%             | 2037-07-25      | Floating      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                             | UBS-BAMLL Trust, Series 2012-WRM, Class A                                                            | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36602 | PA      | $36552.98     | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes                                                       | Tricon American Homes, Series 2020-SFR1, Class A                                                     | CUSIP: 89613GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5987772 | PA      | $5148416.15   | 0.45%             | 2038-07-17      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| BHMS                                                                        | BHMS, Series 2018-ATLS, Class A                                                                      | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5752688.40   | 0.50%             | 2035-07-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1APO                     | CUSIP: 31392W7F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39470 | PA      | $28788.13     | 0.00%             | 2042-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2016-33, Class JA                                                                | CUSIP: 3136AR6G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2846022 | PA      | $2637142.49   | 0.23%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                                    | Avis Budget Rental Car Funding AESOP LLC, Series 2019-3A, Class A                                    | CUSIP: 05377RDQ4<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  10490000 | PA      | $9737526.08   | 0.85%             | 2026-03-20      | Fixed         | 2.36%                 | Yes           |                  2 | On Loan: No      |
| Marlin Receivables LLC                                                      | Marlin Receivables LLC, Series 2022-1A, Class A2                                                     | CUSIP: 57119HAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4975000 | PA      | $4886081.83   | 0.43%             | 2025-09-20      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2016-25, Class LA                                                                | CUSIP: 3136ART40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8045993 | PA      | $7496649.34   | 0.66%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                       | Westlake Automobile Receivables Trust, Series 2021-1A, Class A2A                                     | CUSIP: 96043FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    557905 | PA      | $555570.83    | 0.05%             | 2024-10-15      | Fixed         | 0.39%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Dean Witter Capital I, Inc. Trust                            | Morgan Stanley Dean Witter Capital I, Inc. Trust, Series 2003-HYB1, Class B1                         | CUSIP: 61746WC32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68901 | PA      | $39658.15     | 0.00%             | 2033-03-25      | Variable      | 3.12%                 | No            |                  3 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2012-61, Class FM                                                                       | CUSIP: 38378EJ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3795906 | PA      | $3752932.87   | 0.33%             | 2042-05-16      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                                      | GSK Consumer Healthcare Capital US LLC                                                               | CUSIP: 36264FAJ0<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4977565.95   | 0.44%             | 2024-03-24      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                                | American Credit Acceptance Receivables Trust, Series 2021-4, Class A                                 | CUSIP: 02530TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    649104 | PA      | $646564.23    | 0.06%             | 2025-09-15      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCV LLC                                                                | VOLT XCV LLC, Series 2021-NPL4, Class A1                                                             | CUSIP: 92873BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2393182 | PA      | $2228586.83   | 0.20%             | 2051-03-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                              | CSFB Mortgage-Backed Pass-Through Certificates, Series 2003-AR24, Class 2A4                          | CUSIP: 22541QUN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193466 | PA      | $182091.92    | 0.02%             | 2033-10-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 5A                                              | CUSIP: 31393AR33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    428278 | PA      | $386163.95    | 0.03%             | 2042-10-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| VOLT XCII LLC                                                               | VOLT XCII LLC, Series 2021-NPL1, Class A1                                                            | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1615598 | PA      | $1430466.59   | 0.13%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                      | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A3                                     | CUSIP: 59020UNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81738 | PA      | $73987.90     | 0.01%             | 2034-12-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA I, 15 Year                                                                                      | CUSIP: 3620A9MU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126551 | PA      | $126343.33    | 0.01%             | 2024-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 20 Year                                                                                   | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1268598 | PA      | $1204004.56   | 0.11%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140XJGG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5877882 | PA      | $5726974.96   | 0.50%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140HD7A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10754436 | PA      | $10355444.01  | 0.91%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2011-158, Class EB                                                                      | CUSIP: 38378AY96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2357701 | PA      | $2304241.07   | 0.20%             | 2026-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO V Ltd.                                                          | Elmwood CLO V Ltd., Series 2020-2A, Class AR                                                         | CUSIP: 29003BAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7500000 | PA      | $7223610.00   | 0.63%             | 2034-10-20      | Floating      | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust                                      | Structured Asset Investment Loan Trust, Series 2003-BC2, Class A3                                    | CUSIP: 86358EAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16336 | PA      | $16133.11     | 0.00%             | 2033-04-25      | Floating      | 4.74%                 | No            |                  3 | On Loan: No      |
| RASC Trust                                                                  | RASC Trust, Series 2003-KS4, Class MI2                                                               | CUSIP: 76110WRW8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    522587 | PA      | $399638.72    | 0.04%             | 2033-06-25      | Variable      | 5.01%                 | No            |                  3 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                                    | Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class A                                    | CUSIP: 82652MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570472 | PA      | $548475.11    | 0.05%             | 2036-05-20      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| STWD Mortgage Trust                                                         | STWD Mortgage Trust, Series 2021-LIH, Class B                                                        | CUSIP: 78486EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   2300000 | PA      | $2182118.56   | 0.19%             | 2036-11-15      | Floating      | 5.53%                 | Yes           |                  3 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                           | GreenPoint Mortgage Funding Trust, Series 2005-HE3, Class A                                          | CUSIP: 39538WCZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11530 | PA      | $11219.77     | 0.00%             | 2030-09-15      | Floating      | 4.06%                 | No            |                  3 | On Loan: No      |
| Prime Mortgage Trust                                                        | Prime Mortgage Trust, Series 2005-2, Class 2A1                                                       | CUSIP: 74160MHU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204167 | PA      | $198012.82    | 0.02%             | 2032-10-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| Volkswagen Auto Lease Trust                                                 | Volkswagen Auto Lease Trust, Series 2020-A, Class A3                                                 | CUSIP: 92868VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1514270 | PA      | $1503285.76   | 0.13%             | 2024-01-22      | Fixed         | 0.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H12, Class FA                                                                      | CUSIP: 38376RBF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4949424 | PA      | $4889198.50   | 0.43%             | 2065-05-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H12, Class FJ                                                                      | CUSIP: 38376RBU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5898381 | PA      | $5841500.78   | 0.51%             | 2065-05-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                          | Banco Santander SA                                                                                   | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2000000 | PA      | $1879523.74   | 0.16%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                                     | JPMorgan Mortgage Trust, Series 2003-A1, Class 1A1                                                   | CUSIP: 466247AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30614 | PA      | $27185.83     | 0.00%             | 2033-10-25      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                       | Athene Global Funding                                                                                | CUSIP: 04685A2S9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   4160000 | PA      | $3944012.80   | 0.35%             | 2024-01-08      | Fixed         | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                                     | Hyundai Capital America                                                                              | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2960000 | PA      | $2573601.60   | 0.23%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                           | Credit Acceptance Auto Loan Trust, Series 2020-3A, Class A                                           | CUSIP: 22536BAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9844498 | PA      | $9580446.17   | 0.84%             | 2029-10-15      | Fixed         | 1.24%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                                    | Cooperatieve Rabobank UA                                                                             | CUSIP: 21688AAR3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |  10000000 | PA      | $9942700.00   | 0.87%             | 2024-01-12      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust                                | American Express Credit Account Master Trust, Series 2018-5, Class A                                 | CUSIP: 02582JJB7<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9995869.00   | 0.88%             | 2025-12-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| BANK                                                                        | BANK, Series 2021-BN35, Class A2                                                                     | CUSIP: 06540CAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2650000 | PA      | $2342243.58   | 0.21%             | 2064-06-15      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2014-23, Class FA                                                                | CUSIP: 3136AJ4G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9421560 | PA      | $9492750.08   | 0.83%             | 2039-10-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Through Trust                                   | First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1                                | CUSIP: 32051GBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100624 | PA      | $92338.70     | 0.01%             | 2034-12-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program Trust                                        | SoFi Professional Loan Program Trust, Series 2018-B, Class A2FX                                      | CUSIP: 83404RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1179306 | PA      | $1132236.83   | 0.10%             | 2047-08-25      | Fixed         | 3.34%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                                                  | AMSR Trust, Series 2021-SFR2, Class A                                                                | CUSIP: 00179VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3434186.00   | 0.30%             | 2038-08-17      | Fixed         | 1.53%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                                  | Progress Residential Trust, Series 2021-SFR6, Class A                                                | CUSIP: 74333HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10987426 | PA      | $9452842.96   | 0.83%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 1689, Class M                                                                   | CUSIP: 3133T4YP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         1 | PA      | $0.81         | 0.00%             | 2024-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Trust, Series 2021-LBA, Class AJV                                                                 | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6500000 | PA      | $6116113.25   | 0.54%             | 2036-02-15      | Floating      | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                                          | Canadian Imperial Bank of Commerce                                                                   | CUSIP: 13607RAE0<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   3000000 | PA      | $3003030.39   | 0.26%             | 2023-09-13      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                    | PRPM LLC, Series 2021-10, Class A1                                                                   | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1405897 | PA      | $1292657.13   | 0.11%             | 2026-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                      | Santander Drive Auto Receivables Trust, Series 2022-4, Class A3                                      | CUSIP: 80286FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7340000 | PA      | $7146320.89   | 0.63%             | 2027-02-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140J7L60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3412774 | PA      | $3368448.61   | 0.30%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                        | BBCMS Mortgage Trust, Series 2020-C7, Class A2                                                       | CUSIP: 05492VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $922766.80    | 0.08%             | 2053-04-15      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H04, Class FL                                                                      | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7091194 | PA      | $7002888.30   | 0.61%             | 2065-02-20      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                                   | Goodgreen, Series 2019-1A, Class A                                                                   | CUSIP: 38218DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1613985 | PA      | $1500547.71   | 0.13%             | 2054-10-15      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2013-23, Class KJ                                                                | CUSIP: 3136ADCU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1906852 | PA      | $1732318.86   | 0.15%             | 2042-05-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                                      | Home Depot, Inc. (The)                                                                               | CUSIP: 437076CE0<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   3915000 | PA      | $3279930.31   | 0.29%             | 2028-03-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4350, Class FK                                                                  | CUSIP: 3137BBHK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2588178 | PA      | $2497710.25   | 0.22%             | 2038-06-15      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Trust                                            | IndyMac INDA Mortgage Loan Trust, Series 2007-AR1, Class 1A1                                         | CUSIP: 45669AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217416 | PA      | $177072.04    | 0.02%             | 2037-03-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                          | Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 4A                                          | CUSIP: 61745MA52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    672785 | PA      | $644680.59    | 0.06%             | 2034-04-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| World Omni Auto Receivables Trust                                           | World Omni Auto Receivables Trust, Series 2022-B, Class A3                                           | CUSIP: 98163QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8750000 | PA      | $8426061.88   | 0.74%             | 2027-07-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                                            | First Investors Auto Owner Trust, Series 2021-1A, Class A                                            | CUSIP: 32059FAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    531793 | PA      | $524869.70    | 0.05%             | 2026-03-16      | Fixed         | 0.45%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                              | Mariner Finance Issuance Trust, Series 2020-AA, Class A                                              | CUSIP: 56848MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2610000 | PA      | $2480465.18   | 0.22%             | 2034-08-21      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                          | First Franklin Mortgage Loan Trust, Series 2003-FFH1, Class M2                                       | CUSIP: 32027NEE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225891 | PA      | $193465.28    | 0.02%             | 2033-09-25      | Floating      | 6.67%                 | No            |                  3 | 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        |   5262989 | PA      | $4711863.74   | 0.41%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  3 | On Loan: No      |
| FHLMC Multi-Family Structured Credit Risk                                   | FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN1, Class M1                                | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    180573 | PA      | $168596.02    | 0.01%             | 2051-01-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2019-38, Class PC                                                                | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2689425 | PA      | $2507003.13   | 0.22%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4867, Class WF                                                                  | CUSIP: 3137FL2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8869553 | PA      | $8839135.88   | 0.77%             | 2037-04-15      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| Galaxy XV CLO Ltd.                                                          | Galaxy CLO Ltd., Series 2013-15A, Class ARR                                                          | CUSIP: 36318WAK6<br>LEI: 549300MJK1HWQWCLYA68 | Long             | ABS-CBDO         | CORP              | KY        |   1974000 | PA      | $1944143.25   | 0.17%             | 2030-10-15      | Floating      | 5.05%                 | Yes           |                  2 | On Loan: No      |
| One Market Plaza Trust                                                      | One Market Plaza Trust, Series 2017-1MKT, Class A                                                    | CUSIP: 68245HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4799054.50   | 0.42%             | 2032-02-10      | Fixed         | 3.61%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                                  | FHLMC UMBS, 30 Year                                                                                  | CUSIP: 3133KJGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5026676 | PA      | $4483108.78   | 0.39%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                                  | Progress Residential Trust, Series 2019-SFR4, Class A                                                | CUSIP: 74331AAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8045410.65   | 0.70%             | 2036-10-17      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| US Auto Funding Trust                                                       | US Auto Funding Trust, Series 2022-1A, Class A                                                       | CUSIP: 90355FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3925381 | PA      | $3859564.35   | 0.34%             | 2025-04-15      | Fixed         | 3.98%                 | Yes           |                  2 | On Loan: No      |
| Protective Life Global Funding                                              | Protective Life Global Funding                                                                       | CUSIP: 74368CAX2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |   5190000 | PA      | $4662842.83   | 0.41%             | 2025-07-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                                                      | Oportun Issuance Trust, Series 2022-A, Class A                                                       | CUSIP: 68378NAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4810490.50   | 0.42%             | 2031-06-09      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes                              | FHLMC Structured Agency Credit Risk Debt Notes, Series 2019-CS03, Class M1                           | CUSIP: 3137G0WC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |   1595489 | PA      | $1591012.95   | 0.14%             | 2032-10-25      | Floating      | 4.02%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Alt-A Securities, Inc. Mortgage Loan Trust                         | Deutsche Alt-A Securities, Inc. Mortgage Loan Trust, Series 2005-1, Class 2A1                        | CUSIP: 251510CX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27662 | PA      | $27103.52     | 0.00%             | 2020-02-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                              | Carvana Auto Receivables Trust, Series 2020-P1, Class A3                                             | CUSIP: 14687AAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1359340 | PA      | $1338097.25   | 0.12%             | 2025-06-09      | Fixed         | 0.44%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                      | Truist Financial Corp.                                                                               | CUSIP: 89788MAA0<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3629661.36   | 0.32%             | 2025-08-05      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                         | DT Auto Owner Trust, Series 2021-1A, Class C                                                         | CUSIP: 23344GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1300000 | PA      | $1241687.33   | 0.11%             | 2026-10-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 20 Year                                                                                   | CUSIP: 31371LDQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77074 | PA      | $77925.09     | 0.01%             | 2023-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                                                   | SCF Equipment Leasing LLC, Series 2022-2A, Class A3                                                  | CUSIP: 78397WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5900000 | PA      | $5956453.56   | 0.52%             | 2030-10-21      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                                 | Diamond Resorts Owner Trust, Series 2018-1, Class A                                                  | CUSIP: 252724AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    347139 | PA      | $338602.64    | 0.03%             | 2031-01-21      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                          | BMO MORTGAGE TRUST, Series 2022-C3, Class A1                                                         | CUSIP: 05602QAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3821450 | PA      | $3778958.61   | 0.33%             | 2054-09-15      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates         | Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2002-TBC1, Class B1      | CUSIP: 585525FR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25809 | PA      | $23186.84     | 0.00%             | 2030-09-15      | Floating      | 4.88%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4457, Class KF                                                                  | CUSIP: 3137BHWP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4227212 | PA      | $4106526.93   | 0.36%             | 2040-10-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2005-SA2, Class 2A2                                                              | CUSIP: 76111XVG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    342965 | PA      | $311937.11    | 0.03%             | 2035-06-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                         | DT Auto Owner Trust, Series 2021-2A, Class A                                                         | CUSIP: 23345EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    506540 | PA      | $504184.80    | 0.04%             | 2025-03-17      | Fixed         | 0.41%                 | Yes           |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                            | OneMain Financial Issuance Trust, Series 2021-1A, Class A1                                           | CUSIP: 68269MAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4219818.50   | 0.37%             | 2036-06-16      | Fixed         | 1.55%                 | Yes           |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                                     | Amortizing Residential Collateral Trust, Series 2002-BC9, Class M1                                   | CUSIP: 86359AFD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1339584 | PA      | $1224675.73   | 0.11%             | 2032-12-25      | Floating      | 5.69%                 | No            |                  3 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2015-42, Class BF                                                                | CUSIP: 3136ANW86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3170021 | PA      | $3084495.81   | 0.27%             | 2045-06-25      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                                   | Goodgreen, Series 2018-1A, Class A                                                                   | CUSIP: 38218GAA0<br>LEI: 549300X0P2BXCQULUH20 | Long             | ABS-O            | CORP              | KY        |   2241701 | PA      | $2062740.40   | 0.18%             | 2053-10-15      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| MASTR Seasoned Securitization Trust                                         | MASTR Seasoned Securitization Trust, Series 2003-1, Class 3A2                                        | CUSIP: 55265WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43233 | PA      | $41350.65     | 0.00%             | 2033-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| One Bryant Park Trust                                                       | One Bryant Park Trust, Series 2019-OBP, Class A                                                      | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4107853.00   | 0.36%             | 2054-09-15      | Fixed         | 2.52%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                   | Towd Point Mortgage Trust, Series 2018-4, Class A1                                                   | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3187378 | PA      | $2897968.60   | 0.25%             | 2058-06-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                       | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                                     | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3427012 | PA      | $3198129.01   | 0.28%             | 2040-02-15      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, Grantor Trust, Whole Loan, Series 2001-T8, Class A1                                            | CUSIP: 313920UK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147320 | PA      | $147975.48    | 0.01%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                      | Sequoia Mortgage Trust, Series 2004-11, Class A2                                                     | CUSIP: 81744FFK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357039 | PA      | $306311.81    | 0.03%             | 2034-12-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                                     | CF Hippolyta Issuer LLC, Series 2020-1, Class A1                                                     | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2345337 | PA      | $2075905.21   | 0.18%             | 2060-07-15      | Fixed         | 1.69%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                | Bear Stearns Asset-Backed Securities I Trust, Series 2004-AC6, Class M1                              | CUSIP: 073879LR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    123769 | PA      | $24929.78     | 0.00%             | 2034-11-25      | Floating      | 5.05%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                          | Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A2A                                     | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    203049 | PA      | $179365.94    | 0.02%             | 2035-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2013-43, Class YH                                                                | CUSIP: 3136ADX20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    889678 | PA      | $833438.71    | 0.07%             | 2033-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRE Grand Islander Timeshare Issuer LLC                                     | BRE Grand Islander Timeshare Issuer LLC, Series 2019-A, Class A                                      | CUSIP: 05588UAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1585400 | PA      | $1490460.91   | 0.13%             | 2033-09-26      | Fixed         | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                                        | Progress Residential, Series 2021-SFR4, Class A                                                      | CUSIP: 74333EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4315008.50   | 0.38%             | 2038-05-17      | Fixed         | 1.56%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2014-49, Class AF                                                                | CUSIP: 3136AKWD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131224 | PA      | $127718.10    | 0.01%             | 2044-08-25      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 313615L53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        55 | PA      | $54.80        | 0.00%             | 2023-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                             | Impac CMB Trust, Series 2004-6, Class 1A2                                                            | CUSIP: 45254NKD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44383 | PA      | $42065.26     | 0.00%             | 2034-10-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                                  | CPS Auto Receivables Trust, Series 2021-D, Class A                                                   | CUSIP: 12658VAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2132132 | PA      | $2102486.49   | 0.18%             | 2025-10-15      | Fixed         | 0.61%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                                 | Business Jet Securities LLC, Series 2020-1A, Class A                                                 | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1794720 | PA      | $1626626.33   | 0.14%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                      | Merrill Lynch Mortgage Investors Trust, Series 2004-D, Class A1                                      | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102023 | PA      | $94068.60     | 0.01%             | 2029-09-25      | Floating      | 4.70%                 | 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        |    167988 | PA      | $171207.26    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                                                | Metlife Securitization Trust, Series 2017-1A, Class A                                                | CUSIP: 59166BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    693695 | PA      | $645528.06    | 0.06%             | 2055-04-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| American Honda Finance Corp.                                                | American Honda Finance Corp.                                                                         | CUSIP: 02665WDU2<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9971937.70   | 0.87%             | 2024-01-12      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                  | GSAA Trust, Series 2004-CW1, Class 1A1                                                               | CUSIP: 36228FT48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382261 | PA      | $344228.66    | 0.03%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                       | Westlake Automobile Receivables Trust, Series 2022-2A, Class A3                                      | CUSIP: 96042VAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5350000 | PA      | $5205867.26   | 0.46%             | 2026-04-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 20 Year                                                                                   | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    996566 | PA      | $947071.86    | 0.08%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA Trust, Whole Loan, Series 2004-W2, Class 4A                                                     | CUSIP: 31393XGT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135316 | PA      | $130258.83    | 0.01%             | 2044-02-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2017-108, Class PA                                                               | CUSIP: 3136B0RT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1729810 | PA      | $1588195.97   | 0.14%             | 2047-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                         | Thornburg Mortgage Securities Trust, Series 2004-4, Class 5A                                         | CUSIP: 885220GK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1602366 | PA      | $1330818.03   | 0.12%             | 2044-12-25      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                      | Lendmark Funding Trust, Series 2022-1A, Class A                                                      | CUSIP: 52608JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2900559.60   | 0.25%             | 2032-07-20      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2012-31, Class FB                                                                | CUSIP: 3136A5JD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4401850 | PA      | $4327783.78   | 0.38%             | 2042-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4161, Class YF                                                                  | CUSIP: 3137AYQ95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2863590 | PA      | $2787582.88   | 0.24%             | 2043-02-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Principal Life Global Funding II                                            | Principal Life Global Funding II                                                                     | CUSIP: 74256LEK1<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |   8790000 | PA      | $7778868.28   | 0.68%             | 2026-01-12      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                                  | Progress Residential Trust, Series 2020-SFR2, Class A                                                | CUSIP: 74333LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5048763 | PA      | $4628514.66   | 0.41%             | 2037-06-17      | Fixed         | 2.08%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA I, 30 Year                                                                                      | CUSIP: 36206JBD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.15         | 0.00%             | 2027-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                                     | Capital One Multi-Asset Execution Trust, Series 2022-A1, Class A1                                    | CUSIP: 14041NFZ9<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   5005000 | PA      | $4782122.85   | 0.42%             | 2027-03-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                | Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE1, Class M2                              | CUSIP: 073879PS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458146 | PA      | $449564.71    | 0.04%             | 2035-01-25      | Floating      | 5.29%                 | No            |                  3 | On Loan: No      |
| BNP Paribas SA                                                              | BNP Paribas SA                                                                                       | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   6470000 | PA      | $5619818.71   | 0.49%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4594, Class GN                                                                  | CUSIP: 3137BQK22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2024299 | PA      | $1821693.25   | 0.16%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                                     | Lendingpoint Asset Securitization Trust, Series 2022-C, Class A                                      | CUSIP: 525919AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5680505 | PA      | $5650796.44   | 0.49%             | 2030-02-15      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                         | Exeter Automobile Receivables Trust, Series 2021-2A, Class B                                         | CUSIP: 30165XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1809737 | PA      | $1793132.90   | 0.16%             | 2025-09-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                           | Credit Acceptance Auto Loan Trust, Series 2020-2A, Class A                                           | CUSIP: 22535MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5584501 | PA      | $5518790.30   | 0.48%             | 2029-07-16      | Fixed         | 1.37%                 | Yes           |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates                                       | Countrywide Asset-Backed Certificates, Series 2004-S1, Class M2                                      | CUSIP: 126673TG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14789 | PA      | $14553.37     | 0.00%             | 2035-02-25      | Variable      | 5.58%                 | No            |                  3 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                                  | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A                                  | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6375000 | PA      | $6046463.10   | 0.53%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| BXG Receivables Note Trust                                                  | BXG Receivables Note Trust, Series 2018-A, Class A                                                   | CUSIP: 05607UAA7<br>LEI: 549300MVRSYZ837KPY83 | Long             | ABS-O            | CORP              | US        |   1202364 | PA      | $1151912.76   | 0.10%             | 2034-02-02      | Fixed         | 3.77%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                              | Structured Asset Mortgage Investments II Trust, Series 2004-AR1, Class 1A1                           | CUSIP: 86359LAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32378 | PA      | $29185.13     | 0.00%             | 2034-03-19      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                       | Bank of America Corp.                                                                                | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1724000 | PA      | $1721980.71   | 0.15%             | 2023-12-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4350, Class AF                                                                  | CUSIP: 3137BBGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2260635 | PA      | $2177851.20   | 0.19%             | 2037-12-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                                     | CarMax Auto Owner Trust, Series 2020-4, Class A3                                                     | CUSIP: 14316HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1966262 | PA      | $1902901.47   | 0.17%             | 2025-08-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                             | CoreVest American Finance Trust, Series 2020-4, Class A                                              | CUSIP: 21873AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4716399 | PA      | $4130989.87   | 0.36%             | 2052-12-15      | Fixed         | 1.17%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                                                   | BXMT Ltd., Series 2020-FL3, Class A                                                                  | CUSIP: 05608XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |   9000000 | PA      | $8839611.00   | 0.77%             | 2037-11-15      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Two Harbors                                                                 | Two Harbors                                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $7500000.00   | 0.66%             | 2023-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                | Upstart Securitization Trust, Series 2021-4, Class A                                                 | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2171387 | PA      | $2095480.66   | 0.18%             | 2031-09-20      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2006-3, Class SB                                                                 | CUSIP: 31395BGL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153563 | PA      | $3518.94      | 0.00%             | 2035-07-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                              | ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A                                            | CUSIP: 449652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2976595.20   | 0.26%             | 2039-10-15      | Floating      | 6.04%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                                                      | Tesla Auto Lease Trust, Series 2021-B, Class A4                                                      | CUSIP: 88161KAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2680000 | PA      | $2497178.71   | 0.22%             | 2025-09-22      | Fixed         | 0.63%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                              | Mariner Finance Issuance Trust, Series 2021-AA, Class A                                              | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2561254.50   | 0.22%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| Southern Power Co.                                                          | Southern Power Co.                                                                                   | CUSIP: 843646AW0<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1572296.89   | 0.14%             | 2026-01-15      | Fixed         | 0.90%                 | 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        |   4192481 | PA      | $3739326.21   | 0.33%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2006-124, Class FC                                                               | CUSIP: 31396PFT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649904 | PA      | $636193.66    | 0.06%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                                     | FHLMC STACR REMIC Trust, Series 2021-DNA3, Class M1                                                  | CUSIP: 35564KED7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3414396 | PA      | $3372774.87   | 0.30%             | 2033-10-25      | Floating      | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                                         | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M1                                      | CUSIP: 20754AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5409127 | PA      | $5300944.68   | 0.46%             | 2041-12-25      | Floating      | 4.37%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                                       | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 4A                       | CUSIP: 31393LFP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    910169 | PA      | $829890.32    | 0.07%             | 2043-02-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                              | Enterprise Fleet Financing LLC, Series 2022-1, Class A2                                              | CUSIP: 29375JAB0<br>LEI: RKWYUSIDZTWNAX1D9U96 | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $3967828.71   | 0.35%             | 2028-01-20      | Fixed         | 3.03%                 | Yes           |                  2 | On Loan: No      |
| VOLT C LLC                                                                  | VOLT C LLC, Series 2021-NPL9, Class A1                                                               | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1853586 | PA      | $1643427.19   | 0.14%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2004-17, Class BF                                                                | CUSIP: 31393XYQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140680 | PA      | $139854.73    | 0.01%             | 2034-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 15 Year                                                                                   | CUSIP: 31418PFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239957 | PA      | $240501.66    | 0.02%             | 2025-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                  | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD1, Class A                                 | CUSIP: 07384YKL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    451072 | PA      | $421111.63    | 0.04%             | 2033-12-25      | Floating      | 4.94%                 | No            |                  3 | On Loan: No      |
| VCAT LLC                                                                    | VCAT LLC, Series 2021-NPL1, Class A1                                                                 | CUSIP: 91790CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000582 | PA      | $955133.56    | 0.08%             | 2050-12-26      | Variable      | 2.29%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2013-54, Class HF                                                                | CUSIP: 3136AEUT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340227 | PA      | $339578.18    | 0.03%             | 2041-10-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                                        | FirstKey Homes Trust, Series 2021-SFR1, Class A                                                      | CUSIP: 33767WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6961079 | PA      | $5960117.95   | 0.52%             | 2038-08-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Apidos CLO XXXI                                                             | Apidos CLO, Series 2019-31A, Class A1R                                                               | CUSIP: 03767VAG3<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |   4350000 | PA      | $4256209.65   | 0.37%             | 2031-04-15      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                         | DT Auto Owner Trust, Series 2021-3A, Class A                                                         | CUSIP: 23344QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1309153 | PA      | $1294652.65   | 0.11%             | 2025-04-15      | Fixed         | 0.33%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 1508, Class KA                                                                  | CUSIP: 312916AQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        44 | PA      | $43.80        | 0.00%             | 2023-05-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                      | Santander Drive Auto Receivables Trust, Series 2022-2, Class A2                                      | CUSIP: 80286MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2434165 | PA      | $2422167.29   | 0.21%             | 2026-10-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                              | Pagaya AI Debt Selection Trust, Series 2021-3, Class A                                               | CUSIP: 69546RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1729835 | PA      | $1680842.36   | 0.15%             | 2029-05-15      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Metropolitan Life Global Funding I                                          | Metropolitan Life Global Funding I                                                                   | CUSIP: 59217GGW3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $9932307.10   | 0.87%             | 2024-01-07      | Floating      | 4.14%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H15, Class FB                                                                      | CUSIP: 38376RCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7070882 | PA      | $6952620.27   | 0.61%             | 2065-06-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                                       | Sumitomo Mitsui Financial Group, Inc.                                                                | CUSIP: 86562MCD0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   2900000 | PA      | $2557614.23   | 0.22%             | 2026-01-12      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2014-H07, Class FC                                                                      | CUSIP: 38375UHH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9597332 | PA      | $9484602.63   | 0.83%             | 2064-05-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| VOLT XCIX LLC                                                               | VOLT XCIX LLC, Series 2021-NPL8, Class A1                                                            | CUSIP: 92872VAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1459757 | PA      | $1288467.19   | 0.11%             | 2051-04-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates        | Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-24A, Class 2A      | CUSIP: 86359AG64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258138 | PA      | $241836.96    | 0.02%             | 2033-07-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| SoFi Professional Loan Program Trust                                        | SoFi Professional Loan Program Trust, Series 2021-B, Class AFX                                       | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3491807 | PA      | $2734424.64   | 0.24%             | 2047-02-15      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                                 | Business Jet Securities LLC, Series 2022-1A, Class A                                                 | CUSIP: 12327AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9407209 | PA      | $8578721.30   | 0.75%             | 2037-06-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Ballyrock CLO Ltd.                                                          | Ballyrock CLO Ltd., Series 2019-1A, Class A1R                                                        | CUSIP: 05875JAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6415000 | PA      | $6257216.66   | 0.55%             | 2032-07-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                          | Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A5                                       | CUSIP: 61748HAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499880 | PA      | $461974.11    | 0.04%             | 2034-07-25      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Toyota Motor Credit Corp.                                                   | Toyota Motor Credit Corp.                                                                            | CUSIP: 89236THV0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4984339.05   | 0.44%             | 2024-01-11      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ONE Mortgage Trust                                                          | ONE Mortgage Trust, Series 2021-PARK, Class A                                                        | CUSIP: 682413AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $6668469.50   | 0.58%             | 2036-03-15      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                       | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7B                                    | CUSIP: 576433WM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200437 | PA      | $177328.21    | 0.02%             | 2034-11-21      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                                | American Credit Acceptance Receivables Trust, Series 2022-2, Class A                                 | CUSIP: 02530BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1956810 | PA      | $1937423.03   | 0.17%             | 2026-02-13      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                                        | Progress Residential, Series 2021-SFR1, Class A                                                      | CUSIP: 74331FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3027320 | PA      | $2584014.08   | 0.23%             | 2038-04-17      | Fixed         | 1.05%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2015-H19, Class FN                                                                      | CUSIP: 38376RFU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7905917 | PA      | $7792321.63   | 0.68%             | 2065-07-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC Trust, Whole Loan, Series 2003-W15, Class 3A                                             | CUSIP: 31393TC87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489066 | PA      | $454667.17    | 0.04%             | 2042-12-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                         | Exeter Automobile Receivables Trust, Series 2022-3A, Class A3                                        | CUSIP: 30166YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5941864.80   | 0.52%             | 2026-01-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA UMBS, 30 Year                                                                                   | CUSIP: 3140KFET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6759281 | PA      | $6041104.69   | 0.53%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                        | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A3, Class A1                       | CUSIP: 65535VBZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167112 | PA      | $161534.10    | 0.01%             | 2033-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT1                    | CUSIP: 3137FWGH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3585802 | PA      | $3393127.88   | 0.30%             | 2050-05-25      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                        | GNMA, Series 2013-H16, Class FA                                                                      | CUSIP: 38375B4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4247906 | PA      | $4212696.25   | 0.37%             | 2063-07-20      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                                | HERO Funding, Series 2017-3A, Class A2                                                               | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    918960 | PA      | $848268.28    | 0.07%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 3300, Class FA                                                                  | CUSIP: 31397GQR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120690 | PA      | $118478.47    | 0.01%             | 2035-08-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                                         | Toyota Auto Receivables Owner Trust, Series 2020-C, Class A4                                         | CUSIP: 89237VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5300000 | PA      | $5039403.24   | 0.44%             | 2025-10-15      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                                | OCP CLO Ltd., Series 2015-9A, Class A1R2                                                             | CUSIP: 67091YAU8<br>LEI: 254900XV0U0WEM36A370 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4874780.00   | 0.43%             | 2033-01-15      | Floating      | 5.11%                 | Yes           |                  2 | On Loan: No      |
| RFMSI Trust                                                                 | RFMSI Trust, Series 2006-SA4, Class 2A1                                                              | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161501 | PA      | $132536.36    | 0.01%             | 2036-11-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                    | BX Trust, Series 2021-BXMF, Class A                                                                  | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8000000 | PA      | $7589975.20   | 0.66%             | 2026-10-15      | Floating      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                                | Hilton Grand Vacations Trust, Series 2022-2A, Class A                                                | CUSIP: 43283GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2495337 | PA      | $2396429.86   | 0.21%             | 2037-01-25      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                                 | Diamond Resorts Owner Trust, Series 2019-1A, Class A                                                 | CUSIP: 252722AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850733 | PA      | $1803020.93   | 0.16%             | 2032-02-20      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| Business Jet Securities LLC                                                 | Business Jet Securities LLC, Series 2021-1A, Class A                                                 | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2072406 | PA      | $1803863.34   | 0.16%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                           | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class A                                           | CUSIP: 22537CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5580000 | PA      | $5331604.63   | 0.47%             | 2030-02-15      | Fixed         | 0.96%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                             | Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1                                            | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2617092 | PA      | $2579790.44   | 0.23%             | 2029-07-20      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2012-38, Class PA                                                                | CUSIP: 3136A42X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037738 | PA      | $948122.62    | 0.08%             | 2041-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 4559, Class AF                                                                  | CUSIP: 3137BNCR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1373224 | PA      | $1373693.53   | 0.12%             | 2042-03-15      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                     | Flagstar Mortgage Trust, Series 2019-2, Class A2                                                     | CUSIP: 33852BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1588230 | PA      | $1411288.04   | 0.12%             | 2049-12-25      | Variable      | 3.50%                 | Yes           |                  2 | On Loan: No      |
| World Omni Select Auto Trust                                                | World Omni Select Auto Trust, Series 2020-A, Class B                                                 | CUSIP: 98163DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4750000 | PA      | $4575139.20   | 0.40%             | 2026-06-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                       | FHLMC, REMIC, Series 3085, Class VS                                                                  | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116120 | PA      | $125174.20    | 0.01%             | 2035-12-15      | Floating      | 13.23%                | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                         | DT Auto Owner Trust, Series 2020-3A, Class B                                                         | CUSIP: 26253AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    822067 | PA      | $818343.44    | 0.07%             | 2024-12-16      | Fixed         | 0.91%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                       | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                     | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65546 | PA      | $61352.61     | 0.01%             | 2034-04-21      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                      | Santander Drive Auto Receivables Trust, Series 2022-6, Class A2                                      | CUSIP: 802918AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4224523.80   | 0.37%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2019-77, Class FP                                                                | CUSIP: 3136B7J93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10333272 | PA      | $10083086.56  | 0.88%             | 2050-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                             | CoreVest American Finance Trust, Series 2019-1, Class A                                              | CUSIP: 21872FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    405595 | PA      | $395151.72    | 0.03%             | 2052-03-15      | Fixed         | 3.32%                 | Yes           |                  2 | On Loan: No      |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates         | Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2002-TBC1, Class B2      | CUSIP: 585525FS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11670 | PA      | $8932.64      | 0.00%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  3 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                       | Wells Fargo Commercial Mortgage Trust, Series 2020-C58, Class A1                                     | CUSIP: 95002UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1122270 | PA      | $1033579.65   | 0.09%             | 2053-07-15      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| LCM 29 Ltd.                                                                 | LCM Ltd., Series 29A, Class AR                                                                       | CUSIP: 50201MAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4863160.00   | 0.43%             | 2031-04-15      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                       | Westlake Automobile Receivables Trust, Series 2022-3A, Class A2                                      | CUSIP: 96043PAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10000000 | PA      | $9930494.00   | 0.87%             | 2025-07-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                                        | FNMA, REMIC, Series 2012-139, Class JA                                                               | CUSIP: 3136AALT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2204564 | PA      | $2080858.81   | 0.18%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                      | Santander Drive Auto Receivables Trust, Series 2022-5, Class A2                                      | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5880000 | PA      | $5836763.18   | 0.51%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer