# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-26-001798
**Filing Date:** 2026-1
**Character Count:** 1031579
**Document Hash:** e9ae7ee167723e2d1c47f45ee67d13d3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-001798.hdr.sgml**: 20260128

**ACCESSION NUMBER**: 0002071691-26-001798

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251130

**FILED AS OF DATE**: 20260128

**DATE AS OF CHANGE**: 20260128

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 26571317

**BUSINESS ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 390 MADISON AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10017

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**JPMorgan Short Duration Bond Fund**

**Schedule of Portfolio Investments as of November 30, 2025**

**(Unaudited)** 

---

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

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited)

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| **Asset-Backed Securities — 25.2%** | **Asset-Backed Securities — 25.2%** | **Asset-Backed Securities — 25.2%** |
| &nbsp;&nbsp;&nbsp; Accelerated LLC Series 2021-1H, Class A, 1.35%, 10/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 562 | &nbsp;&nbsp;&nbsp;&nbsp; 527 |
| &nbsp;&nbsp;&nbsp; Ally Auto Receivables Trust Series 2024-1, Class A3, 5.08%, 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5833 | &nbsp;&nbsp;&nbsp;&nbsp; 5870 |
| &nbsp;&nbsp;&nbsp; American Credit Acceptance Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 6.10%, 12/13/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1843 | &nbsp;&nbsp;&nbsp;&nbsp; 1844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 875 | &nbsp;&nbsp;&nbsp;&nbsp; 877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 4.90%, 3/12/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10625 | &nbsp;&nbsp;&nbsp;&nbsp; 10661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 544 | &nbsp;&nbsp;&nbsp;&nbsp; 544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3625 | &nbsp;&nbsp;&nbsp;&nbsp; 3659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class D, 6.47%, 8/13/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3, Class B, 4.75%, 9/12/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, 6.24%, 4/12/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11879 | &nbsp;&nbsp;&nbsp;&nbsp; 11985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class C, 4.91%, 8/12/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7700 | &nbsp;&nbsp;&nbsp;&nbsp; 7732 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, 5.09%, 8/12/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11470 | &nbsp;&nbsp;&nbsp;&nbsp; 11548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class D, 5.34%, 8/12/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2561 | &nbsp;&nbsp;&nbsp;&nbsp; 2576 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3, Class C, 4.95%, 7/12/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5416 | &nbsp;&nbsp;&nbsp;&nbsp; 5443 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 2.15%, 6/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8230 | &nbsp;&nbsp;&nbsp;&nbsp; 7748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class B, 1.78%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15096 | &nbsp;&nbsp;&nbsp;&nbsp; 14771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class C, 1.88%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class A, 1.48%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11422 | &nbsp;&nbsp;&nbsp;&nbsp; 11135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class B, 1.73%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7207 | &nbsp;&nbsp;&nbsp;&nbsp; 7011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR4, Class B, 2.42%, 12/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class C, 3.74%, 3/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 5410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class C, 4.00%, 10/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR2, Class A, 4.28%, 11/17/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9995 | &nbsp;&nbsp;&nbsp;&nbsp; 9907 |
| &nbsp;&nbsp;&nbsp; Amur Equipment Finance Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 5.65%, 10/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A2, 6.09%, 12/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1695 | &nbsp;&nbsp;&nbsp;&nbsp; 1710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.38%, 1/21/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3210 | &nbsp;&nbsp;&nbsp;&nbsp; 3246 |
| &nbsp;&nbsp;&nbsp; Ansley Park Capital LLC Series 2025-A, Class A2, 4.43%, 4/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25430 | &nbsp;&nbsp;&nbsp;&nbsp; 25473 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Issuer Trust Series 2025-A, Class A, 5.25%, 12/19/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18934 | &nbsp;&nbsp;&nbsp;&nbsp; 19310 |
| &nbsp;&nbsp;&nbsp; Aqua Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-A, Class A, 3.14%, 7/16/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 806 | &nbsp;&nbsp;&nbsp;&nbsp; 788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.54%, 7/17/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 787 | &nbsp;&nbsp;&nbsp;&nbsp; 724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 1.90%, 7/17/2046 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp; Arbor Realty Commercial Real Estate Notes Ltd. Series 2021-FL4, Class A, 5.42%, 11/15/2036 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1499 | &nbsp;&nbsp;&nbsp;&nbsp; 1499 |
| &nbsp;&nbsp;&nbsp; ARI Fleet Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A2, 4.38%, 1/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6290 | &nbsp;&nbsp;&nbsp;&nbsp; 6307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.46%, 1/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6058 |
| &nbsp;&nbsp;&nbsp; Auxilior Term Funding LLC Series 2023-1A, Class A2, 6.18%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2977 | &nbsp;&nbsp;&nbsp;&nbsp; 2993 |
| &nbsp;&nbsp;&nbsp; Avis Budget Rental Car Funding AESOP LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A, 2.02%, 2/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11432 | &nbsp;&nbsp;&nbsp;&nbsp; 11393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 1.66%, 2/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11899 | &nbsp;&nbsp;&nbsp;&nbsp; 11589 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 5.44%, 2/22/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 14175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, 4.30%, 8/21/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-6A, Class C, 7.03%, 12/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.85%, 6/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5750 | &nbsp;&nbsp;&nbsp;&nbsp; 5971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.48%, 6/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2087 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Bain Capital Credit CLO (Cayman Islands) Series 2018-2A, Class BR, 5.43%, 7/19/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp; Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2021-7A, Class A1R, 4.84%, 1/22/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24088 | &nbsp;&nbsp;&nbsp;&nbsp; 23990 |
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund LLC Series 2024-CAR1, Class A, 5.17%, 12/26/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3830 | &nbsp;&nbsp;&nbsp;&nbsp; 3841 |
| &nbsp;&nbsp;&nbsp; Bayview Opportunity Master Fund Trust Series 2024-SN1, Class C, 5.83%, 12/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1029 | &nbsp;&nbsp;&nbsp;&nbsp; 1040 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Asset-Backed Securities Trust Series 2003-SD2, Class 2A, 6.13%, 6/25/2043 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp; BlueMountain CLO Ltd. (Cayman Islands) Series 2021-32A, Class AR, 5.00%, 10/15/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27118 | &nbsp;&nbsp;&nbsp;&nbsp; 27072 |
| &nbsp;&nbsp;&nbsp; BOF Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CAR3, Class C, 4.50%, 7/26/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 862 | &nbsp;&nbsp;&nbsp;&nbsp; 859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CAR3, Class A2, 6.29%, 7/26/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4198 | &nbsp;&nbsp;&nbsp;&nbsp; 4265 |
| &nbsp;&nbsp;&nbsp; BofA Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 5.35%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6271 | &nbsp;&nbsp;&nbsp;&nbsp; 6317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A4, 5.31%, 6/17/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4260 | &nbsp;&nbsp;&nbsp;&nbsp; 4342 |
| &nbsp;&nbsp;&nbsp; Bridge Trust Series 2025-SFR1, Class A, 4.05%, 9/17/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 10162 |
| &nbsp;&nbsp;&nbsp; Bridgecrest Lending Auto Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.43%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5155 | &nbsp;&nbsp;&nbsp;&nbsp; 5164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, 5.65%, 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3, Class C, 5.70%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 10434 | &nbsp;&nbsp;&nbsp;&nbsp; 10540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 6.80%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1097 | &nbsp;&nbsp;&nbsp;&nbsp; 1102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 7.10%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6950 | &nbsp;&nbsp;&nbsp;&nbsp; 7065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 5.94%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp; 1083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, 6.07%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10360 | &nbsp;&nbsp;&nbsp;&nbsp; 10521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class B, 4.77%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4010 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class C, 4.83%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6440 | &nbsp;&nbsp;&nbsp;&nbsp; 6459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, 5.64%, 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 6835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class D, 5.62%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4, Class B, 4.30%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2855 | &nbsp;&nbsp;&nbsp;&nbsp; 2852 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4, Class C, 4.80%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2485 | &nbsp;&nbsp;&nbsp;&nbsp; 2492 |
| &nbsp;&nbsp;&nbsp; BRSP Ltd. Series 2021-FL1, Class A, 5.22%, 8/19/2038 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2190 | &nbsp;&nbsp;&nbsp;&nbsp; 2185 |
| &nbsp;&nbsp;&nbsp; Business Jet Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.20%, 5/15/2039 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12353 | &nbsp;&nbsp;&nbsp;&nbsp; 12622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.36%, 9/15/2039 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18357 | &nbsp;&nbsp;&nbsp;&nbsp; 18534 |
| &nbsp;&nbsp;&nbsp; Buttermilk Park CLO Ltd. (Cayman Islands) Series 2018-1A, Class A1R, 4.98%, 10/15/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4545 | &nbsp;&nbsp;&nbsp;&nbsp; 4543 |
| &nbsp;&nbsp;&nbsp; BXMT Ltd. Series 2021-FL4, Class A, 5.13%, 5/15/2038 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3586 | &nbsp;&nbsp;&nbsp;&nbsp; 3579 |
| &nbsp;&nbsp;&nbsp; Carlyle US CLO Ltd. (Cayman Islands) Series 2021-9A, Class AR, 4.99%, 10/20/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18500 | &nbsp;&nbsp;&nbsp;&nbsp; 18490 |
| &nbsp;&nbsp;&nbsp; Carmax Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.84%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 11142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class A3, 4.48%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6890 | &nbsp;&nbsp;&nbsp;&nbsp; 6956 |
| &nbsp;&nbsp;&nbsp; CarMax Auto Owner Trust Series 2024-2, Class A3, 5.50%, 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5125 | &nbsp;&nbsp;&nbsp;&nbsp; 5187 |
| &nbsp;&nbsp;&nbsp; CarVal CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class AR, 5.12%, 7/16/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11411 | &nbsp;&nbsp;&nbsp;&nbsp; 11419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class AR2, 4.90%, 4/20/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25631 | &nbsp;&nbsp;&nbsp;&nbsp; 25620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR2, 4.87%, 7/20/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9286 | &nbsp;&nbsp;&nbsp;&nbsp; 9281 |
| &nbsp;&nbsp;&nbsp; CarVal CLO VC Ltd. (Cayman Islands) Series 2021-2A, Class A, 5.37%, 10/15/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp; 1106 |
| &nbsp;&nbsp;&nbsp; Carvana Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P4, Class A2, 4.62%, 2/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1267 | &nbsp;&nbsp;&nbsp;&nbsp; 1268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-N1, Class A3, 5.60%, 3/10/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3696 | &nbsp;&nbsp;&nbsp;&nbsp; 3704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-P2, Class B, 5.08%, 4/10/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4175 | &nbsp;&nbsp;&nbsp;&nbsp; 4209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P3, Class A3, 5.82%, 8/10/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1854 | &nbsp;&nbsp;&nbsp;&nbsp; 1866 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class B, 1.24%, 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 566 | &nbsp;&nbsp;&nbsp;&nbsp; 550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class C, 1.72%, 9/11/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 616 | &nbsp;&nbsp;&nbsp;&nbsp; 600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P1, Class A4, 5.94%, 1/10/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3552 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-P4, Class A2, 4.19%, 3/12/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 31265 | &nbsp;&nbsp;&nbsp;&nbsp; 31284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P1, Class A3, 5.05%, 4/10/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9006 | &nbsp;&nbsp;&nbsp;&nbsp; 9058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P2, Class A3, 5.33%, 7/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 7332 | &nbsp;&nbsp;&nbsp;&nbsp; 7385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P3, Class A4, 5.71%, 7/10/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1750 | &nbsp;&nbsp;&nbsp;&nbsp; 1791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P3, Class A3, 4.26%, 10/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 12545 | &nbsp;&nbsp;&nbsp;&nbsp; 12560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P4, Class A3, 4.64%, 1/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-P5, Class C, 6.55%, 2/11/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P1, Class A4, 5.08%, 3/11/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp; 3313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P1, Class B, 5.37%, 5/10/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5700 | &nbsp;&nbsp;&nbsp;&nbsp; 5857 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-N1, Class B, 5.63%, 5/10/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14857 | &nbsp;&nbsp;&nbsp;&nbsp; 14995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P2, Class B, 5.38%, 8/12/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 8186 | &nbsp;&nbsp;&nbsp;&nbsp; 8411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P3, Class A4, 4.31%, 9/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 1007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-N3, Class B, 4.67%, 12/10/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13500 | &nbsp;&nbsp;&nbsp;&nbsp; 13548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P4, Class A4, 4.74%, 12/10/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5085 |
| &nbsp;&nbsp;&nbsp; CFMT LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB13, Class A, 3.00%, 5/25/2034 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2598 | &nbsp;&nbsp;&nbsp;&nbsp; 2565 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HB9, Class A, 3.25%, 9/25/2037 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2970 | &nbsp;&nbsp;&nbsp;&nbsp; 2928 |
| &nbsp;&nbsp;&nbsp; Cherry Securitization Trust Series 2024-1A, Class A, 5.70%, 4/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12115 | &nbsp;&nbsp;&nbsp;&nbsp; 12196 |
| &nbsp;&nbsp;&nbsp; CIFC Funding Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class AR3, 4.87%, 10/21/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23079 | &nbsp;&nbsp;&nbsp;&nbsp; 23069 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1R, 4.85%, 4/19/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23000 | &nbsp;&nbsp;&nbsp;&nbsp; 22894 |
| &nbsp;&nbsp;&nbsp; Clarus Capital Funding LLC Series 2024-1A, Class A2, 4.71%, 8/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5407 | &nbsp;&nbsp;&nbsp;&nbsp; 5424 |
| &nbsp;&nbsp;&nbsp; Columbia Cent CLO Ltd. (Cayman Islands) Series 2021-31A, Class A1R, 4.98%, 4/20/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29000 | &nbsp;&nbsp;&nbsp;&nbsp; 28957 |
| &nbsp;&nbsp;&nbsp; Consumer Portfolio Services Auto Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class B, 4.79%, 11/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7600 | &nbsp;&nbsp;&nbsp;&nbsp; 7631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class C, 5.12%, 7/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3528 |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust Series 2020-3, Class A, 1.36%, 8/15/2053 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 186 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class D, 2.84%, 4/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2196 | &nbsp;&nbsp;&nbsp;&nbsp; 2184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2250 | &nbsp;&nbsp;&nbsp;&nbsp; 2286 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class C, 5.28%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 490 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5040 | &nbsp;&nbsp;&nbsp;&nbsp; 5093 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.48%, 3/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A, 5.92%, 5/16/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3194 | &nbsp;&nbsp;&nbsp;&nbsp; 3201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 7.02%, 5/16/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class B, 6.61%, 7/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6054 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class C, 7.71%, 7/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 6.39%, 8/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1262 | &nbsp;&nbsp;&nbsp;&nbsp; 1269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class B, 7.09%, 10/17/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1350 | &nbsp;&nbsp;&nbsp;&nbsp; 1375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 7.62%, 12/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5952 | &nbsp;&nbsp;&nbsp;&nbsp; 6140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class B, 6.71%, 2/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.68%, 3/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14025 | &nbsp;&nbsp;&nbsp;&nbsp; 14144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class C, 7.30%, 4/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8892 | &nbsp;&nbsp;&nbsp;&nbsp; 9182 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.95%, 6/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7714 | &nbsp;&nbsp;&nbsp;&nbsp; 7852 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.71%, 7/17/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15450 | &nbsp;&nbsp;&nbsp;&nbsp; 15796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 6.11%, 8/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 8176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A, 4.68%, 9/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9381 | &nbsp;&nbsp;&nbsp;&nbsp; 9429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 6.70%, 10/16/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class B, 4.85%, 11/15/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9343 | &nbsp;&nbsp;&nbsp;&nbsp; 9370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 5.39%, 1/16/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.02%, 3/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16800 | &nbsp;&nbsp;&nbsp;&nbsp; 16994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class C, 5.71%, 7/16/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6615 | &nbsp;&nbsp;&nbsp;&nbsp; 6767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 4.50%, 11/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24100 | &nbsp;&nbsp;&nbsp;&nbsp; 24165 |
| &nbsp;&nbsp;&nbsp; Crossroads Asset Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A2, 5.90%, 8/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3946 | &nbsp;&nbsp;&nbsp;&nbsp; 3986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.94%, 8/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3945 | &nbsp;&nbsp;&nbsp;&nbsp; 4024 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A2, 4.91%, 2/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 3018 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.97%, 10/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; Dell Equipment Finance Trust Series 2025-1, Class A3, 4.61%, 2/24/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp; 3279 |
| &nbsp;&nbsp;&nbsp; Dext ABS LLC Series 2025-1, Class A3, 4.77%, 8/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13625 | &nbsp;&nbsp;&nbsp;&nbsp; 13773 |
| &nbsp;&nbsp;&nbsp; DLLAA LLC Series 2025-1A, Class A3, 4.95%, 9/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7800 | &nbsp;&nbsp;&nbsp;&nbsp; 7956 |
| &nbsp;&nbsp;&nbsp; Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.31%, 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3750 | &nbsp;&nbsp;&nbsp;&nbsp; 3766 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 4.52%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 20728 | &nbsp;&nbsp;&nbsp;&nbsp; 20781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class C, 5.43%, 11/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7142 | &nbsp;&nbsp;&nbsp;&nbsp; 7234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class C, 4.67%, 5/17/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 10137 | &nbsp;&nbsp;&nbsp;&nbsp; 10189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class C, 4.39%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5830 | &nbsp;&nbsp;&nbsp;&nbsp; 5826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, 4.99%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7079 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, 5.41%, 9/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3800 | &nbsp;&nbsp;&nbsp;&nbsp; 3852 |
| &nbsp;&nbsp;&nbsp; Dryden CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-72A, Class ARR, 4.95%, 5/15/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8575 | &nbsp;&nbsp;&nbsp;&nbsp; 8572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-86A, Class A1R2, 5.01%, 7/17/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-86A, Class BR2, 5.48%, 7/17/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4070 | &nbsp;&nbsp;&nbsp;&nbsp; 4071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-68A, Class ARR, 5.00%, 7/15/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1999 |
| &nbsp;&nbsp;&nbsp; Dryden Senior Loan Fund (Cayman Islands) Series 2017-49A, Class AR, 5.10%, 7/18/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp; DT Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3410 | &nbsp;&nbsp;&nbsp;&nbsp; 3389 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1993 | &nbsp;&nbsp;&nbsp;&nbsp; 2022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.40%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6746 | &nbsp;&nbsp;&nbsp;&nbsp; 6800 |
| &nbsp;&nbsp;&nbsp; Elara Hgv Timeshare Issuer LLC Series 2025-A, Class A, 4.54%, 1/25/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7682 | &nbsp;&nbsp;&nbsp;&nbsp; 7697 |
| &nbsp;&nbsp;&nbsp; Elara HGV Timeshare Issuer LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.36%, 8/27/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp;&nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 1.74%, 8/27/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp;&nbsp;&nbsp; 380 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 5.61%, 4/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 479 | &nbsp;&nbsp;&nbsp;&nbsp; 479 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.21%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4283 | &nbsp;&nbsp;&nbsp;&nbsp; 4305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class C, 6.85%, 1/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 9127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6A, Class D, 8.03%, 4/6/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6964 | &nbsp;&nbsp;&nbsp;&nbsp; 7192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.74%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 15216 | &nbsp;&nbsp;&nbsp;&nbsp; 15344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 4.91%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3164 | &nbsp;&nbsp;&nbsp;&nbsp; 3190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5A, Class D, 7.13%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3300 | &nbsp;&nbsp;&nbsp;&nbsp; 3411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class C, 4.57%, 6/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3425 | &nbsp;&nbsp;&nbsp;&nbsp; 3435 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 5.09%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class D, 5.57%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class D, 5.23%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6460 | &nbsp;&nbsp;&nbsp;&nbsp; 6496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5A, Class C, 4.68%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5730 | &nbsp;&nbsp;&nbsp;&nbsp; 5761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5A, Class D, 5.16%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 975 | &nbsp;&nbsp;&nbsp;&nbsp; 981 |
| &nbsp;&nbsp;&nbsp; Exeter Select Automobile Receivables Trust Series 2025-3, Class B, 4.42%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1365 | &nbsp;&nbsp;&nbsp;&nbsp; 1367 |
| &nbsp;&nbsp;&nbsp; FHF Issuer Trust Series 2024-3A, Class A2, 4.94%, 11/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19463 | &nbsp;&nbsp;&nbsp;&nbsp; 19401 |
| &nbsp;&nbsp;&nbsp; FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2078 | &nbsp;&nbsp;&nbsp;&nbsp; 2089 |
| &nbsp;&nbsp;&nbsp; First Investors Auto Owner Trust Series 2023-1A, Class B, 6.55%, 12/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5685 | &nbsp;&nbsp;&nbsp;&nbsp; 5793 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 1.79%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5165 | &nbsp;&nbsp;&nbsp;&nbsp; 5062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 3917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.19%, 8/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 12740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class B, 4.49%, 5/19/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class C, 4.64%, 5/19/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 6975 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class B, 4.50%, 7/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9500 | &nbsp;&nbsp;&nbsp;&nbsp; 9468 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3423 | &nbsp;&nbsp;&nbsp;&nbsp; 3406 |
| &nbsp;&nbsp;&nbsp; Foundation Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5191 | &nbsp;&nbsp;&nbsp;&nbsp; 4943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.95%, 4/15/2050 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10224 | &nbsp;&nbsp;&nbsp;&nbsp; 10360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 4.67%, 4/15/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2599 | &nbsp;&nbsp;&nbsp;&nbsp; 2615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A, 4.56%, 8/15/2052 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12255 | &nbsp;&nbsp;&nbsp;&nbsp; 12286 |
| &nbsp;&nbsp;&nbsp; FRTKL |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4050 | &nbsp;&nbsp;&nbsp;&nbsp; 3957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 1.72%, 9/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4960 | &nbsp;&nbsp;&nbsp;&nbsp; 4840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class C, 1.92%, 9/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4879 |
| &nbsp;&nbsp;&nbsp; Galaxy CLO Ltd. (Cayman Islands) Series 2022-30A, Class XR, 5.00%, 1/15/2038 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1562 | &nbsp;&nbsp;&nbsp;&nbsp; 1562 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class B, 4.97%, 10/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5046 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 5.64%, 12/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4925 | &nbsp;&nbsp;&nbsp;&nbsp; 4983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4A, Class B, 4.53%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9855 | &nbsp;&nbsp;&nbsp;&nbsp; 9894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class C, 5.11%, 1/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11500 | &nbsp;&nbsp;&nbsp;&nbsp; 11632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class D, 5.59%, 1/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6250 | &nbsp;&nbsp;&nbsp;&nbsp; 6340 |
| &nbsp;&nbsp;&nbsp; GLS Auto Select Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A2, 6.37%, 6/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1083 | &nbsp;&nbsp;&nbsp;&nbsp; 1088 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A3, 5.96%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3097 | &nbsp;&nbsp;&nbsp;&nbsp; 3121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 6.09%, 3/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp; 3469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A2, 5.59%, 10/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3502 | &nbsp;&nbsp;&nbsp;&nbsp; 3538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4A, Class A2, 4.43%, 12/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5618 | &nbsp;&nbsp;&nbsp;&nbsp; 5632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.24%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4058 | &nbsp;&nbsp;&nbsp;&nbsp; 4084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.32%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2030 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 5.69%, 3/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 973 | &nbsp;&nbsp;&nbsp;&nbsp; 995 |
| &nbsp;&nbsp;&nbsp; GoldenTree Loan Management US CLO Ltd. (Cayman Islands) Series 2020-8A, Class ARR, 5.03%, 10/20/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1900 | &nbsp;&nbsp;&nbsp;&nbsp; 1899 |
| &nbsp;&nbsp;&nbsp; Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2553 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 |
| &nbsp;&nbsp;&nbsp; GoodLeap Home Improvement Solutions Trust Series 2025-3A, Class A, 5.00%, 10/20/2049 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19090 | &nbsp;&nbsp;&nbsp;&nbsp; 19130 |
| &nbsp;&nbsp;&nbsp; Granite Park Equipment Leasing LLC Series 2023-1A, Class A3, 6.46%, 9/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4540 | &nbsp;&nbsp;&nbsp;&nbsp; 4574 |
| &nbsp;&nbsp;&nbsp; GreatAmerica Leasing Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A2, 4.52%, 10/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3600 | &nbsp;&nbsp;&nbsp;&nbsp; 3611 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A3, 4.49%, 4/16/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6616 | &nbsp;&nbsp;&nbsp;&nbsp; 6686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A4, 4.58%, 1/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5138 | &nbsp;&nbsp;&nbsp;&nbsp; 5228 |
| &nbsp;&nbsp;&nbsp; GreenSky Home Improvement Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A4, 5.15%, 10/27/2059 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 462 | &nbsp;&nbsp;&nbsp;&nbsp; 470 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 5.12%, 3/25/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3031 | &nbsp;&nbsp;&nbsp;&nbsp; 3044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A2, 4.59%, 12/27/2060 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14805 | &nbsp;&nbsp;&nbsp;&nbsp; 14863 |
| &nbsp;&nbsp;&nbsp; GreenSky Home Improvement Trust Series 2024-1, Class A2, 5.88%, 6/25/2059 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2023 | &nbsp;&nbsp;&nbsp;&nbsp; 2033 |
| &nbsp;&nbsp;&nbsp; GS Mortgage-Backed Securities Trust Series 2025-SL1, Class A1, 5.85%, 11/25/2067 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20281 | &nbsp;&nbsp;&nbsp;&nbsp; 20450 |
| &nbsp;&nbsp;&nbsp; Harley-Davidson Motorcycle Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.37%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 14001 | &nbsp;&nbsp;&nbsp;&nbsp; 14132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.31%, 7/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8867 | &nbsp;&nbsp;&nbsp;&nbsp; 8896 |
| &nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, 5.94%, 2/25/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 10759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A, 5.57%, 9/25/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A, 5.06%, 12/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12750 | &nbsp;&nbsp;&nbsp;&nbsp; 12944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class B, 5.59%, 12/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 3033 |
| &nbsp;&nbsp;&nbsp; Hertz Vehicle Financing LP Series 2021-2A, Class B, 2.12%, 12/27/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3650 | &nbsp;&nbsp;&nbsp;&nbsp; 3568 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.72%, 1/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1294 | &nbsp;&nbsp;&nbsp;&nbsp; 1325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.50%, 3/25/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1044 | &nbsp;&nbsp;&nbsp;&nbsp; 1068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-AA, Class A, 2.74%, 2/25/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A, 4.98%, 8/27/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7631 | &nbsp;&nbsp;&nbsp;&nbsp; 7730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.88%, 5/27/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2763 | &nbsp;&nbsp;&nbsp;&nbsp; 2808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 4.54%, 5/25/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9689 | &nbsp;&nbsp;&nbsp;&nbsp; 9744 |
| &nbsp;&nbsp;&nbsp; Home Partners of America Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class A, 1.90%, 12/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1118 | &nbsp;&nbsp;&nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 2.30%, 12/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18230 | &nbsp;&nbsp;&nbsp;&nbsp; 17811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16215 | &nbsp;&nbsp;&nbsp;&nbsp; 16063 |
| &nbsp;&nbsp;&nbsp; Huntington Bank Auto Credit-Linked Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B2, 5.50%, 5/20/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8745 | &nbsp;&nbsp;&nbsp;&nbsp; 8768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B1, 5.44%, 10/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3367 | &nbsp;&nbsp;&nbsp;&nbsp; 3402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class B1, 4.84%, 9/20/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12408 | &nbsp;&nbsp;&nbsp;&nbsp; 12486 |
| &nbsp;&nbsp;&nbsp; Hyundai Auto Lease Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.83%, 1/18/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4817 | &nbsp;&nbsp;&nbsp;&nbsp; 4864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A4, 5.07%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class A3, 4.53%, 4/17/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12099 |
| &nbsp;&nbsp;&nbsp; Identity Digital Capital LLC, 6.79%, 3/20/2065 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15220 |
| &nbsp;&nbsp;&nbsp; Jamestown CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-17A, Class AR, 5.06%, 1/25/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21500 | &nbsp;&nbsp;&nbsp;&nbsp; 21494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-17A, Class B1R, 5.55%, 1/25/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp; 2994 |
| &nbsp;&nbsp;&nbsp; John Deere Owner Trust Series 2024-C, Class A4, 4.15%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6830 | &nbsp;&nbsp;&nbsp;&nbsp; 6854 |
| &nbsp;&nbsp;&nbsp; KKR CLO Ltd. (Cayman Islands) Series 28A, Class AR2, 4.99%, 2/9/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 19989 |
| &nbsp;&nbsp;&nbsp; KKR Static CLO Ltd. (Cayman Islands) Series 2022-1A, Class AR2, 4.86%, 7/20/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10324 | &nbsp;&nbsp;&nbsp;&nbsp; 10320 |
| &nbsp;&nbsp;&nbsp; LCM Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 36A, Class A1R, 4.97%, 1/15/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24873 | &nbsp;&nbsp;&nbsp;&nbsp; 24854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 34A, Class A1R, 5.06%, 10/20/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14996 |
| &nbsp;&nbsp;&nbsp; Lendbuzz Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 4.22%, 5/17/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2548 | &nbsp;&nbsp;&nbsp;&nbsp; 2547 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A2, 7.09%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1146 | &nbsp;&nbsp;&nbsp;&nbsp; 1161 |
| &nbsp;&nbsp;&nbsp; Lending Funding Trust Series 2020-2A, Class A, 2.32%, 4/21/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14343 | &nbsp;&nbsp;&nbsp;&nbsp; 14071 |
| &nbsp;&nbsp;&nbsp; Lendmark Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24260 | &nbsp;&nbsp;&nbsp;&nbsp; 23562 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 2.00%, 4/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11888 | &nbsp;&nbsp;&nbsp;&nbsp; 11476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 4.47%, 2/21/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8625 | &nbsp;&nbsp;&nbsp;&nbsp; 8635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 4.78%, 10/20/2034 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12101 | &nbsp;&nbsp;&nbsp;&nbsp; 12211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A, 4.51%, 5/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13985 | &nbsp;&nbsp;&nbsp;&nbsp; 13993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 5.04%, 5/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1996 |
| &nbsp;&nbsp;&nbsp; M&T Equipment Notes Series 2023-1A, Class A3, 5.74%, 7/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6591 | &nbsp;&nbsp;&nbsp;&nbsp; 6632 |
| &nbsp;&nbsp;&nbsp; Madison Park Funding Ltd. (Cayman Islands) Series 13A, Class AR2, 4.78%, 11/21/2030 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14138 | &nbsp;&nbsp;&nbsp;&nbsp; 14134 |
| &nbsp;&nbsp;&nbsp; Marble Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class A1R2, 4.90%, 7/23/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9024 | &nbsp;&nbsp;&nbsp;&nbsp; 9017 |
| &nbsp;&nbsp;&nbsp; Mariner Finance Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15923 | &nbsp;&nbsp;&nbsp;&nbsp; 15636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AA, Class A, 5.13%, 9/22/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13441 | &nbsp;&nbsp;&nbsp;&nbsp; 13626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class A, 2.10%, 11/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp; 3304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class B, 5.33%, 5/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class C, 5.69%, 5/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2720 | &nbsp;&nbsp;&nbsp;&nbsp; 2766 |
| &nbsp;&nbsp;&nbsp; Merchants Fleet Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 7.21%, 5/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4909 | &nbsp;&nbsp;&nbsp;&nbsp; 4933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.82%, 4/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17312 | &nbsp;&nbsp;&nbsp;&nbsp; 17426 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust Series 2024-2A, Class A, 6.56%, 7/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12886 | &nbsp;&nbsp;&nbsp;&nbsp; 12961 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley ABS Capital I, Inc. Trust Series 2003-SD1, Class M1, 6.32%, 3/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp; MVW LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 1.74%, 10/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 549 | &nbsp;&nbsp;&nbsp;&nbsp; 539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 4.43%, 3/20/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6368 | &nbsp;&nbsp;&nbsp;&nbsp; 6390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, 4.48%, 10/20/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17809 | &nbsp;&nbsp;&nbsp;&nbsp; 17879 |
| &nbsp;&nbsp;&nbsp; Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-41A, Class AR, 4.95%, 4/15/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 14993 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-42A, Class AR, 4.84%, 7/16/2036 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 17250 | &nbsp;&nbsp;&nbsp;&nbsp; 17238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-45A, Class AR, 4.97%, 10/14/2036 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3025 | &nbsp;&nbsp;&nbsp;&nbsp; 3023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-38A, Class AR2, 4.84%, 10/20/2036 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13990 |
| &nbsp;&nbsp;&nbsp; New Economy Assets-Phase 1 Sponsor LLC Series 2021-1, Class A1, 1.91%, 10/20/2061 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1816 | &nbsp;&nbsp;&nbsp;&nbsp; 1539 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class B, 3.75%, 9/4/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class C, 3.75%, 9/4/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 10780 |
| &nbsp;&nbsp;&nbsp; NMABS Issuer LLC Series 2025-1A, Class A, 5.14%, 11/20/2055 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23346 | &nbsp;&nbsp;&nbsp;&nbsp; 23445 |
| &nbsp;&nbsp;&nbsp; NMEF Funding LLC Series 2023-A, Class A2, 6.57%, 6/17/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2296 | &nbsp;&nbsp;&nbsp;&nbsp; 2309 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2021 | &nbsp;&nbsp;&nbsp;&nbsp; 1983 |
| &nbsp;&nbsp;&nbsp; OCP CLO Ltd. (Cayman Islands) Series 2017-13A, Class AR2, 5.21%, 11/26/2037 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp; 2300 |
| &nbsp;&nbsp;&nbsp; Octagon Investment Partners Ltd. (Cayman Islands) Series 2018-18A, Class A1A, 5.12%, 4/16/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 419 | &nbsp;&nbsp;&nbsp;&nbsp; 419 |
| &nbsp;&nbsp;&nbsp; Octane Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.02%, 9/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1422 | &nbsp;&nbsp;&nbsp;&nbsp; 1417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.87%, 5/21/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class B, 5.96%, 7/20/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6348 | &nbsp;&nbsp;&nbsp;&nbsp; 6379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 7.70%, 2/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 9274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.68%, 5/20/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6427 | &nbsp;&nbsp;&nbsp;&nbsp; 6475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 4.25%, 2/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4499 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 5.77%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.90%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2556 |
| &nbsp;&nbsp;&nbsp; OnDeck Asset Securitization Trust LLC Series 2023-1A, Class A, 7.00%, 8/19/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5850 | &nbsp;&nbsp;&nbsp;&nbsp; 5915 |
| &nbsp;&nbsp;&nbsp; Oportun Funding Trust Series 2024-3, Class A, 5.26%, 8/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3365 | &nbsp;&nbsp;&nbsp;&nbsp; 3362 |
| &nbsp;&nbsp;&nbsp; Oportun Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1347 | &nbsp;&nbsp;&nbsp;&nbsp; 1323 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 2.18%, 10/8/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7099 | &nbsp;&nbsp;&nbsp;&nbsp; 6972 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A, 5.01%, 2/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class B, 5.30%, 2/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class C, 5.89%, 2/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-B, Class A, 4.88%, 5/9/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-C, Class B, 4.93%, 7/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10500 | &nbsp;&nbsp;&nbsp;&nbsp; 10485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-C, Class C, 5.18%, 7/8/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4250 | &nbsp;&nbsp;&nbsp;&nbsp; 4234 |
| &nbsp;&nbsp;&nbsp; Palmer Square Loan Funding Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A1R, 4.91%, 1/25/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8405 | &nbsp;&nbsp;&nbsp;&nbsp; 8405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A1, 4.94%, 8/8/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10055 | &nbsp;&nbsp;&nbsp;&nbsp; 10055 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, 4.65%, 2/15/2033 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19255 | &nbsp;&nbsp;&nbsp;&nbsp; 19177 |
| &nbsp;&nbsp;&nbsp; PEAC Solutions Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A2, 4.74%, 4/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5032 | &nbsp;&nbsp;&nbsp;&nbsp; 5041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.79%, 6/21/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7090 | &nbsp;&nbsp;&nbsp;&nbsp; 7144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 4.94%, 10/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17740 | &nbsp;&nbsp;&nbsp;&nbsp; 17848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A3, 4.65%, 10/20/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 5.04%, 7/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5098 |
| &nbsp;&nbsp;&nbsp; Post Road Equipment Finance LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.59%, 11/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5476 | &nbsp;&nbsp;&nbsp;&nbsp; 5499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 4.90%, 5/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7460 | &nbsp;&nbsp;&nbsp;&nbsp; 7512 |
| &nbsp;&nbsp;&nbsp; PowerPay Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.53%, 2/18/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1784 | &nbsp;&nbsp;&nbsp;&nbsp; 1841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.23%, 11/18/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1957 | &nbsp;&nbsp;&nbsp;&nbsp; 1964 |
| &nbsp;&nbsp;&nbsp; Progress Residential |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class B, 1.89%, 5/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16067 | &nbsp;&nbsp;&nbsp;&nbsp; 15879 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp; 1778 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR5, Class A, 3.00%, 8/9/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15634 | &nbsp;&nbsp;&nbsp;&nbsp; 14894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7224 | &nbsp;&nbsp;&nbsp;&nbsp; 7112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class B, 1.75%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 17500 | &nbsp;&nbsp;&nbsp;&nbsp; 17220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class B, 1.68%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 8834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4650 | &nbsp;&nbsp;&nbsp;&nbsp; 4560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR6, Class B, 5.00%, 7/20/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR9, Class B, 2.26%, 11/17/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class B, 2.72%, 12/17/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4178 | &nbsp;&nbsp;&nbsp;&nbsp; 3979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class C, 3.40%, 4/17/2041 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14000 | &nbsp;&nbsp;&nbsp;&nbsp; 13361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR3, Class C, 3.50%, 6/17/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8500 | &nbsp;&nbsp;&nbsp;&nbsp; 8120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class A, 3.10%, 7/17/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 30605 | &nbsp;&nbsp;&nbsp;&nbsp; 29321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR6, Class A, 4.00%, 9/17/2042 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 7150 | &nbsp;&nbsp;&nbsp;&nbsp; 6983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR6, Class C, 4.00%, 9/17/2042 (a) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 8338 | &nbsp;&nbsp;&nbsp;&nbsp; 7999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SFR5, Class A, 3.85%, 10/17/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8980 | &nbsp;&nbsp;&nbsp;&nbsp; 8727 |
| &nbsp;&nbsp;&nbsp; Purewest ABS Issuer LLC Series 2025-1, Class A1, 5.69%, 4/5/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18367 | &nbsp;&nbsp;&nbsp;&nbsp; 18611 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; Reach ABS Trust Series 2025-1A, Class A, 4.96%, 8/16/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2839 | &nbsp;&nbsp;&nbsp;&nbsp; 2847 |
| &nbsp;&nbsp;&nbsp; Regional Management Issuance Trust Series 2021-2, Class A, 1.90%, 8/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8103 | &nbsp;&nbsp;&nbsp;&nbsp; 7834 |
| &nbsp;&nbsp;&nbsp; Republic Finance Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 2.80%, 12/22/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2632 | &nbsp;&nbsp;&nbsp;&nbsp; 2617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A, 5.42%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 14486 | &nbsp;&nbsp;&nbsp;&nbsp; 14774 |
| &nbsp;&nbsp;&nbsp; Santander Bank Auto Credit-Linked Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A2, 5.61%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1737 | &nbsp;&nbsp;&nbsp;&nbsp; 1770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.62%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2719 | &nbsp;&nbsp;&nbsp;&nbsp; 2757 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class C, 5.82%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6627 | &nbsp;&nbsp;&nbsp;&nbsp; 6712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class D, 6.11%, 6/15/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2039 | &nbsp;&nbsp;&nbsp;&nbsp; 2064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class D, 6.66%, 12/15/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1519 | &nbsp;&nbsp;&nbsp;&nbsp; 1542 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4, Class B, 5.77%, 12/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7291 | &nbsp;&nbsp;&nbsp;&nbsp; 7362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-6, Class B, 5.98%, 4/16/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class C, 4.49%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 9592 | &nbsp;&nbsp;&nbsp;&nbsp; 9594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class B, 4.93%, 9/17/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 817 | &nbsp;&nbsp;&nbsp;&nbsp; 822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class C, 5.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 18722 | &nbsp;&nbsp;&nbsp;&nbsp; 18808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3, Class C, 5.77%, 11/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class D, 5.67%, 12/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 16625 | &nbsp;&nbsp;&nbsp;&nbsp; 16773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5, Class C, 4.78%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2249 | &nbsp;&nbsp;&nbsp;&nbsp; 2266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-6, Class D, 5.69%, 2/18/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10600 | &nbsp;&nbsp;&nbsp;&nbsp; 10676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5, Class C, 6.43%, 2/18/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6750 | &nbsp;&nbsp;&nbsp;&nbsp; 7007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 4.88%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3900 | &nbsp;&nbsp;&nbsp;&nbsp; 3929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class C, 5.04%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4600 | &nbsp;&nbsp;&nbsp;&nbsp; 4661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class D, 5.43%, 3/17/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7234 | &nbsp;&nbsp;&nbsp;&nbsp; 7342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class B, 4.87%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8840 | &nbsp;&nbsp;&nbsp;&nbsp; 8934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class D, 5.47%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3800 | &nbsp;&nbsp;&nbsp;&nbsp; 3858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class D, 6.28%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp; 4836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4, Class C, 6.04%, 12/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 14925 | &nbsp;&nbsp;&nbsp;&nbsp; 15308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4, Class C, 4.52%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5012 |
| &nbsp;&nbsp;&nbsp; SBNA Auto Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 5.56%, 11/22/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1376 | &nbsp;&nbsp;&nbsp;&nbsp; 1384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A4, 5.55%, 12/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 9105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A4, 5.24%, 1/22/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp; 4020 |
| &nbsp;&nbsp;&nbsp; SBNA Auto Receivables Trust Series 2024-A, Class D, 6.04%, 4/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2048 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, 4.82%, 7/22/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4321 | &nbsp;&nbsp;&nbsp;&nbsp; 4334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 5.52%, 1/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7073 | &nbsp;&nbsp;&nbsp;&nbsp; 7194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A3, 6.17%, 5/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2084 | &nbsp;&nbsp;&nbsp;&nbsp; 2111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A3, 4.33%, 6/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5400 | &nbsp;&nbsp;&nbsp;&nbsp; 5412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class B, 4.51%, 6/20/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10990 | &nbsp;&nbsp;&nbsp;&nbsp; 10981 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 0.99%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 412 | &nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 1.34%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 1.79%, 11/20/2037 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp; 225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class B, 6.32%, 7/20/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 603 | &nbsp;&nbsp;&nbsp;&nbsp; 615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, 5.04%, 6/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, 6.36%, 6/20/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp; 312 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.14%, 6/20/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5391 | &nbsp;&nbsp;&nbsp;&nbsp; 5484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.81%, 1/21/2042 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3521 | &nbsp;&nbsp;&nbsp;&nbsp; 3551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class A, 4.44%, 8/22/2044 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5867 | &nbsp;&nbsp;&nbsp;&nbsp; 5888 |
| &nbsp;&nbsp;&nbsp; Southwick Park CLO LLC (Cayman Islands) Series 2019-4A, Class A1RR, 4.88%, 7/20/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4284 | &nbsp;&nbsp;&nbsp;&nbsp; 4281 |
| &nbsp;&nbsp;&nbsp; Stonepeak ABS Series 2021-1A, 2.30%, 2/28/2033 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3048 | &nbsp;&nbsp;&nbsp;&nbsp; 2967 |
| &nbsp;&nbsp;&nbsp; Stream Innovations Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, 5.21%, 2/15/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3499 | &nbsp;&nbsp;&nbsp;&nbsp; 3548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.05%, 9/15/2045 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11867 | &nbsp;&nbsp;&nbsp;&nbsp; 11997 |
| &nbsp;&nbsp;&nbsp; Symphony CLO Ltd. (Cayman Islands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-19A, Class A, 5.12%, 4/16/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 921 | &nbsp;&nbsp;&nbsp;&nbsp; 921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-16A, Class ARR, 5.10%, 10/15/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7968 | &nbsp;&nbsp;&nbsp;&nbsp; 7966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-20A, Class AR2, 4.99%, 1/16/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10640 | &nbsp;&nbsp;&nbsp;&nbsp; 10646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-23A, Class AR2, 4.80%, 1/15/2034 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15955 | &nbsp;&nbsp;&nbsp;&nbsp; 15945 |
| &nbsp;&nbsp;&nbsp; TCI-Flatiron CLO Ltd. (Cayman Islands) Series 2018-1A, Class AR2, 4.79%, 7/29/2035 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10375 | &nbsp;&nbsp;&nbsp;&nbsp; 10371 |
| &nbsp;&nbsp;&nbsp; TCI-Symphony CLO Ltd. (Cayman Islands) Series 2016-1A, Class AR2, 5.19%, 10/13/2032 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2089 | &nbsp;&nbsp;&nbsp;&nbsp; 2091 |
| &nbsp;&nbsp;&nbsp; Tesla Auto Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.30%, 6/21/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9644 | &nbsp;&nbsp;&nbsp;&nbsp; 9676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.82%, 10/20/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7666 | &nbsp;&nbsp;&nbsp;&nbsp; 7698 |
| &nbsp;&nbsp;&nbsp; Tesla Lease Electric Vehicle Securitization LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A2, 4.14%, 6/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.27%, 11/20/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10140 | &nbsp;&nbsp;&nbsp;&nbsp; 10191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A4, 4.37%, 5/21/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2800 | &nbsp;&nbsp;&nbsp;&nbsp; 2815 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class A, 1.94%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1791 | &nbsp;&nbsp;&nbsp;&nbsp; 1763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class B, 2.24%, 7/17/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4100 | &nbsp;&nbsp;&nbsp;&nbsp; 4040 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class A, 4.75%, 6/17/2040 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11359 | &nbsp;&nbsp;&nbsp;&nbsp; 11413 |
| &nbsp;&nbsp;&nbsp; UPG HI Issuer Trust Series 2025-2, Class A, 5.00%, 9/25/2047 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 11022 |
| &nbsp;&nbsp;&nbsp; Upgrade Receivables Trust Series 2024-1A, Class A, 5.37%, 2/18/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 686 | &nbsp;&nbsp;&nbsp;&nbsp; 686 |
| &nbsp;&nbsp;&nbsp; Upstart Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 5.45%, 4/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11820 | &nbsp;&nbsp;&nbsp;&nbsp; 11891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3, Class A2, 4.60%, 9/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10900 | &nbsp;&nbsp;&nbsp;&nbsp; 10908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-4, Class A2, 4.56%, 11/20/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24744 | &nbsp;&nbsp;&nbsp;&nbsp; 24743 |
| &nbsp;&nbsp;&nbsp; US Bank NA Series 2023-1, Class B, 6.79%, 8/25/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8265 | &nbsp;&nbsp;&nbsp;&nbsp; 8353 |
| &nbsp;&nbsp;&nbsp; Verdant Receivables LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, 5.68%, 12/12/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3555 | &nbsp;&nbsp;&nbsp;&nbsp; 3622 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 4.96%, 5/12/2033 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11300 | &nbsp;&nbsp;&nbsp;&nbsp; 11518 |
| &nbsp;&nbsp;&nbsp; Veros Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 6.28%, 11/15/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 582 | &nbsp;&nbsp;&nbsp;&nbsp; 584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 5.31%, 9/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2945 | &nbsp;&nbsp;&nbsp;&nbsp; 2954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 7.17%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3014 | &nbsp;&nbsp;&nbsp;&nbsp; 3027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class C, 8.32%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1532 |
| &nbsp;&nbsp;&nbsp; VFI ABS LLC Series 2023-1A, Class A, 7.27%, 3/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 392 | &nbsp;&nbsp;&nbsp;&nbsp; 393 |
| &nbsp;&nbsp;&nbsp; VOLT C LLC Series 2021-NPL9, Class A1, 5.99%, 5/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1519 | &nbsp;&nbsp;&nbsp;&nbsp; 1519 |
| &nbsp;&nbsp;&nbsp; VOLT CI LLC Series 2021-NP10, Class A1, 5.99%, 5/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 253 | &nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp; VOLT CIII LLC Series 2021-CF1, Class A1, 5.99%, 8/25/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 5944 | &nbsp;&nbsp;&nbsp;&nbsp; 5948 |
| &nbsp;&nbsp;&nbsp; VOLT XCV LLC Series 2021-NPL4, Class A1, 6.24%, 3/27/2051 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1151 | &nbsp;&nbsp;&nbsp;&nbsp; 1151 |
| &nbsp;&nbsp;&nbsp; Volvo Financial Equipment LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A3, 4.29%, 10/16/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11818 | &nbsp;&nbsp;&nbsp;&nbsp; 11858 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A3, 4.46%, 5/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8108 | &nbsp;&nbsp;&nbsp;&nbsp; 8171 |
| &nbsp;&nbsp;&nbsp; Voya CLO Ltd. (Cayman Islands) Series 2018-1A, Class A2, 5.45%, 4/19/2031 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4504 |
| &nbsp;&nbsp;&nbsp; VStrong Auto Receivables Trust Series 2023-A, Class B, 7.11%, 2/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4710 | &nbsp;&nbsp;&nbsp;&nbsp; 4788 |
| &nbsp;&nbsp;&nbsp; Western Funding Auto Loan Trust Series 2025-1, Class A, 4.75%, 7/16/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8635 | &nbsp;&nbsp;&nbsp;&nbsp; 8696 |
| &nbsp;&nbsp;&nbsp; Westgate Resorts LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 1/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5784 | &nbsp;&nbsp;&nbsp;&nbsp; 5875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.56%, 1/20/2038 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4177 | &nbsp;&nbsp;&nbsp;&nbsp; 4245 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class B, 5.92%, 9/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11000 | &nbsp;&nbsp;&nbsp;&nbsp; 11031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class C, 6.02%, 9/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6400 | &nbsp;&nbsp;&nbsp;&nbsp; 6474 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class C, 6.64%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 7.01%, 11/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7072 | &nbsp;&nbsp;&nbsp;&nbsp; 7199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class C, 4.92%, 11/15/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6800 | &nbsp;&nbsp;&nbsp;&nbsp; 6845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class D, 5.54%, 11/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 2750 | &nbsp;&nbsp;&nbsp;&nbsp; 2794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3A, Class C, 4.68%, 7/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4800 | &nbsp;&nbsp;&nbsp;&nbsp; 4814 |
| &nbsp;&nbsp;&nbsp; Westlake Flooring Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.43%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 7750 | &nbsp;&nbsp;&nbsp;&nbsp; 7768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 6.07%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10825 | &nbsp;&nbsp;&nbsp;&nbsp; 10854 |
| &nbsp;&nbsp;&nbsp; Wheels Fleet Lease Funding LLC Series 2024-1A, Class A1, 5.49%, 2/18/2039 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8206 | &nbsp;&nbsp;&nbsp;&nbsp; 8298 |
| &nbsp;&nbsp;&nbsp; Wingspire Equipment Finance LLC Series 2024-1A, Class A2, 4.99%, 9/20/2032 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 9564 | &nbsp;&nbsp;&nbsp;&nbsp; 9614 |
| &nbsp;&nbsp;&nbsp; World Omni Automobile Lease Securitization Trust Series 2025-A, Class A3, 4.42%, 4/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8050 | &nbsp;&nbsp;&nbsp;&nbsp; 8108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $2,990,382)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 3011582 |
| **Corporate Bonds — 21.8%** | **Corporate Bonds — 21.8%** | **Corporate Bonds — 21.8%** |
| **Automobiles — 0.7%** | **Automobiles — 0.7%** | **Automobiles — 0.7%** |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  | &nbsp;&nbsp;&nbsp; Hyundai Capital America  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 1/8/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5075 | &nbsp;&nbsp;&nbsp;&nbsp; 5059 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5806 | &nbsp;&nbsp;&nbsp;&nbsp; 5725 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.28%, 6/24/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 12355 | &nbsp;&nbsp;&nbsp;&nbsp; 12556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 9/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18395 | &nbsp;&nbsp;&nbsp;&nbsp; 18489 |
| &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) | &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) | &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 3/25/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20000 | &nbsp;&nbsp;&nbsp;&nbsp; 20158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 9/11/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 18545 | &nbsp;&nbsp;&nbsp;&nbsp; 18595 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 80582 |
| **Banks — 13.8%** | **Banks — 13.8%** | **Banks — 13.8%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, <br> 12/13/2029 (a) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 3100 | &nbsp;&nbsp;&nbsp;&nbsp; 2954 |
| &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) | &nbsp;&nbsp;&nbsp; AIB Group plc (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.33%), 6.61%, 9/13/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14120 | &nbsp;&nbsp;&nbsp;&nbsp; 15021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.65%), 5.32%, 5/15/2031 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14630 | &nbsp;&nbsp;&nbsp;&nbsp; 15126 |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) | &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.61%, 11/7/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 8200 | &nbsp;&nbsp;&nbsp;&nbsp; 8753 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  | &nbsp;&nbsp;&nbsp; Bank of America Corp.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 5.08%, 1/20/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 35240 | &nbsp;&nbsp;&nbsp;&nbsp; 35274 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (3-MONTH CME TERM SOFR + 1.77%), 3.71%, 4/24/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6558 | &nbsp;&nbsp;&nbsp;&nbsp; 6524 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series FIX, (SOFR + 0.83%), 4.98%, 1/24/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14935 | &nbsp;&nbsp;&nbsp;&nbsp; 15214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.20%, 4/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 51100 | &nbsp;&nbsp;&nbsp;&nbsp; 52405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.11%), 4.62%, 5/9/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 23220 | &nbsp;&nbsp;&nbsp;&nbsp; 23537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 5.82%, 9/15/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 24600 | &nbsp;&nbsp;&nbsp;&nbsp; 25716 |
| &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) (SOFR + 1.62%), 5.60%, 3/20/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8870 | &nbsp;&nbsp;&nbsp;&nbsp; 9237 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) | &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) | &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.27%, 12/11/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10410 | &nbsp;&nbsp;&nbsp;&nbsp; 10550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series f2f, (SOFR + 0.88%), 4.57%, 9/10/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 23025 | &nbsp;&nbsp;&nbsp;&nbsp; 23106 |
| &nbsp;&nbsp;&nbsp; Bank of New Zealand (New Zealand) 4.85%, 2/7/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15120 | &nbsp;&nbsp;&nbsp;&nbsp; 15407 |
| &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) | &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) | &nbsp;&nbsp;&nbsp; Bank of Nova Scotia (The) (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 2/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 21890 | &nbsp;&nbsp;&nbsp;&nbsp; 21905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 12/7/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 16400 | &nbsp;&nbsp;&nbsp;&nbsp; 16620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 4.40%, 9/8/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 20120 | &nbsp;&nbsp;&nbsp;&nbsp; 20227 |
| &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) | &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.94%, 1/26/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 19910 | &nbsp;&nbsp;&nbsp;&nbsp; 19933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.09%, 1/23/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11975 | &nbsp;&nbsp;&nbsp;&nbsp; 12106 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.49%), 5.67%, 3/12/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 20355 | &nbsp;&nbsp;&nbsp;&nbsp; 20724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.34%), 4.84%, 9/10/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13245 | &nbsp;&nbsp;&nbsp;&nbsp; 13393 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) | &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9670 | &nbsp;&nbsp;&nbsp;&nbsp; 9635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.45%), 4.79%, 5/9/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 30055 | &nbsp;&nbsp;&nbsp;&nbsp; 30397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.34%, 6/12/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 5.28%, 11/19/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 22355 | &nbsp;&nbsp;&nbsp;&nbsp; 23029 |
| &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) | &nbsp;&nbsp;&nbsp; BPCE SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.10%), 5.98%, 1/18/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 10480 | &nbsp;&nbsp;&nbsp;&nbsp; 10500 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 10/23/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 24789 | &nbsp;&nbsp;&nbsp;&nbsp; 24463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.96%), 5.72%, 1/18/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 21600 | &nbsp;&nbsp;&nbsp;&nbsp; 22417 |
| &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) | &nbsp;&nbsp;&nbsp; CaixaBank SA (Spain) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.08%), 6.68%, 9/13/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 18495 | &nbsp;&nbsp;&nbsp;&nbsp; 18847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.70%), 6.21%, 1/18/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 41073 | &nbsp;&nbsp;&nbsp;&nbsp; 42763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.14%), 4.63%, 7/3/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 1.78%), 5.67%, 3/15/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 21026 | &nbsp;&nbsp;&nbsp;&nbsp; 21894 |
| &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) | &nbsp;&nbsp;&nbsp; Canadian Imperial Bank of Commerce (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.93%), 4.51%, 9/11/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 19135 | &nbsp;&nbsp;&nbsp;&nbsp; 19188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/28/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 17230 | &nbsp;&nbsp;&nbsp;&nbsp; 17630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 4.86%, 3/30/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 19485 | &nbsp;&nbsp;&nbsp;&nbsp; 19799 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  | &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.77%), 1.12%, 1/28/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13725 | &nbsp;&nbsp;&nbsp;&nbsp; 13656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.14%), 4.64%, 5/7/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 37875 | &nbsp;&nbsp;&nbsp;&nbsp; 38144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.87%), 4.79%, 3/4/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 15235 | &nbsp;&nbsp;&nbsp;&nbsp; 15450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.36%), 5.17%, 2/13/2030 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 27965 | &nbsp;&nbsp;&nbsp;&nbsp; 28768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, <br> 2/28/2029 (a) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 9495 | &nbsp;&nbsp;&nbsp;&nbsp; 9788 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) | &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.13%), 5.23%, 1/9/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 17180 | &nbsp;&nbsp;&nbsp;&nbsp; 17531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.86%), 6.32%, 10/3/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8895 | &nbsp;&nbsp;&nbsp;&nbsp; 9377 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) | &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) | &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.71%, 3/1/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 22155 | &nbsp;&nbsp;&nbsp;&nbsp; 23097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 4.61%, 10/2/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6340 | &nbsp;&nbsp;&nbsp;&nbsp; 6399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.61%, <br> 3/30/2028 (a) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 20942 | &nbsp;&nbsp;&nbsp;&nbsp; 20290 |
| &nbsp;&nbsp;&nbsp; Federation des Caisses Desjardins du Quebec (Canada) 5.25%, 4/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15410 | &nbsp;&nbsp;&nbsp;&nbsp; 15966 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) | &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 5.89%, 8/14/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 15380 | &nbsp;&nbsp;&nbsp;&nbsp; 15560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.06%), 5.60%, 5/17/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 18740 | &nbsp;&nbsp;&nbsp;&nbsp; 19111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.04%), 5.13%, 11/19/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 19840 | &nbsp;&nbsp;&nbsp;&nbsp; 20206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 4.90%, 3/3/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 32870 | &nbsp;&nbsp;&nbsp;&nbsp; 33364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.97%), 6.16%, 3/9/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.46%), 5.55%, 3/4/2030 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10387 |
| &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) (SOFR + 1.01%), 4.86%, 3/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 22300 | &nbsp;&nbsp;&nbsp;&nbsp; 22645 |
| &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) | &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) | &nbsp;&nbsp;&nbsp; KBC Group NV (Belgium) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5645 | &nbsp;&nbsp;&nbsp;&nbsp; 5831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.07%), 4.93%, 10/16/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 18155 | &nbsp;&nbsp;&nbsp;&nbsp; 18521 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.48%), 5.99%, 8/7/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 16745 | &nbsp;&nbsp;&nbsp;&nbsp; 16947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13210 | &nbsp;&nbsp;&nbsp;&nbsp; 13711 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 4.82%, 6/13/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 20220 | &nbsp;&nbsp;&nbsp;&nbsp; 20544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, <br> 5/22/2027 (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 18070 | &nbsp;&nbsp;&nbsp;&nbsp; 17822 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank NA  | &nbsp;&nbsp;&nbsp; Morgan Stanley Bank NA  | &nbsp;&nbsp;&nbsp; Morgan Stanley Bank NA  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.68%), 4.45%, 10/15/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 32680 | &nbsp;&nbsp;&nbsp;&nbsp; 32787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.93%), 4.97%, 7/14/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6720 | &nbsp;&nbsp;&nbsp;&nbsp; 6815 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Private Bank NA (SOFR + 0.78%), 4.20%, 11/17/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 50395 | &nbsp;&nbsp;&nbsp;&nbsp; 50480 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 4/5/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 13000 | &nbsp;&nbsp;&nbsp;&nbsp; 13029 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 16754 | &nbsp;&nbsp;&nbsp;&nbsp; 16818 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) | &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.79%, 3/21/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15580 | &nbsp;&nbsp;&nbsp;&nbsp; 15855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 5/17/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15350 | &nbsp;&nbsp;&nbsp;&nbsp; 15986 |
| &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) | &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) | &nbsp;&nbsp;&nbsp; Royal Bank of Canada (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.79%), 5.07%, 7/23/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 21930 | &nbsp;&nbsp;&nbsp;&nbsp; 22071 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.81%), 4.72%, 3/27/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 28810 | &nbsp;&nbsp;&nbsp;&nbsp; 29062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.86%), 4.52%, 10/18/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 23060 | &nbsp;&nbsp;&nbsp;&nbsp; 23273 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) (SOFRINDX + 1.07%), 4.32%, 9/22/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13625 | &nbsp;&nbsp;&nbsp;&nbsp; 13640 |
| &nbsp;&nbsp;&nbsp; Skandinaviska Enskilda Banken AB (Sweden) 5.38%, 3/5/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 15980 | &nbsp;&nbsp;&nbsp;&nbsp; 16558 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) | &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 31760 | &nbsp;&nbsp;&nbsp;&nbsp; 31825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 2059 | &nbsp;&nbsp;&nbsp;&nbsp; 2031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.42%), 5.25%, 5/22/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 30415 | &nbsp;&nbsp;&nbsp;&nbsp; 31015 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 5.69%, <br> 5/14/2028 (a) (e)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 33120 | &nbsp;&nbsp;&nbsp;&nbsp; 33780 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Trust Bank Ltd. (Japan) 4.45%, 9/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 23220 | &nbsp;&nbsp;&nbsp;&nbsp; 23419 |
| &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) | &nbsp;&nbsp;&nbsp; Toronto-Dominion Bank (The) (Canada) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.86%, 1/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 21905 | &nbsp;&nbsp;&nbsp;&nbsp; 22288 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.57%, 6/2/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 27260 | &nbsp;&nbsp;&nbsp;&nbsp; 27617 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  | &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.51%), 3.53%, 3/24/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14645 | &nbsp;&nbsp;&nbsp;&nbsp; 14539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.07%), 5.71%, 4/22/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 23760 | &nbsp;&nbsp;&nbsp;&nbsp; 24266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.98%), 4.81%, 7/25/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14025 | &nbsp;&nbsp;&nbsp;&nbsp; 14176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.37%), 4.97%, 4/23/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 22970 | &nbsp;&nbsp;&nbsp;&nbsp; 23421 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.74%), 5.57%, 7/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 16450 | &nbsp;&nbsp;&nbsp;&nbsp; 17049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.79%), 6.30%, 10/23/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7920 | &nbsp;&nbsp;&nbsp;&nbsp; 8386 |
| &nbsp;&nbsp;&nbsp; Westpac New Zealand Ltd. (New Zealand) | &nbsp;&nbsp;&nbsp; Westpac New Zealand Ltd. (New Zealand) | &nbsp;&nbsp;&nbsp; Westpac New Zealand Ltd. (New Zealand) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 2/26/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 10695 | &nbsp;&nbsp;&nbsp;&nbsp; 10842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/15/2028 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 8935 | &nbsp;&nbsp;&nbsp;&nbsp; 9104 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 1645294 |
| **Capital Markets — 3.1%** | **Capital Markets — 3.1%** | **Capital Markets — 3.1%** |
| &nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp. (The) (SOFR + 0.84%), 4.89%, 7/21/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 21905 | &nbsp;&nbsp;&nbsp;&nbsp; 22246 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) | &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 2.31%, 11/16/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 4997 | &nbsp;&nbsp;&nbsp;&nbsp; 4905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.59%), 5.71%, 2/8/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 6099 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.41%, 5/10/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 5235 | &nbsp;&nbsp;&nbsp;&nbsp; 5452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.51%), 6.82%, 11/20/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8395 | &nbsp;&nbsp;&nbsp;&nbsp; 8971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.72%), 5.30%, 5/9/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 19000 | &nbsp;&nbsp;&nbsp;&nbsp; 19526 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Bank USA (SOFR + 0.75%), 5.41%, 5/21/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 7050 | &nbsp;&nbsp;&nbsp;&nbsp; 7093 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  | &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.79%), 1.09%, 12/9/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13850 | &nbsp;&nbsp;&nbsp;&nbsp; 13840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.32%), 4.94%, 4/23/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 28985 | &nbsp;&nbsp;&nbsp;&nbsp; 29303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.90%), 4.15%, 10/21/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 26855 | &nbsp;&nbsp;&nbsp;&nbsp; 26874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.77%), 6.48%, 10/24/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13300 | &nbsp;&nbsp;&nbsp;&nbsp; 14140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.27%), 5.73%, 4/25/2030 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13460 | &nbsp;&nbsp;&nbsp;&nbsp; 14097 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 5.05%, 7/23/2030 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13535 | &nbsp;&nbsp;&nbsp;&nbsp; 13904 |
| &nbsp;&nbsp;&nbsp; Macquarie Group Ltd. (Australia) (SOFR + 1.07%), 1.34%, 1/12/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 15754 | &nbsp;&nbsp;&nbsp;&nbsp; 15699 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  | &nbsp;&nbsp;&nbsp; Morgan Stanley  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.72%), 0.99%, 12/10/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 18126 | &nbsp;&nbsp;&nbsp;&nbsp; 18110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.24%), 6.30%, 10/18/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 20930 | &nbsp;&nbsp;&nbsp;&nbsp; 21753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 5.12%, 2/1/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 10610 | &nbsp;&nbsp;&nbsp;&nbsp; 10837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 4.99%, 4/12/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 16465 | &nbsp;&nbsp;&nbsp;&nbsp; 16794 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.63%), 5.45%, 7/20/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 28690 | &nbsp;&nbsp;&nbsp;&nbsp; 29650 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) 1.65%, 7/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 20765 | &nbsp;&nbsp;&nbsp;&nbsp; 20449 |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) | &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 8594 | &nbsp;&nbsp;&nbsp;&nbsp; 8606 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.70%), 6.44%, 8/11/2028 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5038 | &nbsp;&nbsp;&nbsp;&nbsp; 5224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.84%), 4.15%, 12/23/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 26560 | &nbsp;&nbsp;&nbsp;&nbsp; 26557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD SOFR ICE Swap Rate 1 Year + 1.34%), 5.62%, 9/13/2030 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 9645 | &nbsp;&nbsp;&nbsp;&nbsp; 10099 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 370228 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc. 4.75%, 8/9/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12175 | &nbsp;&nbsp;&nbsp;&nbsp; 12300 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** | **Consumer Finance — 1.1%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) | &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 10/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 14854 | &nbsp;&nbsp;&nbsp;&nbsp; 15278 |
| &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  | &nbsp;&nbsp;&nbsp; American Express Co.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFRINDX + 0.75%), 5.65%, 4/23/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 20170 | &nbsp;&nbsp;&nbsp;&nbsp; 20295 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.93%), 5.04%, 7/26/2028 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 13755 | &nbsp;&nbsp;&nbsp;&nbsp; 13985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.26%), 4.73%, 4/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 23360 | &nbsp;&nbsp;&nbsp;&nbsp; 23748 |
| &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) | &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16775 | &nbsp;&nbsp;&nbsp;&nbsp; 16787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 3/1/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22610 | &nbsp;&nbsp;&nbsp;&nbsp; 23399 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp. (SOFR + 2.08%), 5.47%, 2/1/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 10450 | &nbsp;&nbsp;&nbsp;&nbsp; 10726 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 129143 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
| &nbsp;&nbsp;&nbsp; Amcor Flexibles North America, Inc. 4.80%, 3/17/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 15000 | &nbsp;&nbsp;&nbsp;&nbsp; 15206 |
| **Electric Utilities — 0.3%** | **Electric Utilities — 0.3%** | **Electric Utilities — 0.3%** |
| &nbsp;&nbsp;&nbsp; Alliant Energy Finance LLC 1.40%, 3/15/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4640 | &nbsp;&nbsp;&nbsp;&nbsp; 4595 |
| &nbsp;&nbsp;&nbsp; Enel Finance International NV (Italy) 5.13%, 6/26/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11710 | &nbsp;&nbsp;&nbsp;&nbsp; 12038 |
| &nbsp;&nbsp;&nbsp; Trans-Allegheny Interstate Line Co. 5.00%, 1/15/2031 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 5675 | &nbsp;&nbsp;&nbsp;&nbsp; 5847 |
| &nbsp;&nbsp;&nbsp; Virginia Power Fuel Securitization LLC Series A-1, 5.09%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 1965 | &nbsp;&nbsp;&nbsp;&nbsp; 1979 |
| &nbsp;&nbsp;&nbsp; Vistra Operations Co. LLC 4.60%, 10/15/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 4875 | &nbsp;&nbsp;&nbsp;&nbsp; 4865 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 29324 |
| **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** | **Entertainment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Take-Two Interactive Software, Inc. 5.40%, 6/12/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1680 | &nbsp;&nbsp;&nbsp;&nbsp; 1741 |
| **Financial Services — 1.1%** | **Financial Services — 1.1%** | **Financial Services — 1.1%** |
| &nbsp;&nbsp;&nbsp; CFIN 2022-RTL1 Issuer LLC Class A, 0.00%, 8/17/2027 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 19649 | &nbsp;&nbsp;&nbsp;&nbsp; 19649 |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc.  | &nbsp;&nbsp;&nbsp; Global Payments, Inc.  | &nbsp;&nbsp;&nbsp; Global Payments, Inc.  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12305 | &nbsp;&nbsp;&nbsp;&nbsp; 12416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 33605 | &nbsp;&nbsp;&nbsp;&nbsp; 33717 |
| &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) | &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) | &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.91%), 6.56%, 10/18/2027 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 17115 | &nbsp;&nbsp;&nbsp;&nbsp; 17450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 2.97%, 2/16/2028 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 4929 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.06%), 4.65%, 7/14/2029 (a) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 14420 | &nbsp;&nbsp;&nbsp;&nbsp; 14568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 7/29/2029 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 22135 | &nbsp;&nbsp;&nbsp;&nbsp; 22841 |
| &nbsp;&nbsp;&nbsp; Street Capital Group, Inc. (Canada) 0.00%, 2/15/2030 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 10200 | &nbsp;&nbsp;&nbsp;&nbsp; 10200 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 135770 |
| **Health Care Providers & Services — 0.0% ^** | **Health Care Providers & Services — 0.0% ^** | **Health Care Providers & Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; HCA, Inc. 5.00%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4235 | &nbsp;&nbsp;&nbsp;&nbsp; 4316 |
| **Insurance — 0.6%** | **Insurance — 0.6%** | **Insurance — 0.6%** |
| &nbsp;&nbsp;&nbsp; CNO Global Funding 5.88%, 6/4/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 25335 | &nbsp;&nbsp;&nbsp;&nbsp; 25948 |
| &nbsp;&nbsp;&nbsp; Equitable Financial Life Global Funding 1.00%, 1/9/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 13395 | &nbsp;&nbsp;&nbsp;&nbsp; 13348 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  | &nbsp;&nbsp;&nbsp; F&G Global Funding  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 6/30/2026 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11240 | &nbsp;&nbsp;&nbsp;&nbsp; 11074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 6/10/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 20970 | &nbsp;&nbsp;&nbsp;&nbsp; 21413 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 71783 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** | **Multi-Utilities — 0.2%** |
| &nbsp;&nbsp;&nbsp; DTE Energy Co. 5.10%, 3/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 20225 | &nbsp;&nbsp;&nbsp;&nbsp; 20766 |
| **Oil, Gas & Consumable Fuels — 0.4%** | **Oil, Gas & Consumable Fuels — 0.4%** | **Oil, Gas & Consumable Fuels — 0.4%** |
| &nbsp;&nbsp;&nbsp; Enbridge, Inc. (Canada) 4.20%, 11/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 33340 | &nbsp;&nbsp;&nbsp;&nbsp; 33424 |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP 5.63%, 5/1/2027 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16335 | &nbsp;&nbsp;&nbsp;&nbsp; 16335 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 49759 |
| **Semiconductors & Semiconductor Equipment — 0.1%** | **Semiconductors & Semiconductor Equipment — 0.1%** | **Semiconductors & Semiconductor Equipment — 0.1%** |
| &nbsp;&nbsp;&nbsp; Foundry JV Holdco LLC 5.90%, 1/25/2030 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11720 | &nbsp;&nbsp;&nbsp;&nbsp; 12324 |
| **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** | **Wireless Telecommunication Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc. 3.38%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 17770 | &nbsp;&nbsp;&nbsp;&nbsp; 17320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $2,557,563)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2595856 |
| **U.S. Treasury Obligations — 17.7%** | **U.S. Treasury Obligations — 17.7%** | **U.S. Treasury Obligations — 17.7%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 5360 | &nbsp;&nbsp;&nbsp;&nbsp; 5360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3835 | &nbsp;&nbsp;&nbsp;&nbsp; 3835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 983 | &nbsp;&nbsp;&nbsp;&nbsp; 983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 152780 | &nbsp;&nbsp;&nbsp;&nbsp; 154045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 31005 | &nbsp;&nbsp;&nbsp;&nbsp; 31384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 4/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 17000 | &nbsp;&nbsp;&nbsp;&nbsp; 16810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 67785 | &nbsp;&nbsp;&nbsp;&nbsp; 68683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 6/30/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 15366 | &nbsp;&nbsp;&nbsp;&nbsp; 15413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 55460 | &nbsp;&nbsp;&nbsp;&nbsp; 56184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 7/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 19020 | &nbsp;&nbsp;&nbsp;&nbsp; 18056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 7/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 7955 | &nbsp;&nbsp;&nbsp;&nbsp; 7998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 159665 | &nbsp;&nbsp;&nbsp;&nbsp; 159247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 124000 | &nbsp;&nbsp;&nbsp;&nbsp; 117136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 186120 | &nbsp;&nbsp;&nbsp;&nbsp; 186076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/31/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 3085 | &nbsp;&nbsp;&nbsp;&nbsp; 3120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 24320 | &nbsp;&nbsp;&nbsp;&nbsp; 24598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 55805 | &nbsp;&nbsp;&nbsp;&nbsp; 56350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50070 | &nbsp;&nbsp;&nbsp;&nbsp; 50827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/31/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 9435 | &nbsp;&nbsp;&nbsp;&nbsp; 8967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 7/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 437600 | &nbsp;&nbsp;&nbsp;&nbsp; 441771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 210090 | &nbsp;&nbsp;&nbsp;&nbsp; 209433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 443494 | &nbsp;&nbsp;&nbsp;&nbsp; 443598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 6/30/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 28545 | &nbsp;&nbsp;&nbsp;&nbsp; 28890 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $2,095,830)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 2108764 |
| **Collateralized Mortgage Obligations — 16.4%** | **Collateralized Mortgage Obligations — 16.4%** | **Collateralized Mortgage Obligations — 16.4%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust Series 2003-J3, Class 2A1, 6.25%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp; Angel Oak Mortgage Trust Series 2020-5, Class A1, 1.37%, 5/25/2065 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp; 510 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust Series 2003-7, Class 3A, 6.86%, 10/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp; Brean Asset-Backed Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RM10, Class A1, 5.00%, 1/25/2065 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 3352 | &nbsp;&nbsp;&nbsp;&nbsp; 3339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RM13, Class A1, 4.25%, 10/25/2065 ‡ (a) | &nbsp;&nbsp;&nbsp;&nbsp; 11025 | &nbsp;&nbsp;&nbsp;&nbsp; 10687 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; CAFL Issuer LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RRTL1, Class A1, 5.68%, 5/28/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 19500 | &nbsp;&nbsp;&nbsp;&nbsp; 19663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RRTL2, Class A1, 5.18%, 11/28/2040 ‡ (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 14210 | &nbsp;&nbsp;&nbsp;&nbsp; 14111 |
| &nbsp;&nbsp;&nbsp; Cascade Funding Mortgage Trust Series 2025-HB16, Class A, 3.00%, 3/25/2035 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2805 | &nbsp;&nbsp;&nbsp;&nbsp; 2750 |
| &nbsp;&nbsp;&nbsp; CFMT LLC Series 2024-HB15, Class A, 4.00%, 8/25/2034 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6529 | &nbsp;&nbsp;&nbsp;&nbsp; 6501 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust Series 2004-UST1, Class A6, 6.23%, 8/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp; Connecticut Avenue Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M2, 7.07%, 1/25/2042 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1775 | &nbsp;&nbsp;&nbsp;&nbsp; 1809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-R05, Class 2A1, 5.07%, 7/25/2045 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4390 | &nbsp;&nbsp;&nbsp;&nbsp; 4395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-R06, Class 1A1, 4.97%, 9/25/2045 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6765 | &nbsp;&nbsp;&nbsp;&nbsp; 6766 |
| &nbsp;&nbsp;&nbsp; CRIBS Mortgage Trust Series 2025-RTL1, Class A1, 5.81%, 5/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2522 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates Series 2004-8, Class 6A1, 4.50%, 12/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp; CSMC Mortgage-Backed Trust Series 2007-5, Class 5A5, 5.50%, 4/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; FHLMC - GNMA Series 56, Class Z, 7.50%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp; FHLMC STACR REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DNA3, Class A1, 5.02%, 9/25/2045 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4509 | &nbsp;&nbsp;&nbsp;&nbsp; 4511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DNA4, Class A1, 4.97%, 10/25/2045 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11969 | &nbsp;&nbsp;&nbsp;&nbsp; 11969 |
| &nbsp;&nbsp;&nbsp; FHLMC Structured Pass-Through Securities Certificates Series T-20, Class A6, 7.99%, 9/25/2029 (d) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; FHLMC, Reference REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R003, Class ZA, 5.50%, 10/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 17558 | &nbsp;&nbsp;&nbsp;&nbsp; 18431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series R005, Class ZA, 5.50%, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1628 | &nbsp;&nbsp;&nbsp;&nbsp; 1700 |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3826, Class BK, 3.00%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3887, Class GM, 4.00%, 7/15/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3909, Class HG, 4.00%, 8/15/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3936, Class AB, 3.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3946, Class BU, 3.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3996, Class BA, 1.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4015, Class GL, 2.25%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4020, Class N, 3.00%, 3/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4029, Class LY, 3.00%, 4/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4039, Class AB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4039, Class PB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4043, Class PB, 1.50%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4097, Class HJ, 1.50%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4089, Class AI, IO, 3.00%, 8/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 424 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4103, Class HA, 2.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4361, Class CA, 2.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4131, Class BC, 1.25%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4129, Class AP, 1.50%, 11/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4141, Class BI, IO, 2.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 660 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4304, Class DW, 2.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp; 353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4207, Class JD, 1.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4217, Class UD, 1.75%, 6/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3523, Class MX, 4.50%, 4/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4338, Class GE, 2.50%, 5/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2995, Class FT, 4.51%, 5/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3721, Class DG, 2.75%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3775, Class DB, 4.00%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3779, Class LB, 4.00%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2303, Class FY, 4.56%, 4/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2326, Class ZQ, 6.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class FD, 4.76%, 3/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 69 | &nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4094, Class BF, 4.66%, 8/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2492, Class GH, 6.00%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4120, Class KA, 1.75%, 10/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp; 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4142, Class PG, 2.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4156, Class PE, 2.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1269 | &nbsp;&nbsp;&nbsp;&nbsp; 1209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4162, Class ZJ, 3.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13295 | &nbsp;&nbsp;&nbsp;&nbsp; 12898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2711, Class FC, 5.16%, 2/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp; 487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2602, Class FH, 4.57%, 4/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 84 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4206, Class DZ, 3.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 543 | &nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4423, Class VN, 3.00%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp; 356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2617, Class Z, 5.50%, 5/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1945 | &nbsp;&nbsp;&nbsp;&nbsp; 2012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4283, Class ZL, 3.00%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 19615 | &nbsp;&nbsp;&nbsp;&nbsp; 19132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2662, Class MT, 4.50%, 8/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4250, Class BZ, 3.00%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12606 | &nbsp;&nbsp;&nbsp;&nbsp; 12271 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4620, IO, 5.00%, 9/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4255, Class LZ, 3.00%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 6357 | &nbsp;&nbsp;&nbsp;&nbsp; 6163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2686, Class KZ, 4.50%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp;&nbsp;&nbsp; 365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2693, Class Z, 5.50%, 10/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3005, Class PV, IF, 6.04%, 10/15/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2727, Class PM, 4.50%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp; 448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2736, Class PE, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1842 | &nbsp;&nbsp;&nbsp;&nbsp; 1892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4301, Class UL, 3.50%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5713 | &nbsp;&nbsp;&nbsp;&nbsp; 5615 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2806, Class FA, 5.26%, 2/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 145 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4342, Class CY, 3.00%, 5/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3268 | &nbsp;&nbsp;&nbsp;&nbsp; 3138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2989, Class MU, IF, IO, 2.74%, 7/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3204, Class ZM, 5.00%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp; 307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3863, Class ZA, 5.50%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8016 | &nbsp;&nbsp;&nbsp;&nbsp; 8312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4401, Class BL, 3.50%, 10/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6417 | &nbsp;&nbsp;&nbsp;&nbsp; 6309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5369, Class V, 6.00%, 10/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6927 | &nbsp;&nbsp;&nbsp;&nbsp; 7085 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2963, Class ZG, 5.00%, 11/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp; 282 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2898, Class PG, 5.00%, 12/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 419 | &nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3003, Class LD, 5.00%, 12/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2901, Class S, IF, 5.76%, 12/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4265, Class FD, 4.66%, 1/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2933, Class EM, 5.50%, 1/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5401, Class VD, 6.00%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 15029 | &nbsp;&nbsp;&nbsp;&nbsp; 15520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2929, Class PG, 5.00%, 2/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2941, Class Z, 4.50%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1002 | &nbsp;&nbsp;&nbsp;&nbsp; 987 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2953, Class PG, 5.50%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5417, Class V, 5.50%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2187 | &nbsp;&nbsp;&nbsp;&nbsp; 2231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4492, Class BW, 3.50%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2314 | &nbsp;&nbsp;&nbsp;&nbsp; 2263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3002, Class BN, 5.00%, 7/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5440, Class MV, 5.00%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 999 | &nbsp;&nbsp;&nbsp;&nbsp; 1017 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3013, Class HZ, 5.00%, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5487, Class DV, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 10242 | &nbsp;&nbsp;&nbsp;&nbsp; 10600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5493, Class KV, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 11784 | &nbsp;&nbsp;&nbsp;&nbsp; 12117 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5509, Class DV, 5.75%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 15093 | &nbsp;&nbsp;&nbsp;&nbsp; 15731 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5504, Class DV, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 11311 | &nbsp;&nbsp;&nbsp;&nbsp; 11715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3101, Class UZ, 6.00%, 1/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5541, Class VJ, 5.00%, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 4797 | &nbsp;&nbsp;&nbsp;&nbsp; 4894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3174, Class LF, 4.61%, 5/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5549, Class CV, 5.00%, 5/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5309 | &nbsp;&nbsp;&nbsp;&nbsp; 5415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5565, Class AV, 5.00%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5522 | &nbsp;&nbsp;&nbsp;&nbsp; 5648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3662, Class ZB, 5.50%, 8/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4646, Class JV, 3.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 4775 | &nbsp;&nbsp;&nbsp;&nbsp; 4742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3688, Class NB, 4.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3855, Class AM, 6.50%, 11/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp; 646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3704, Class CZ, 4.00%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp; 930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3249, Class CL, 4.25%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 402 | &nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3258, Class PM, 5.50%, 12/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5280, Class T, 5.50%, 1/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 15139 | &nbsp;&nbsp;&nbsp;&nbsp; 15693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3305, Class IW, IF, IO, 2.19%, 4/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 172 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class HF, 4.52%, 5/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class FG, 4.61%, 6/15/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3724, Class CM, 5.50%, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3351, Class ZC, 5.50%, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp; 815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3420, Class EI, IO, 1.12%, 8/15/2037 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 1518 | &nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3429, Class S, IF, IO, 2.56%, 3/15/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 311 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3447, Class DB, 5.00%, 5/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp;&nbsp;&nbsp; 927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3459, Class MB, 5.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3575, Class ZA, 5.00%, 6/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2288 | &nbsp;&nbsp;&nbsp;&nbsp; 2347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3546, Class A, 6.10%, 2/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3540, Class A, 5.00%, 5/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4346, Class A, 3.50%, 7/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3597, Class HM, 4.50%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3569, Class NY, 5.00%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 419 | &nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3572, Class JS, IF, IO, 2.54%, 9/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3585, Class KW, 4.50%, 10/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp;&nbsp;&nbsp; 948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3609, Class SA, IF, IO, 2.08%, 12/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 865 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3632, Class PK, 5.00%, 2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3636, Class MZ, 5.00%, 2/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2230 | &nbsp;&nbsp;&nbsp;&nbsp; 2301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3656, Class PM, 5.00%, 4/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1534 | &nbsp;&nbsp;&nbsp;&nbsp; 1583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3786, Class NA, 4.50%, 7/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3726, Class PA, 3.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3706, Class P, 4.00%, 8/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 2165 | &nbsp;&nbsp;&nbsp;&nbsp; 2143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3719, Class PJ, 4.50%, 9/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8245 | &nbsp;&nbsp;&nbsp;&nbsp; 8363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4655, Class DJ, 3.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1436 | &nbsp;&nbsp;&nbsp;&nbsp; 1380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4318, Class KZ, 4.00%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1861 | &nbsp;&nbsp;&nbsp;&nbsp; 1825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3769, Class ZC, 4.50%, 12/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 804 | &nbsp;&nbsp;&nbsp;&nbsp; 809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3822, Class ZG, 4.00%, 2/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 4720 | &nbsp;&nbsp;&nbsp;&nbsp; 4661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4080, Class DA, 2.00%, 3/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 111 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3862, Class GA, 4.00%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3844, Class FA, 4.71%, 4/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4074, Class PA, 3.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3859, Class JB, 5.00%, 5/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class JE, 2.00%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 407 | &nbsp;&nbsp;&nbsp;&nbsp; 394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3884, Class BL, 4.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 3764 | &nbsp;&nbsp;&nbsp;&nbsp; 3783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3939, Class BZ, 4.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1611 | &nbsp;&nbsp;&nbsp;&nbsp; 1609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3871, Class KB, 5.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 8750 | &nbsp;&nbsp;&nbsp;&nbsp; 9168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3881, Class AT, 5.85%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 14589 | &nbsp;&nbsp;&nbsp;&nbsp; 15388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class FN, 4.56%, 7/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 192 | &nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4152, Class LE, 1.75%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1567 | &nbsp;&nbsp;&nbsp;&nbsp; 1487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3904, Class HC, 4.00%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3906, Class B, 4.00%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2110 | &nbsp;&nbsp;&nbsp;&nbsp; 2078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4150, Class FY, 4.56%, 8/15/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3952, Class BQ, 2.00%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1699 | &nbsp;&nbsp;&nbsp;&nbsp; 1570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3947, Class BH, 2.50%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2373 | &nbsp;&nbsp;&nbsp;&nbsp; 2173 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3934, Class KB, 5.00%, 10/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 389 | &nbsp;&nbsp;&nbsp;&nbsp; 404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3960, Class PL, 4.00%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2597 | &nbsp;&nbsp;&nbsp;&nbsp; 2591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class VZ, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp; 523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4550, Class NA, 3.00%, 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4122, Class PA, 1.50%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4144, Class KD, 1.75%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp; 305 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4215, Class NA, 3.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5296, Class CA, 5.50%, 5/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 8144 | &nbsp;&nbsp;&nbsp;&nbsp; 8298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4088, Class BP, 3.00%, 8/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 3183 | &nbsp;&nbsp;&nbsp;&nbsp; 2938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4143, Class AE, 2.00%, 9/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp;&nbsp;&nbsp; 849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4112, Class PB, 4.00%, 9/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 488 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4158, Class TC, 1.75%, 12/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4247, Class AK, 4.50%, 12/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4158, Class LD, 2.00%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4199, Class YZ, 3.50%, 5/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 2975 | &nbsp;&nbsp;&nbsp;&nbsp; 2843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4302, Class MA, 3.00%, 7/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4314, Class LP, 3.50%, 7/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5115, Class FD, 4.00%, 8/15/2043 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5045 | &nbsp;&nbsp;&nbsp;&nbsp; 4954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4480, Class LA, 3.50%, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4330, Class PE, 3.00%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4286, Class MP, 4.00%, 12/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4316, Class DZ, 3.00%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2911 | &nbsp;&nbsp;&nbsp;&nbsp; 2730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4338, Class A, 2.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4505, Class P, 3.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 635 | &nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4571, Class EB, 3.50%, 5/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1444 | &nbsp;&nbsp;&nbsp;&nbsp; 1418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4483, Class CA, 3.00%, 6/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 27197 | &nbsp;&nbsp;&nbsp;&nbsp; 26344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4360, Class PZ, 3.00%, 7/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 967 | &nbsp;&nbsp;&nbsp;&nbsp; 882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4417, Class PZ, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2899 | &nbsp;&nbsp;&nbsp;&nbsp; 2659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4545, Class PG, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp; 191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4745, Class EC, 3.00%, 12/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 655 | &nbsp;&nbsp;&nbsp;&nbsp; 648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4425, Class TA, 2.00%, 1/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 258 | &nbsp;&nbsp;&nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4461, Class LZ, 3.00%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 3405 | &nbsp;&nbsp;&nbsp;&nbsp; 3082 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4457, Class KZ, 3.00%, 4/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 6732 | &nbsp;&nbsp;&nbsp;&nbsp; 6074 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4478, Class PC, 2.00%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 762 | &nbsp;&nbsp;&nbsp;&nbsp; 681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4631, Class PA, 3.00%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1495 | &nbsp;&nbsp;&nbsp;&nbsp; 1435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4664, Class PH, 3.50%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp;&nbsp;&nbsp; 540 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4698, Class DA, 4.50%, 5/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 1146 | &nbsp;&nbsp;&nbsp;&nbsp; 1135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5427, Class DA, 5.50%, 5/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 25741 | &nbsp;&nbsp;&nbsp;&nbsp; 25944 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5334, Class GA, 6.00%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 23944 | &nbsp;&nbsp;&nbsp;&nbsp; 24437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5353, Class A, 6.50%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 4130 | &nbsp;&nbsp;&nbsp;&nbsp; 4237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4759, Class MA, 3.00%, 9/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5421, Class EA, 5.50%, 3/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 11341 | &nbsp;&nbsp;&nbsp;&nbsp; 11546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4591, Class QE, 2.75%, 4/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4574, Class YH, 3.00%, 4/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 232 | &nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4774, Class LP, 3.50%, 9/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1867 | &nbsp;&nbsp;&nbsp;&nbsp; 1830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4714, Class PA, 3.00%, 11/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1304 | &nbsp;&nbsp;&nbsp;&nbsp; 1241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4657, Class VZ, 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 7899 | &nbsp;&nbsp;&nbsp;&nbsp; 7123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4830, Class AP, 4.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 673 | &nbsp;&nbsp;&nbsp;&nbsp; 670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4675, Class EZ, 3.50%, 4/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1755 | &nbsp;&nbsp;&nbsp;&nbsp; 1614 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4682, Class LC, 2.50%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4682, Class AP, 3.00%, 5/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp; 496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4703, Class KZ, 3.50%, 7/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4904 | &nbsp;&nbsp;&nbsp;&nbsp; 4633 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5275, Class KA, 5.50%, 9/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 6482 | &nbsp;&nbsp;&nbsp;&nbsp; 6536 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4740, Class JA, 3.00%, 10/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1511 | &nbsp;&nbsp;&nbsp;&nbsp; 1370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5271, Class AC, 5.00%, 10/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2379 | &nbsp;&nbsp;&nbsp;&nbsp; 2387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4749, Class ZL, 3.50%, 12/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 13638 | &nbsp;&nbsp;&nbsp;&nbsp; 12587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5585, Class KA, 4.50%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 14759 | &nbsp;&nbsp;&nbsp;&nbsp; 14754 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5585, Class NB, 4.50%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 22628 | &nbsp;&nbsp;&nbsp;&nbsp; 22602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4936, Class AP, 2.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4941, Class NP, 2.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 681 | &nbsp;&nbsp;&nbsp;&nbsp; 605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5585, Class LA, 4.50%, 6/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 16707 | &nbsp;&nbsp;&nbsp;&nbsp; 16685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5418, Class DA, 6.00%, 6/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5734 | &nbsp;&nbsp;&nbsp;&nbsp; 5855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4922, Class GE, 2.50%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 606 | &nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5444, Class BC, 5.50%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 7635 | &nbsp;&nbsp;&nbsp;&nbsp; 7690 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5501, Class EA, 6.00%, 7/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17245 | &nbsp;&nbsp;&nbsp;&nbsp; 17469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4952, Class PA, 2.50%, 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1026 | &nbsp;&nbsp;&nbsp;&nbsp; 906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5558, Class BA, 5.50%, 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 19670 | &nbsp;&nbsp;&nbsp;&nbsp; 19855 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5564, Class DA, 5.00%, 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8697 | &nbsp;&nbsp;&nbsp;&nbsp; 8762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5574, Class CA, 5.50%, 8/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5702 | &nbsp;&nbsp;&nbsp;&nbsp; 5776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5507, Class LA, 5.50%, 1/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14252 | &nbsp;&nbsp;&nbsp;&nbsp; 14403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5568, Class DA, 5.00%, 3/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8337 | &nbsp;&nbsp;&nbsp;&nbsp; 8372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5433, Class B, 5.50%, 4/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8035 | &nbsp;&nbsp;&nbsp;&nbsp; 8113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5502, Class DC, 5.50%, 5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 13286 | &nbsp;&nbsp;&nbsp;&nbsp; 13458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5584, Class LA, 5.50%, 6/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4419 | &nbsp;&nbsp;&nbsp;&nbsp; 4476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5504, Class DA, 5.50%, 7/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 11023 | &nbsp;&nbsp;&nbsp;&nbsp; 11177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5481, Class HA, 5.50%, 11/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8594 | &nbsp;&nbsp;&nbsp;&nbsp; 8698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5397, Class CA, 5.00%, 2/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 9091 | &nbsp;&nbsp;&nbsp;&nbsp; 9090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5407, Class PA, 5.50%, 2/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 7214 | &nbsp;&nbsp;&nbsp;&nbsp; 7267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 5536, Class PA, 5.00%, 5/25/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 4690 | &nbsp;&nbsp;&nbsp;&nbsp; 4714 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 302, Class 350, 3.50%, 2/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 218, PO, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 290, Class 200, 2.00%, 11/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 277, Class 30, 3.00%, 9/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1868 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 359, Class 350, 3.50%, 10/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1152 | &nbsp;&nbsp;&nbsp;&nbsp; 1092 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-48, Class CN, 4.00%, 6/25/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-61, Class B, 3.00%, 7/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-72, Class KB, 3.50%, 8/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-26, Class CA, 2.50%, 3/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-46, Class KI, IO, 3.50%, 5/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 576 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-102, Class IB, IO, 3.50%, 9/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 442 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-127, Class AC, 1.50%, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-124, Class HG, 2.00%, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-5, Class DA, 1.50%, 2/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-13, Class KD, 1.50%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-137, Class BA, 1.50%, 1/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-15, Class AC, 5.50%, 3/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-58, Class B, 4.50%, 8/25/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class AC, 4.00%, 3/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-92, Class B, 4.50%, 8/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1507 | &nbsp;&nbsp;&nbsp;&nbsp; 1516 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8, Class CA, 2.00%, 3/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5753 | &nbsp;&nbsp;&nbsp;&nbsp; 5575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-45, Class ZA, 4.00%, 5/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 5601 | &nbsp;&nbsp;&nbsp;&nbsp; 5592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-38, Class EA, PO, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-89, Class KE, 2.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-81, Class HE, 6.50%, 1/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 934 | &nbsp;&nbsp;&nbsp;&nbsp; 979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-34, Class FA, 4.75%, 5/18/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-112, Class AY, 3.00%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 13425 | &nbsp;&nbsp;&nbsp;&nbsp; 12942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-109, Class BA, 3.00%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-64, Class PG, 5.50%, 10/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 742 | &nbsp;&nbsp;&nbsp;&nbsp; 763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class FH, 4.99%, 11/25/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class TF, 5.25%, 12/18/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-134, Class JY, 3.00%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 14229 | &nbsp;&nbsp;&nbsp;&nbsp; 13746 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class QG, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-84, Class DZ, 5.50%, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-94, Class BZ, 5.50%, 1/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp;&nbsp;&nbsp; 513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-18, Class TG, 2.00%, 2/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class FB, 4.94%, 2/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-31, Class NL, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp; 236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class CI, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-63, Class A7, 5.50%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 897 | &nbsp;&nbsp;&nbsp;&nbsp; 927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-49, IO, 6.50%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-69, Class L, 3.00%, 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 9103 | &nbsp;&nbsp;&nbsp;&nbsp; 8854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class GL, 3.50%, 7/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-133, Class WA, 3.00%, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 967 | &nbsp;&nbsp;&nbsp;&nbsp; 949 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class DZ, 3.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 21830 | &nbsp;&nbsp;&nbsp;&nbsp; 21075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-97, Class EL, 3.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 12682 | &nbsp;&nbsp;&nbsp;&nbsp; 12335 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-84, Class PZ, 5.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class WB, 3.00%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 4115 | &nbsp;&nbsp;&nbsp;&nbsp; 3997 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-107, Class ZD, 6.00%, 11/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 738 | &nbsp;&nbsp;&nbsp;&nbsp; 770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-126, Class JZ, 3.50%, 12/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 13441 | &nbsp;&nbsp;&nbsp;&nbsp; 13242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-129, Class CZ, 2.50%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 8112 | &nbsp;&nbsp;&nbsp;&nbsp; 7761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-129, Class ZT, 5.50%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 4013 | &nbsp;&nbsp;&nbsp;&nbsp; 4185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-38, Class AO, PO, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp;&nbsp;&nbsp; 1064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-23, Class CZ, 3.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 6381 | &nbsp;&nbsp;&nbsp;&nbsp; 6275 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-25, Class LV, 5.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 5900 | &nbsp;&nbsp;&nbsp;&nbsp; 6086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-72, Class F, 4.69%, 9/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-91, Class BR, 5.50%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class ZU, 6.00%, 12/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 598 | &nbsp;&nbsp;&nbsp;&nbsp; 630 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class PA, 5.00%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-101, Class AR, 5.50%, 1/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-8, Class V, 5.50%, 2/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 26080 | &nbsp;&nbsp;&nbsp;&nbsp; 26609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-27, Class HZ, 5.00%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 990 | &nbsp;&nbsp;&nbsp;&nbsp; 1012 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-31, Class PB, 5.50%, 4/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-31, Class UY, 3.00%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3295 | &nbsp;&nbsp;&nbsp;&nbsp; 3179 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-38, Class FK, 4.49%, 5/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 193 | &nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-41, Class CA, 3.00%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 313 | &nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class PF, 4.44%, 7/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-55, Class PN, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1104 | &nbsp;&nbsp;&nbsp;&nbsp; 1145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64, Class PL, 5.50%, 7/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-103, Class BT, IF, 6.50%, 7/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-88, Class ZC, 5.00%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1182 | &nbsp;&nbsp;&nbsp;&nbsp; 1211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-109, Class VZ, 5.00%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 880 | &nbsp;&nbsp;&nbsp;&nbsp; 899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-39, Class FT, 5.14%, 10/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp; 355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class MB, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-114, Class JA, 3.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-87, Class TB, 4.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2327 | &nbsp;&nbsp;&nbsp;&nbsp; 2325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-101, Class B, 5.00%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp; 541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-99, Class AF, 4.54%, 12/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-88, Class ER, 2.50%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class FC, 4.49%, 3/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class DB, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 199 | &nbsp;&nbsp;&nbsp;&nbsp; 207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-3, Class ZA, 5.50%, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 5177 | &nbsp;&nbsp;&nbsp;&nbsp; 5383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-27, Class BF, 4.49%, 4/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-31, Class NV, 5.50%, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 4807 | &nbsp;&nbsp;&nbsp;&nbsp; 4953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class FW, 4.59%, 6/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 150 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-42, Class PF, 4.60%, 6/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-50, Class PE, 5.00%, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 195 | &nbsp;&nbsp;&nbsp;&nbsp; 200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-71, Class JT, 6.00%, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 118 | &nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class ST, IF, IO, 2.96%, 7/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-101, Class FC, 4.49%, 7/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-101, Class FD, 4.49%, 7/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class DC, 4.84%, 7/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-62, Class CV, 5.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7955 | &nbsp;&nbsp;&nbsp;&nbsp; 8243 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-62, Class VB, 5.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 8101 | &nbsp;&nbsp;&nbsp;&nbsp; 8393 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-62, Class HV, 5.00%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6809 | &nbsp;&nbsp;&nbsp;&nbsp; 6946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-75, Class AV, 5.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 11997 | &nbsp;&nbsp;&nbsp;&nbsp; 12359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class NF, 4.44%, 2/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-22, Class SC, IF, IO, 1.89%, 3/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 4.94%, 3/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-33, Class MS, IF, IO, 2.40%, 4/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 677 | &nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-57, Class ZE, 4.75%, 5/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-B2, Class ZA, 5.50%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp; 1187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-61, Class PE, 5.50%, 7/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1729 | &nbsp;&nbsp;&nbsp;&nbsp; 1804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-5, Class PE, 5.00%, 8/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-85, Class SH, IF, IO, 2.31%, 9/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-117, Class FM, 4.89%, 1/25/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-117, Class MF, 4.89%, 1/25/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-18, Class SE, IF, IO, 2.08%, 3/25/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-25, Class DZ, 5.75%, 4/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-8, Class D, 2.00%, 8/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 7682 | &nbsp;&nbsp;&nbsp;&nbsp; 7223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-83, Class CA, 6.00%, 9/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-29, Class LA, 1.08%, 5/25/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp;&nbsp;&nbsp; 596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-25, Class DC, 2.50%, 6/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-59, Class HB, 5.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 764 | &nbsp;&nbsp;&nbsp;&nbsp; 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class FA, 5.39%, 9/25/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-73, Class HJ, 6.00%, 9/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 78 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-86, Class PE, 5.00%, 10/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 1705 | &nbsp;&nbsp;&nbsp;&nbsp; 1751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-125, Class AB, 4.00%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-87, Class B, 4.50%, 11/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 563 | &nbsp;&nbsp;&nbsp;&nbsp; 568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-112, Class SW, IF, IO, 2.06%, 1/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1441 | &nbsp;&nbsp;&nbsp;&nbsp; 141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-35, Class KF, 4.69%, 4/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-37, Class CY, 5.00%, 4/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-61, Class ZA, 5.00%, 4/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp; 581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-43, Class HJ, 5.50%, 5/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class FA, 4.74%, 6/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-58, Class FY, 4.92%, 6/25/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 279 | &nbsp;&nbsp;&nbsp;&nbsp; 283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-109, Class M, 3.00%, 9/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 625 | &nbsp;&nbsp;&nbsp;&nbsp; 612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-126, Class LI, IO, 4.00%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-74, Class LQ, 4.50%, 11/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 13384 | &nbsp;&nbsp;&nbsp;&nbsp; 13572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-154, Class MW, 3.50%, 1/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 2294 | &nbsp;&nbsp;&nbsp;&nbsp; 2253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-63, Class LB, 4.00%, 1/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1970 | &nbsp;&nbsp;&nbsp;&nbsp; 1953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-18, Class KY, 4.00%, 3/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-35, Class PE, 4.00%, 4/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 756 | &nbsp;&nbsp;&nbsp;&nbsp; 739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-53, Class FT, 4.77%, 6/25/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-52, Class GB, 5.00%, 6/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-128, Class KP, 4.50%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-59, Class NZ, 5.50%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 445 | &nbsp;&nbsp;&nbsp;&nbsp; 464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-64, Class DT, 5.80%, 7/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 25692 | &nbsp;&nbsp;&nbsp;&nbsp; 26986 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-147, Class NE, 1.75%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-14, Class PA, 2.00%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-72, Class LY, 3.50%, 8/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-45, Class GA, 2.50%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-126, Class CA, 4.00%, 9/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-123, Class BP, 2.00%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 1980 | &nbsp;&nbsp;&nbsp;&nbsp; 1865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-141, Class MA, 3.50%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-64, Class PK, 4.50%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 663 | &nbsp;&nbsp;&nbsp;&nbsp; 662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-113, Class DC, 2.25%, 1/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-27, Class PL, 2.00%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-139, Class NY, 5.00%, 2/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 924 | &nbsp;&nbsp;&nbsp;&nbsp; 946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-133, Class AP, 1.75%, 3/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 2507 | &nbsp;&nbsp;&nbsp;&nbsp; 2324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-100, Class TL, 4.00%, 4/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-80, Class EB, 4.50%, 4/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-9, Class CB, 5.50%, 4/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 8663 | &nbsp;&nbsp;&nbsp;&nbsp; 8985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-73, Class PG, 2.50%, 6/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp; 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-128, Class VF, 4.44%, 6/25/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-93, Class PJ, 3.00%, 7/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 399 | &nbsp;&nbsp;&nbsp;&nbsp; 388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-96, Class FY, 4.54%, 7/25/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-34, Class PC, 2.50%, 8/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-18, Class DE, 4.00%, 8/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 451 | &nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-94, Class K, 2.00%, 9/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 711 | &nbsp;&nbsp;&nbsp;&nbsp; 631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-60, Class PD, 2.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-112, Class DA, 3.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1446 | &nbsp;&nbsp;&nbsp;&nbsp; 1347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class NC, 3.00%, 10/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 108 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-72, Class AF, 4.44%, 11/25/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-6, Class HD, 1.50%, 12/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-35, Class LP, 3.00%, 1/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5531 | &nbsp;&nbsp;&nbsp;&nbsp; 5385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-61, Class BA, 3.00%, 1/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1191 | &nbsp;&nbsp;&nbsp;&nbsp; 1134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-10, Class PA, 1.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp;&nbsp;&nbsp; 642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-10, Class UB, 2.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 858 | &nbsp;&nbsp;&nbsp;&nbsp; 747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-58, Class FP, 4.44%, 2/25/2043 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 409 | &nbsp;&nbsp;&nbsp;&nbsp; 405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-18, Class BZ, 3.00%, 3/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 5015 | &nbsp;&nbsp;&nbsp;&nbsp; 4888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-100, Class PL, 4.50%, 3/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-66, Class LB, 1.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-26, Class ZV, 3.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 10123 | &nbsp;&nbsp;&nbsp;&nbsp; 9662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-33, Class UZ, 3.50%, 4/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 6999 | &nbsp;&nbsp;&nbsp;&nbsp; 6685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-64, Class PF, 4.44%, 4/25/2043 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-66, Class MB, 3.00%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1571 | &nbsp;&nbsp;&nbsp;&nbsp; 1456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-43, Class PZ, 3.00%, 7/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1281 | &nbsp;&nbsp;&nbsp;&nbsp; 1103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-32, Class DK, 3.00%, 8/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp; 265 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, Class DE, 4.00%, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp; 579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-34, Class UP, 3.00%, 11/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp; 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-45, Class CB, 2.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2959 | &nbsp;&nbsp;&nbsp;&nbsp; 2820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class GB, 4.00%, 2/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1789 | &nbsp;&nbsp;&nbsp;&nbsp; 1777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-80, Class KV, 3.00%, 6/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1853 | &nbsp;&nbsp;&nbsp;&nbsp; 1829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-56, Class Z, 3.50%, 9/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 4838 | &nbsp;&nbsp;&nbsp;&nbsp; 4608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-100, Class P, 3.50%, 11/25/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-28, Class JE, 3.00%, 5/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 18468 | &nbsp;&nbsp;&nbsp;&nbsp; 17943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-33, Class DT, 2.50%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp;&nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-51, Class KC, 3.00%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 153 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-12, Class GB, 6.00%, 6/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 18431 | &nbsp;&nbsp;&nbsp;&nbsp; 18828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-42, Class B, 6.00%, 7/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 13692 | &nbsp;&nbsp;&nbsp;&nbsp; 13995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-18, Class DA, 3.00%, 8/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 422 | &nbsp;&nbsp;&nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-84, Class LA, 3.00%, 12/25/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 626 | &nbsp;&nbsp;&nbsp;&nbsp; 602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class GA, 3.00%, 2/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1220 | &nbsp;&nbsp;&nbsp;&nbsp; 1170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-20, Class HD, 5.50%, 3/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 6072 | &nbsp;&nbsp;&nbsp;&nbsp; 6132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-16, Class AL, 3.00%, 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 7341 | &nbsp;&nbsp;&nbsp;&nbsp; 6828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-15, Class PE, 3.50%, 4/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 831 | &nbsp;&nbsp;&nbsp;&nbsp; 811 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-26, Class CG, 3.00%, 5/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 22963 | &nbsp;&nbsp;&nbsp;&nbsp; 22217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-68, Class HQ, 3.00%, 7/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 907 | &nbsp;&nbsp;&nbsp;&nbsp; 864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-80, Class JP, 3.00%, 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 523 | &nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-27, Class E, 3.00%, 11/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1873 | &nbsp;&nbsp;&nbsp;&nbsp; 1755 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-85, Class HA, 3.00%, 12/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 944 | &nbsp;&nbsp;&nbsp;&nbsp; 902 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-11, Class PH, 2.50%, 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-8, Class KL, 2.50%, 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 7739 | &nbsp;&nbsp;&nbsp;&nbsp; 7136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-10, Class AE, 3.00%, 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1431 | &nbsp;&nbsp;&nbsp;&nbsp; 1378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-9, Class B, 3.00%, 3/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp; 1542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-10, Class FA, 4.59%, 3/25/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-84, Class JA, 2.75%, 9/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp;&nbsp;&nbsp; 426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-96, Class MA, 3.00%, 12/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 373 | &nbsp;&nbsp;&nbsp;&nbsp; 335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-102, Class PZ, 3.50%, 12/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2513 | &nbsp;&nbsp;&nbsp;&nbsp; 2270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-37, Class BC, 3.50%, 12/25/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-41, Class GA, 5.50%, 2/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 3960 | &nbsp;&nbsp;&nbsp;&nbsp; 3995 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-13, Class PA, 3.00%, 3/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6458 | &nbsp;&nbsp;&nbsp;&nbsp; 5882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15, Class NZ, 3.00%, 3/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6680 | &nbsp;&nbsp;&nbsp;&nbsp; 6125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15, Class ZG, 3.50%, 3/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1455 | &nbsp;&nbsp;&nbsp;&nbsp; 1347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-17, Class KA, 3.50%, 4/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-65, Class PA, 2.50%, 5/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-11, Class EA, 3.00%, 5/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 491 | &nbsp;&nbsp;&nbsp;&nbsp; 469 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-20, Class PB, 2.75%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-87, Class BA, 4.00%, 7/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-94, PO, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-9, Class ZA, 3.50%, 9/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 5586 | &nbsp;&nbsp;&nbsp;&nbsp; 5132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-51, Class DW, 3.50%, 11/25/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 313 | &nbsp;&nbsp;&nbsp;&nbsp; 308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-61, Class G, 5.50%, 1/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 16540 | &nbsp;&nbsp;&nbsp;&nbsp; 16650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-49, Class GA, 1.50%, 2/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2013 | &nbsp;&nbsp;&nbsp;&nbsp; 1706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class AB, 3.20%, 2/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 8078 | &nbsp;&nbsp;&nbsp;&nbsp; 7838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-11, Class ZY, 5.50%, 3/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2373 | &nbsp;&nbsp;&nbsp;&nbsp; 2367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-13, Class CG, 4.50%, 4/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2125 | &nbsp;&nbsp;&nbsp;&nbsp; 2141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-18, Class BA, 3.50%, 5/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 6077 | &nbsp;&nbsp;&nbsp;&nbsp; 5913 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-70, Class JA, 2.50%, 9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-72, Class KA, 2.50%, 9/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-15, Class EA, 2.00%, 10/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-70, Class MB, 2.50%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-81, Class LA, 2.50%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 293 | &nbsp;&nbsp;&nbsp;&nbsp; 262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7, Class DZ, 3.00%, 2/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 624 | &nbsp;&nbsp;&nbsp;&nbsp; 535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-15, Class EM, 3.00%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 491 | &nbsp;&nbsp;&nbsp;&nbsp; 427 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class BA, 6.00%, 3/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13889 | &nbsp;&nbsp;&nbsp;&nbsp; 14112 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-29, Class A, 5.50%, 6/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7802 | &nbsp;&nbsp;&nbsp;&nbsp; 7901 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-81, Class BA, 5.00%, 7/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8067 | &nbsp;&nbsp;&nbsp;&nbsp; 8073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-57, Class B, 5.50%, 9/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 7201 | &nbsp;&nbsp;&nbsp;&nbsp; 7292 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-60, Class H, 5.00%, 11/25/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 8472 | &nbsp;&nbsp;&nbsp;&nbsp; 8492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5, Class HA, 5.25%, 2/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 4362 | &nbsp;&nbsp;&nbsp;&nbsp; 4395 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-65, Class DB, 5.00%, 5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 9780 | &nbsp;&nbsp;&nbsp;&nbsp; 9785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-50, Class DA, 5.50%, 5/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3420 | &nbsp;&nbsp;&nbsp;&nbsp; 3426 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-44, Class A, 5.00%, 12/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 3971 | &nbsp;&nbsp;&nbsp;&nbsp; 3968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-66, Class LA, 5.00%, 12/25/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 14197 | &nbsp;&nbsp;&nbsp;&nbsp; 14272 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-42, Class NA, 5.50%, 4/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 16556 | &nbsp;&nbsp;&nbsp;&nbsp; 16796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-44, Class EA, 5.00%, 6/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 5871 | &nbsp;&nbsp;&nbsp;&nbsp; 5915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-43, Class P, 4.00%, 7/25/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 7192 | &nbsp;&nbsp;&nbsp;&nbsp; 7091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-96, Class EA, 5.50%, 3/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 11949 | &nbsp;&nbsp;&nbsp;&nbsp; 12147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-58, Class BA, 5.00%, 9/25/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 13621 | &nbsp;&nbsp;&nbsp;&nbsp; 13843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-33, Class MA, 3.50%, 7/25/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 303 | &nbsp;&nbsp;&nbsp;&nbsp; 300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-70, Class HA, 3.50%, 10/25/2056 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.59%, 6/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.06%, 10/25/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-50, Class BA, 7.00%, 10/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 289, Class 1, PO, 11/25/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 17, IO, 6.50%, 2/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 13, IO, 6.00%, 3/25/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 334, Class 9, IO, 6.00%, 3/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 160 | &nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 356, Class 16, IO, 5.50%, 6/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 359, Class 16, IO, 5.50%, 10/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 369, Class 19, IO, 6.00%, 10/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 369, Class 26, IO, 6.50%, 10/25/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 386, Class 20, IO, 6.50%, 8/25/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 99 | &nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 394, Class C3, IO, 6.50%, 9/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 411, Class A3, 3.00%, 8/25/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 858 | &nbsp;&nbsp;&nbsp;&nbsp; 797 |
| &nbsp;&nbsp;&nbsp; FNMA, Whole Loan Series 2007-W1, Class 1AF1, 4.45%, 11/25/2046 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp; 615 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-132, Class GJ, 2.00%, 9/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-155, Class A, 3.00%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class AC, 1.50%, 5/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-50, Class F, 4.37%, 5/16/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-39, Class IN, IO, 5.50%, 6/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-102, Class PE, 6.00%, 11/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 580 | &nbsp;&nbsp;&nbsp;&nbsp; 580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-131, Class KV, 6.00%, 7/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3547 | &nbsp;&nbsp;&nbsp;&nbsp; 3642 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-26, Class NV, 6.00%, 12/20/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 9665 | &nbsp;&nbsp;&nbsp;&nbsp; 9910 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-22, Class HV, 5.00%, 2/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 6027 | &nbsp;&nbsp;&nbsp;&nbsp; 6141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26, Class S, IF, IO, 2.43%, 6/20/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2308 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class KU, IF, IO, 2.58%, 4/20/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1254 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-106, Class XL, IF, IO, 2.68%, 6/20/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-75, Class SP, IF, IO, 3.40%, 8/20/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class SA, IF, IO, 2.01%, 3/20/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1469 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KS, IF, IO, 2.23%, 3/20/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 182 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-75, Class NB, 4.50%, 6/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-59, Class HZ, 4.50%, 5/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp;&nbsp;&nbsp; 954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-98, Class ME, 4.50%, 8/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 8148 | &nbsp;&nbsp;&nbsp;&nbsp; 8239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class EA, 4.50%, 9/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 17917 | &nbsp;&nbsp;&nbsp;&nbsp; 17976 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-71, Class NA, 2.50%, 8/20/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-96, Class WP, 6.50%, 8/16/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1748 | &nbsp;&nbsp;&nbsp;&nbsp; 1854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-42, Class ND, 1.75%, 11/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-28, Class DE, 1.75%, 12/20/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3, Class GA, 2.50%, 1/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 2540 | &nbsp;&nbsp;&nbsp;&nbsp; 2424 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-12, Class ZA, 3.00%, 1/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 12169 | &nbsp;&nbsp;&nbsp;&nbsp; 11341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-41, Class AL, 2.25%, 3/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 3522 | &nbsp;&nbsp;&nbsp;&nbsp; 3329 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-29, Class LC, 3.00%, 4/20/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-137, Class DT, 2.25%, 9/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 6507 | &nbsp;&nbsp;&nbsp;&nbsp; 6132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-25, Class QH, 3.00%, 12/16/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 816 | &nbsp;&nbsp;&nbsp;&nbsp; 790 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-80, Class CP, 4.50%, 6/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 187 | &nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-80, Class CQ, 5.00%, 6/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-36, Class AM, 3.00%, 7/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp; 264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-79, Class LA, 3.00%, 9/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-90, Class MA, 3.00%, 10/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-84, Class BA, 5.75%, 11/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 15775 | &nbsp;&nbsp;&nbsp;&nbsp; 15846 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-107, Class PA, 5.50%, 1/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 5611 | &nbsp;&nbsp;&nbsp;&nbsp; 5713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-125, Class AG, 2.50%, 2/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 785 | &nbsp;&nbsp;&nbsp;&nbsp; 765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-91, Class WH, 2.75%, 3/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 818 | &nbsp;&nbsp;&nbsp;&nbsp; 762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-196, Class A, 4.50%, 4/20/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 8998 | &nbsp;&nbsp;&nbsp;&nbsp; 8977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-65, Class DZ, 3.00%, 4/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2802 | &nbsp;&nbsp;&nbsp;&nbsp; 2412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-139, Class PE, 2.75%, 8/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3170 | &nbsp;&nbsp;&nbsp;&nbsp; 2780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-164, Class DA, 5.50%, 10/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 7095 | &nbsp;&nbsp;&nbsp;&nbsp; 7115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-34, Class TY, 3.50%, 3/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 723 | &nbsp;&nbsp;&nbsp;&nbsp; 666 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-43, Class AB, 5.50%, 4/20/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 6939 | &nbsp;&nbsp;&nbsp;&nbsp; 7019 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-89, Class AM, 5.50%, 3/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 17897 | &nbsp;&nbsp;&nbsp;&nbsp; 18041 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-43, Class JA, 5.50%, 5/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 20248 | &nbsp;&nbsp;&nbsp;&nbsp; 20448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-74, Class AT, 3.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp; 352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-58, Class BA, 5.00%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2662 | &nbsp;&nbsp;&nbsp;&nbsp; 2671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-145, Class PA, 3.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-183, Class A, 4.50%, 11/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5821 | &nbsp;&nbsp;&nbsp;&nbsp; 5818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5, Class NA, 3.50%, 12/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 2518 | &nbsp;&nbsp;&nbsp;&nbsp; 2382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-74, Class DY, 2.00%, 5/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 786 | &nbsp;&nbsp;&nbsp;&nbsp; 665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-83, Class KP, 3.00%, 6/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-22, Class HE, 5.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 13210 | &nbsp;&nbsp;&nbsp;&nbsp; 13269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-147, Class AC, 6.00%, 7/20/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-127, Class AB, 5.00%, 1/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 8808 | &nbsp;&nbsp;&nbsp;&nbsp; 8875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-113, Class KA, 5.50%, 8/20/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 26472 | &nbsp;&nbsp;&nbsp;&nbsp; 26904 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-24, Class AD, 5.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 10849 | &nbsp;&nbsp;&nbsp;&nbsp; 10917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-113, Class HA, 5.50%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 8755 | &nbsp;&nbsp;&nbsp;&nbsp; 8906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-101, Class ED, 5.00%, 4/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 14746 | &nbsp;&nbsp;&nbsp;&nbsp; 14825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-8, Class WA, 5.00%, 7/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4058 | &nbsp;&nbsp;&nbsp;&nbsp; 4064 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-22, Class A, 5.00%, 9/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 6875 | &nbsp;&nbsp;&nbsp;&nbsp; 6908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-113, Class NA, 5.00%, 4/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 15550 | &nbsp;&nbsp;&nbsp;&nbsp; 15596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-80, Class AC, 6.00%, 6/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 4141 | &nbsp;&nbsp;&nbsp;&nbsp; 4234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-89, Class EC, 5.00%, 11/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1668 | &nbsp;&nbsp;&nbsp;&nbsp; 1684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-46, Class KB, 5.00%, 12/20/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 1815 | &nbsp;&nbsp;&nbsp;&nbsp; 1842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-79, Class PT, 6.00%, 5/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 7324 | &nbsp;&nbsp;&nbsp;&nbsp; 7501 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-144, Class DB, 6.50%, 9/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 5668 | &nbsp;&nbsp;&nbsp;&nbsp; 5828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-203, Class HA, 6.50%, 10/20/2054 | &nbsp;&nbsp;&nbsp;&nbsp; 5478 | &nbsp;&nbsp;&nbsp;&nbsp; 5669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-19, Class E, 5.00%, 9/20/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 16430 | &nbsp;&nbsp;&nbsp;&nbsp; 16448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-115, Class E, 5.50%, 11/20/2057 | &nbsp;&nbsp;&nbsp;&nbsp; 11243 | &nbsp;&nbsp;&nbsp;&nbsp; 11331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-H26, Class LF, 4.57%, 8/20/2058 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-19, Class EB, 5.50%, 6/20/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 5335 | &nbsp;&nbsp;&nbsp;&nbsp; 5412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-H03, Class FA, 4.65%, 3/20/2060 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp; 414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H07, Class FA, 4.72%, 2/20/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp;&nbsp;&nbsp; 362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H08, Class FA, 4.82%, 2/20/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H11, Class FA, 4.72%, 3/20/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H11, Class FB, 4.72%, 4/20/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-H21, Class FA, 4.82%, 10/20/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H05, Class FB, 4.50%, 2/20/2062 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H14, Class FK, 4.80%, 7/20/2062 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H18, Class NA, 4.74%, 8/20/2062 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H20, Class BA, 4.78%, 9/20/2062 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H23, Class WA, 4.74%, 10/20/2062 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 4.74%, 10/20/2062 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H30, Class GA, 4.57%, 12/20/2062 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2023-112, Class BA, 6.50%, 12/20/2062 | &nbsp;&nbsp;&nbsp;&nbsp; 3915 | &nbsp;&nbsp;&nbsp;&nbsp; 4076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FA, 4.57%, 3/20/2063 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H11, Class FA, 4.67%, 4/20/2063 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H14, Class FG, 4.69%, 5/20/2063 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 116 | &nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H15, Class FA, 4.76%, 6/20/2063 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H19, Class FC, 4.82%, 8/20/2063 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H05, Class FB, 4.82%, 12/20/2063 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H02, Class FB, 4.87%, 12/20/2063 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-64, Class ED, 5.50%, 4/20/2064 | &nbsp;&nbsp;&nbsp;&nbsp; 4802 | &nbsp;&nbsp;&nbsp;&nbsp; 4887 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H14, Class GF, 4.69%, 7/20/2064 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H16, Class FL, 4.86%, 7/20/2064 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp; 220 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H21, Class FA, 4.87%, 10/20/2064 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H04, Class FL, 4.86%, 2/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H06, Class FB, 4.87%, 2/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4004 | &nbsp;&nbsp;&nbsp;&nbsp; 4007 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H13, Class FG, 4.62%, 4/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FH, 4.82%, 4/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H09, Class FA, 4.84%, 4/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 128 | &nbsp;&nbsp;&nbsp;&nbsp; 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H10, Class FK, 4.84%, 4/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4102 | &nbsp;&nbsp;&nbsp;&nbsp; 4101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H14, Class FB, 4.65%, 5/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FB, 4.82%, 5/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2301 | &nbsp;&nbsp;&nbsp;&nbsp; 2301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H12, Class FD, 4.82%, 5/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H14, Class FA, 4.79%, 6/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1015 | &nbsp;&nbsp;&nbsp;&nbsp; 1014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FM, 4.82%, 7/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 874 | &nbsp;&nbsp;&nbsp;&nbsp; 873 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H24, Class FA, 4.87%, 9/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1888 | &nbsp;&nbsp;&nbsp;&nbsp; 1889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H27, Class FA, 4.97%, 9/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 362 | &nbsp;&nbsp;&nbsp;&nbsp; 362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H25, Class FD, 4.87%, 10/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1979 | &nbsp;&nbsp;&nbsp;&nbsp; 1980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H29, Class FA, 4.92%, 10/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H29, Class FJ, 4.90%, 11/20/2065 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1129 | &nbsp;&nbsp;&nbsp;&nbsp; 1130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H01, Class FA, 5.12%, 1/20/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1106 | &nbsp;&nbsp;&nbsp;&nbsp; 1110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H06, Class FC, 5.14%, 2/20/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 689 | &nbsp;&nbsp;&nbsp;&nbsp; 692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H06, Class FA, 5.17%, 2/20/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 821 | &nbsp;&nbsp;&nbsp;&nbsp; 825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H09, Class FN, 5.07%, 3/20/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 817 | &nbsp;&nbsp;&nbsp;&nbsp; 819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H14, Class FA, 5.02%, 6/20/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 371 | &nbsp;&nbsp;&nbsp;&nbsp; 372 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H22, Class FA, 4.99%, 10/20/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1508 | &nbsp;&nbsp;&nbsp;&nbsp; 1511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-H24, Class AF, 5.07%, 11/20/2066 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 825 | &nbsp;&nbsp;&nbsp;&nbsp; 828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H07, Class FG, 4.68%, 2/20/2067 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H14, Class FD, 4.69%, 6/20/2067 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 157 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H16, Class CF, 4.69%, 7/20/2067 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2687 | &nbsp;&nbsp;&nbsp;&nbsp; 2686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H15, Class FN, 4.72%, 7/20/2067 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H19, Class FA, 4.67%, 8/20/2067 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H04, Class FG, 4.50%, 2/20/2068 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H07, Class FE, 4.57%, 2/20/2068 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H01, Class FT, 4.62%, 10/20/2068 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H05, Class FT, 4.07%, 4/20/2069 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp; 430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H14, Class FH, 4.92%, 8/20/2069 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10478 | &nbsp;&nbsp;&nbsp;&nbsp; 10451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-H13, Class FK, 4.72%, 7/20/2070 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2155 | &nbsp;&nbsp;&nbsp;&nbsp; 2148 |
| &nbsp;&nbsp;&nbsp; Homeward Opportunities Fund Trust Series 2025-RRTL2, Class A1, 5.24%, 9/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13890 | &nbsp;&nbsp;&nbsp;&nbsp; 13934 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-S2, Class 5A1, 5.50%, 12/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; 97 | &nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 6.45%, 8/25/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp; 229 |
| &nbsp;&nbsp;&nbsp; Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 5.75%, 7/25/2061 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 2837 | &nbsp;&nbsp;&nbsp;&nbsp; 2837 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 5.32%, 9/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13067 | &nbsp;&nbsp;&nbsp;&nbsp; 13081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A1, 5.65%, 1/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 6579 | &nbsp;&nbsp;&nbsp;&nbsp; 6619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL2, Class A1, 5.61%, 4/25/2040 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp; 3522 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; MFA Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL3, Class A1, 5.91%, 11/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 12170 | &nbsp;&nbsp;&nbsp;&nbsp; 12300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM2, Class A1, 1.03%, 11/25/2064 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 717 | &nbsp;&nbsp;&nbsp;&nbsp; 637 |
| &nbsp;&nbsp;&nbsp; New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 6.66%, 3/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 12035 | &nbsp;&nbsp;&nbsp;&nbsp; 12102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL2, Class A1, 5.44%, 9/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 15750 | &nbsp;&nbsp;&nbsp;&nbsp; 15868 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2005-AR6, Class 4A1, 4.59%, 12/25/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1170 | &nbsp;&nbsp;&nbsp;&nbsp; 284 |
| &nbsp;&nbsp;&nbsp; NYMT Loan Trust Series 2024-BPL3, Class A1, 5.27%, 9/25/2039 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp; 7011 |
| &nbsp;&nbsp;&nbsp; OBX Trust Series 2020-EXP3, Class 2A1, 4.97%, 1/25/2060 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp; 294 |
| &nbsp;&nbsp;&nbsp; Roc Mortgage Trust Series 2025-RTL1, Class A1, 5.63%, 2/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 3080 | &nbsp;&nbsp;&nbsp;&nbsp; 3095 |
| &nbsp;&nbsp;&nbsp; Toorak Mortgage Trust Series 2025-RRTL1, Class A1, 5.52%, 2/25/2040 (a) (d) | &nbsp;&nbsp;&nbsp;&nbsp; 13600 | &nbsp;&nbsp;&nbsp;&nbsp; 13689 |
| &nbsp;&nbsp;&nbsp; Visio Trust Series 2019-2, Class A1, 2.72%, 11/25/2054 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 205 | &nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $1,965,857)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 1951357 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — 7.4%** | **Mortgage-Backed Securities — 7.4%** | **Mortgage-Backed Securities — 7.4%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B2844, ARM, 6.55%, 3/1/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1380, ARM, 6.69%, 3/1/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 416 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1379, ARM, 7.00%, 10/1/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1861, ARM, 6.91%, 3/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1380, ARM, 7.37%, 3/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1313, ARM, 6.23%, 6/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G1028, ARM, 6.41%, 7/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1K0035, ARM, 6.36%, 8/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0273, ARM, 6.48%, 8/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 39 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1393, ARM, 6.26%, 10/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1378, ARM, 6.27%, 11/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N0346, ARM, 6.06%, 12/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1467, ARM, 6.26%, 12/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1418, ARM, 6.32%, 12/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1541, ARM, 6.54%, 1/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp;&nbsp;&nbsp; 253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1516, ARM, 6.63%, 2/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1N1458, ARM, 6.19%, 3/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1635, ARM, 6.46%, 3/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1522, ARM, 7.05%, 3/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 39 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0339, ARM, 6.79%, 4/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0697, ARM, 6.19%, 5/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1681, ARM, 6.73%, 6/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1685, ARM, 6.73%, 6/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847871, ARM, 5.71%, 8/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 92 | &nbsp;&nbsp;&nbsp;&nbsp; 92 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2834, ARM, 6.64%, 8/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0476, ARM, 6.56%, 10/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J2945, ARM, 6.50%, 11/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0894, ARM, 7.11%, 1/1/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0722, ARM, 6.83%, 4/1/2038 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J14783, 4.00%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G14643, 4.00%, 8/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G14973, 4.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J30812, 3.00%, 2/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3293 | &nbsp;&nbsp;&nbsp;&nbsp; 3244 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # J31731, 3.00%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G16018, 3.00%, 12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2024 | &nbsp;&nbsp;&nbsp;&nbsp; 1985 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G18643, 2.50%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 6538 | &nbsp;&nbsp;&nbsp;&nbsp; 6327 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30325, 5.50%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91261, 4.50%, 8/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91349, 4.50%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30565, 4.50%, 10/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 109 | &nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30701, 5.00%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91388, 3.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1121 | &nbsp;&nbsp;&nbsp;&nbsp; 1106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91447, 3.50%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91449, 4.00%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 369 | &nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91581, 3.00%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 471 | &nbsp;&nbsp;&nbsp;&nbsp; 459 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # K90311, 3.00%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 957 | &nbsp;&nbsp;&nbsp;&nbsp; 930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G30669, 4.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp; 635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91761, 4.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 509 | &nbsp;&nbsp;&nbsp;&nbsp; 508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # K92617, 3.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2784 | &nbsp;&nbsp;&nbsp;&nbsp; 2669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91862, 3.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1901 | &nbsp;&nbsp;&nbsp;&nbsp; 1859 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C91880, 3.50%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp; 997 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A30588, 6.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01665, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 909 | &nbsp;&nbsp;&nbsp;&nbsp; 935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05046, 5.00%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03073, 5.50%, 7/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 484 | &nbsp;&nbsp;&nbsp;&nbsp; 506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G04772, 7.00%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05091, 4.50%, 9/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 437 | &nbsp;&nbsp;&nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G05798, 5.50%, 1/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 121 | &nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G08729, 4.50%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 322 | &nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T45022, 2.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp; 771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79013, 2.50%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79014, 2.50%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp; 180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # T40143, 2.50%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp; 170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79019, 3.00%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U79026, 2.50%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U49013, 3.00%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp; 302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U59041, 3.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 374 | &nbsp;&nbsp;&nbsp;&nbsp; 363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1051, 3.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1305 | &nbsp;&nbsp;&nbsp;&nbsp; 1283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20028, 7.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 544 | &nbsp;&nbsp;&nbsp;&nbsp; 560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6019, 3.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 463 | &nbsp;&nbsp;&nbsp;&nbsp; 409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6030, 3.50%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp; 321 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6028, 3.00%, 4/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RE6048, 2.50%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1177 | &nbsp;&nbsp;&nbsp;&nbsp; 989 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 10 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5058, 2.00%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 9364 | &nbsp;&nbsp;&nbsp;&nbsp; 8968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5059, 1.50%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 10208 | &nbsp;&nbsp;&nbsp;&nbsp; 9648 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5121, 4.50%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1659 | &nbsp;&nbsp;&nbsp;&nbsp; 1671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5122, 4.00%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1896 | &nbsp;&nbsp;&nbsp;&nbsp; 1892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5146, 4.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1905 | &nbsp;&nbsp;&nbsp;&nbsp; 1918 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5150, 5.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3536 | &nbsp;&nbsp;&nbsp;&nbsp; 3598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5157, 4.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1451 | &nbsp;&nbsp;&nbsp;&nbsp; 1460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RD5240, 5.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4876 | &nbsp;&nbsp;&nbsp;&nbsp; 4937 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS6893, 3.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 6901 | &nbsp;&nbsp;&nbsp;&nbsp; 6810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZK7588, 3.00%, 2/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 3780 | &nbsp;&nbsp;&nbsp;&nbsp; 3737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS7344, 3.00%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 6907 | &nbsp;&nbsp;&nbsp;&nbsp; 6773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1025, 2.50%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 7104 | &nbsp;&nbsp;&nbsp;&nbsp; 6909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8602, 3.00%, 3/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2231 | &nbsp;&nbsp;&nbsp;&nbsp; 2185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZK8739, 3.00%, 5/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5731 | &nbsp;&nbsp;&nbsp;&nbsp; 5600 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB0722, 3.00%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3016 | &nbsp;&nbsp;&nbsp;&nbsp; 2962 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8076, 4.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 941 | &nbsp;&nbsp;&nbsp;&nbsp; 942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS8124, 4.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1473 | &nbsp;&nbsp;&nbsp;&nbsp; 1476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1084, 3.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 8770 | &nbsp;&nbsp;&nbsp;&nbsp; 8601 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB8100, 1.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2902 | &nbsp;&nbsp;&nbsp;&nbsp; 2543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB0754, 2.00%, 3/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 728 | &nbsp;&nbsp;&nbsp;&nbsp; 677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1182, 6.00%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 18165 | &nbsp;&nbsp;&nbsp;&nbsp; 18810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1098, 6.00%, 2/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 6157 | &nbsp;&nbsp;&nbsp;&nbsp; 6383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SB1376, 6.00%, 12/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 11325 | &nbsp;&nbsp;&nbsp;&nbsp; 11741 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZA2217, 3.50%, 2/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7331 | &nbsp;&nbsp;&nbsp;&nbsp; 7226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT2375, 4.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 5764 | &nbsp;&nbsp;&nbsp;&nbsp; 5749 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZS9162, 3.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3315 | &nbsp;&nbsp;&nbsp;&nbsp; 3226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1674, 5.00%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1557 | &nbsp;&nbsp;&nbsp;&nbsp; 1577 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0379, 4.50%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2480 | &nbsp;&nbsp;&nbsp;&nbsp; 2496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZA2393, 3.00%, 10/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 12924 | &nbsp;&nbsp;&nbsp;&nbsp; 12406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZT1808, 3.50%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 5880 | &nbsp;&nbsp;&nbsp;&nbsp; 5767 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # ZA5795, 4.00%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 7562 | &nbsp;&nbsp;&nbsp;&nbsp; 7477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0353, 6.00%, 4/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 24366 | &nbsp;&nbsp;&nbsp;&nbsp; 25056 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0530, 6.00%, 8/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 15752 | &nbsp;&nbsp;&nbsp;&nbsp; 16215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SC0594, 6.00%, 11/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 11112 | &nbsp;&nbsp;&nbsp;&nbsp; 11435 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD5976, 5.00%, 7/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 11715 | &nbsp;&nbsp;&nbsp;&nbsp; 12127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD1278, 5.00%, 9/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 5965 | &nbsp;&nbsp;&nbsp;&nbsp; 6172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # SD4986, 5.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 4636 | &nbsp;&nbsp;&nbsp;&nbsp; 4757 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 409902, ARM, 6.37%, 6/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 52597, ARM, 4.33%, 7/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 5.99%, 1/1/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 865095, ARM, 7.18%, 10/1/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 157 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0295, ARM, 7.00%, 3/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp; 205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 877009, ARM, 7.07%, 3/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 894571, ARM, 7.13%, 3/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 333 | &nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 895687, ARM, 6.06%, 5/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 882099, ARM, 6.65%, 7/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 884722, ARM, 6.12%, 8/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886558, ARM, 6.34%, 8/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745858, ARM, 6.54%, 8/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 887714, ARM, 6.67%, 8/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0296, ARM, 6.00%, 12/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 148 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 870920, ARM, 6.17%, 12/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 905196, ARM, 6.41%, 12/1/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920954, ARM, 5.92%, 1/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888143, ARM, 6.55%, 1/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 25 | &nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 913984, ARM, 6.09%, 2/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 910178, ARM, 6.75%, 3/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp; 283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 936588, ARM, 5.64%, 4/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888750, ARM, 6.75%, 4/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 948208, ARM, 5.82%, 7/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 149 | &nbsp;&nbsp;&nbsp;&nbsp; 151 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 944105, ARM, 6.27%, 7/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950385, ARM, 5.53%, 8/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950382, ARM, 5.75%, 8/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 952182, ARM, 6.20%, 11/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995108, ARM, 6.21%, 11/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0081, ARM, 6.35%, 11/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 966911, ARM, 6.61%, 12/1/2037 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 10 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4040, 2.00%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4332, 2.00%, 5/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 8908 | &nbsp;&nbsp;&nbsp;&nbsp; 8544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4367, 1.50%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 12263 | &nbsp;&nbsp;&nbsp;&nbsp; 11590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP3513, 2.00%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 694 | &nbsp;&nbsp;&nbsp;&nbsp; 664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0868, 2.50%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 1850 | &nbsp;&nbsp;&nbsp;&nbsp; 1778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4637, 3.00%, 6/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 478 | &nbsp;&nbsp;&nbsp;&nbsp; 463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5461, 3.50%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 2396 | &nbsp;&nbsp;&nbsp;&nbsp; 2370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5079, 5.00%, 6/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 1208 | &nbsp;&nbsp;&nbsp;&nbsp; 1229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5117, 4.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 922 | &nbsp;&nbsp;&nbsp;&nbsp; 928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5491, 5.00%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2211 | &nbsp;&nbsp;&nbsp;&nbsp; 2249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5654, 5.00%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 4432 | &nbsp;&nbsp;&nbsp;&nbsp; 4505 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AJ5336, 3.00%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK0971, 3.00%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO0800, 3.00%, 4/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP7842, 3.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3439, 4.00%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL4307, 4.00%, 10/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 138 | &nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6105, 4.00%, 12/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AZ0888, 3.50%, 7/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 1517 | &nbsp;&nbsp;&nbsp;&nbsp; 1506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AZ8018, 3.00%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2693 | &nbsp;&nbsp;&nbsp;&nbsp; 2646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM9465, 3.00%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 1722 | &nbsp;&nbsp;&nbsp;&nbsp; 1700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL9065, 3.00%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3223 | &nbsp;&nbsp;&nbsp;&nbsp; 3160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM3524, 3.00%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 3245 | &nbsp;&nbsp;&nbsp;&nbsp; 3192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5110, 3.00%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 7675 | &nbsp;&nbsp;&nbsp;&nbsp; 7532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN6225, 3.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 2015 | &nbsp;&nbsp;&nbsp;&nbsp; 1994 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4258, 2.50%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3234 | &nbsp;&nbsp;&nbsp;&nbsp; 3070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA4263, 3.00%, 10/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 3069 | &nbsp;&nbsp;&nbsp;&nbsp; 2982 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4292, 3.00%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 1945 | &nbsp;&nbsp;&nbsp;&nbsp; 1908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0870, 3.00%, 3/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 20630 | &nbsp;&nbsp;&nbsp;&nbsp; 20194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3984, 2.50%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2198 | &nbsp;&nbsp;&nbsp;&nbsp; 2086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS3924, 3.00%, 6/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 12599 | &nbsp;&nbsp;&nbsp;&nbsp; 12348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4504, 3.50%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 2996 | &nbsp;&nbsp;&nbsp;&nbsp; 2968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5951, 3.50%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 3076 | &nbsp;&nbsp;&nbsp;&nbsp; 3051 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4848, 3.00%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2202 | &nbsp;&nbsp;&nbsp;&nbsp; 2141 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4430, 3.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2607 | &nbsp;&nbsp;&nbsp;&nbsp; 2580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6749, 3.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 2238 | &nbsp;&nbsp;&nbsp;&nbsp; 2186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5122, 6.00%, 8/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 7253 | &nbsp;&nbsp;&nbsp;&nbsp; 7517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS7413, 6.00%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 5748 | &nbsp;&nbsp;&nbsp;&nbsp; 5966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA1567, 6.00%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 12543 | &nbsp;&nbsp;&nbsp;&nbsp; 13073 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 256714, 5.50%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0214, 5.00%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 257 | &nbsp;&nbsp;&nbsp;&nbsp; 260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD5474, 5.00%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 85 | &nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0534, 4.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL4165, 4.50%, 1/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 234 | &nbsp;&nbsp;&nbsp;&nbsp; 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0804, 4.00%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0792, 4.50%, 7/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp; 444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3894, 4.00%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890653, 4.50%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 203 | &nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL5958, 4.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 489 | &nbsp;&nbsp;&nbsp;&nbsp; 487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1037, 3.00%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp;&nbsp;&nbsp; 461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL1722, 4.50%, 4/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB5811, 3.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 749 | &nbsp;&nbsp;&nbsp;&nbsp; 726 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7474, 3.50%, 10/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1270, 2.50%, 11/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp; 317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL3190, 4.00%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 204 | &nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AU5910, 3.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 3967 | &nbsp;&nbsp;&nbsp;&nbsp; 3896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1802, 3.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp;&nbsp;&nbsp; 400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4298, 3.50%, 4/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7249 | &nbsp;&nbsp;&nbsp;&nbsp; 7121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL8051, 4.00%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1863 | &nbsp;&nbsp;&nbsp;&nbsp; 1850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL5373, 4.50%, 5/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp; 226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1922, 4.00%, 6/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 11667 | &nbsp;&nbsp;&nbsp;&nbsp; 11655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM4606, 4.00%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 7438 | &nbsp;&nbsp;&nbsp;&nbsp; 7416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2587, 3.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1349 | &nbsp;&nbsp;&nbsp;&nbsp; 1318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2477, 3.00%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1743 | &nbsp;&nbsp;&nbsp;&nbsp; 1692 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2610, 3.00%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 11838 | &nbsp;&nbsp;&nbsp;&nbsp; 11339 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AS7789, 3.00%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 2387 | &nbsp;&nbsp;&nbsp;&nbsp; 2285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM6297, 3.50%, 12/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1871 | &nbsp;&nbsp;&nbsp;&nbsp; 1832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS0448, 3.00%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4435 | &nbsp;&nbsp;&nbsp;&nbsp; 4308 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM1370, 3.00%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1149 | &nbsp;&nbsp;&nbsp;&nbsp; 1096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ2544, 3.00%, 12/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp; 807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM2922, 3.00%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp; 1215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FM8386, 3.00%, 6/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1792 | &nbsp;&nbsp;&nbsp;&nbsp; 1730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4583, 4.00%, 6/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1295 | &nbsp;&nbsp;&nbsp;&nbsp; 1289 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS1689, 4.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 968 | &nbsp;&nbsp;&nbsp;&nbsp; 977 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4048, 4.50%, 4/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7761 | &nbsp;&nbsp;&nbsp;&nbsp; 7835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4490, 4.00%, 7/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7574 | &nbsp;&nbsp;&nbsp;&nbsp; 7507 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA5205, 6.00%, 11/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 23109 | &nbsp;&nbsp;&nbsp;&nbsp; 23780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS9723, 6.00%, 9/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 20120 | &nbsp;&nbsp;&nbsp;&nbsp; 20681 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FA0954, 6.00%, 1/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 2668 | &nbsp;&nbsp;&nbsp;&nbsp; 2751 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 250511, 6.50%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555889, 8.00%, 12/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 254548, 5.50%, 12/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 433 | &nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555458, 5.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 870 | &nbsp;&nbsp;&nbsp;&nbsp; 891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB0054, 4.50%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1161 | &nbsp;&nbsp;&nbsp;&nbsp; 1165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735503, 6.00%, 4/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 666 | &nbsp;&nbsp;&nbsp;&nbsp; 698 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745275, 5.00%, 2/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1207 | &nbsp;&nbsp;&nbsp;&nbsp; 1242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889118, 5.50%, 4/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 1275 | &nbsp;&nbsp;&nbsp;&nbsp; 1309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889209, 5.00%, 5/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745948, 6.50%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889494, 5.50%, 1/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 91 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0249, 5.50%, 4/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 864 | &nbsp;&nbsp;&nbsp;&nbsp; 889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995024, 5.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 141 | &nbsp;&nbsp;&nbsp;&nbsp; 147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS4003, 5.50%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 4831 | &nbsp;&nbsp;&nbsp;&nbsp; 4957 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 950302, 7.00%, 8/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888890, 6.50%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 306 | &nbsp;&nbsp;&nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 929005, 6.00%, 1/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 222 | &nbsp;&nbsp;&nbsp;&nbsp; 234 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995049, 5.50%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2828 | &nbsp;&nbsp;&nbsp;&nbsp; 2979 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 890268, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp;&nbsp;&nbsp; 581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995149, 6.50%, 10/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp;&nbsp;&nbsp; 360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7521, 5.00%, 6/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp; 172 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AC3237, 5.00%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 96 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB2025, 5.00%, 1/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 215 | &nbsp;&nbsp;&nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD6431, 4.50%, 6/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 93 | &nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK6740, 4.00%, 3/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1081 | &nbsp;&nbsp;&nbsp;&nbsp; 1068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7185, 4.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 578 | &nbsp;&nbsp;&nbsp;&nbsp; 566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7590, 3.50%, 10/1/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 507 | &nbsp;&nbsp;&nbsp;&nbsp; 482 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS5552, 5.00%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 4555 | &nbsp;&nbsp;&nbsp;&nbsp; 4635 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS8687, 5.50%, 8/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 4142 | &nbsp;&nbsp;&nbsp;&nbsp; 4330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # FS6870, 5.50%, 11/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 3204 | &nbsp;&nbsp;&nbsp;&nbsp; 3343 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year Pool # 801357, 5.50%, 8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN0254, 2.97%, 12/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 4611 | &nbsp;&nbsp;&nbsp;&nbsp; 4598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1461, 2.59%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 9915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN1613, 2.55%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 8856 | &nbsp;&nbsp;&nbsp;&nbsp; 8759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4482, 2.19%, 11/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 9816 | &nbsp;&nbsp;&nbsp;&nbsp; 9647 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8146, 2.78%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6981 | &nbsp;&nbsp;&nbsp;&nbsp; 6892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN5041, 3.08%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 4945 | &nbsp;&nbsp;&nbsp;&nbsp; 4897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6585, 2.84%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 6359 | &nbsp;&nbsp;&nbsp;&nbsp; 6248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6586, 2.84%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5818 | &nbsp;&nbsp;&nbsp;&nbsp; 5718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN7169, 2.83%, 10/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 5207 | &nbsp;&nbsp;&nbsp;&nbsp; 5120 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9763, 1.24%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AB7351, 2.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ8837, 2.50%, 12/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp; 102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9357, 2.50%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN8048, 3.08%, 1/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3160 | &nbsp;&nbsp;&nbsp;&nbsp; 3127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ9760, 2.50%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 251 | &nbsp;&nbsp;&nbsp;&nbsp; 247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1360, 2.50%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 314 | &nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS1625, 1.35%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4881 | &nbsp;&nbsp;&nbsp;&nbsp; 4612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS8763, 4.50%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1335 | &nbsp;&nbsp;&nbsp;&nbsp; 1356 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9129, 4.39%, 7/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3798 | &nbsp;&nbsp;&nbsp;&nbsp; 3847 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1557, 3.00%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN9814, 3.63%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 3462 | &nbsp;&nbsp;&nbsp;&nbsp; 3436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9300, 4.46%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4840 | &nbsp;&nbsp;&nbsp;&nbsp; 4916 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9278, 4.65%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1444 | &nbsp;&nbsp;&nbsp;&nbsp; 1466 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9323, 4.86%, 8/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1224 | &nbsp;&nbsp;&nbsp;&nbsp; 1254 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9062, 4.54%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5425 | &nbsp;&nbsp;&nbsp;&nbsp; 5510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9590, 4.82%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 7345 | &nbsp;&nbsp;&nbsp;&nbsp; 7509 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS9454, 5.34%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp; 4661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0016, 5.55%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp; 5214 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0809, 4.89%, 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1249 | &nbsp;&nbsp;&nbsp;&nbsp; 1283 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ0931, 4.71%, 5/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 8886 | &nbsp;&nbsp;&nbsp;&nbsp; 9083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ1385, 4.65%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 2048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7222, 3.50%, 10/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 1822 | &nbsp;&nbsp;&nbsp;&nbsp; 1808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3364, 4.77%, 3/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3685, 4.28%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 11689 | &nbsp;&nbsp;&nbsp;&nbsp; 11819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3496, 4.48%, 4/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 25386 | &nbsp;&nbsp;&nbsp;&nbsp; 25865 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ3670, 4.45%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 10000 | &nbsp;&nbsp;&nbsp;&nbsp; 10190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ4177, 5.02%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 2969 | &nbsp;&nbsp;&nbsp;&nbsp; 3087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BZ5465, 4.31%, 11/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3125 | &nbsp;&nbsp;&nbsp;&nbsp; 3166 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7221, 3.00%, 2/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 3023 | &nbsp;&nbsp;&nbsp;&nbsp; 2988 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK4847, 2.50%, 4/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6947, 3.50%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2158 | &nbsp;&nbsp;&nbsp;&nbsp; 2130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6151, 3.50%, 8/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 7254 | &nbsp;&nbsp;&nbsp;&nbsp; 7094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6595, 4.00%, 6/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 1461 | &nbsp;&nbsp;&nbsp;&nbsp; 1455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0077, 4.50%, 3/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 7153 | &nbsp;&nbsp;&nbsp;&nbsp; 7181 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0194, 4.50%, 7/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 1727 | &nbsp;&nbsp;&nbsp;&nbsp; 1734 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0238, 4.50%, 8/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 9804 | &nbsp;&nbsp;&nbsp;&nbsp; 9920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA0896, 4.00%, 11/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 271 | &nbsp;&nbsp;&nbsp;&nbsp; 261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1188, 3.00%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 1309 | &nbsp;&nbsp;&nbsp;&nbsp; 1194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1349, 3.00%, 2/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 1344 | &nbsp;&nbsp;&nbsp;&nbsp; 1226 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1371, 3.00%, 3/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1433, 3.00%, 5/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 579 | &nbsp;&nbsp;&nbsp;&nbsp; 528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1510, 4.00%, 7/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 603 | &nbsp;&nbsp;&nbsp;&nbsp; 591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6167, 3.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 923 | &nbsp;&nbsp;&nbsp;&nbsp; 881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3994, 3.50%, 1/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1187 | &nbsp;&nbsp;&nbsp;&nbsp; 1134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6854, 3.00%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 1687 | &nbsp;&nbsp;&nbsp;&nbsp; 1566 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7826, 3.50%, 1/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 1210 | &nbsp;&nbsp;&nbsp;&nbsp; 1174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2621, 3.50%, 5/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp; 270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA2744, 3.50%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp; 655 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL9060, 5.55%, 4/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 3243 | &nbsp;&nbsp;&nbsp;&nbsp; 3408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BH8493, 3.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 906 | &nbsp;&nbsp;&nbsp;&nbsp; 809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3197, 3.00%, 11/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0362, 5.50%, 1/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 7546 | &nbsp;&nbsp;&nbsp;&nbsp; 7866 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM5053, 3.00%, 4/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp; 318 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0371, 5.00%, 7/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 1313 | &nbsp;&nbsp;&nbsp;&nbsp; 1347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0573, 5.50%, 12/1/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 9933 | &nbsp;&nbsp;&nbsp;&nbsp; 10160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM6073, 3.00%, 7/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp; 705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3913, 3.00%, 1/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 886 | &nbsp;&nbsp;&nbsp;&nbsp; 783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5133, 3.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 426 | &nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5979, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 364 | &nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4029, 3.00%, 5/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp; 320 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4057, 2.50%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 688 | &nbsp;&nbsp;&nbsp;&nbsp; 578 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6065, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp; 298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA4058, 3.00%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 284 | &nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6385, 3.00%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 394 | &nbsp;&nbsp;&nbsp;&nbsp; 345 |
| &nbsp;&nbsp;&nbsp; GNMA I, 15 Year Pool # 783929, 4.00%, 5/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 423946, 9.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 786458, 5.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 2079 | &nbsp;&nbsp;&nbsp;&nbsp; 2147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 784278, 5.50%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 1637 | &nbsp;&nbsp;&nbsp;&nbsp; 1694 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 687926, 6.50%, 9/15/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp;&nbsp;&nbsp; 772 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785282, 4.25%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 6684 | &nbsp;&nbsp;&nbsp;&nbsp; 6605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785859, 5.50%, 6/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 18757 | &nbsp;&nbsp;&nbsp;&nbsp; 19525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AE7700, 3.50%, 8/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 8790, ARM, 5.63%, 1/20/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 80053, ARM, 5.63%, 3/20/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 80152, ARM, 5.63%, 1/20/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; GNMA II, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5136, 4.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5208, 3.00%, 10/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 5277, 3.50%, 1/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3495, 2.50%, 3/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 4972 | &nbsp;&nbsp;&nbsp;&nbsp; 4834 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA3638, 2.50%, 5/20/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 2718 | &nbsp;&nbsp;&nbsp;&nbsp; 2638 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4224, 7.00%, 8/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 361 | &nbsp;&nbsp;&nbsp;&nbsp; 382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp; 537 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4247, 7.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 665 | &nbsp;&nbsp;&nbsp;&nbsp; 693 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8619, 6.50%, 11/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 2243 | &nbsp;&nbsp;&nbsp;&nbsp; 2363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8918, 5.50%, 12/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 1398 | &nbsp;&nbsp;&nbsp;&nbsp; 1461 |
| &nbsp;&nbsp;&nbsp; GNMA II, Other Pool # MA6081, 3.50%, 8/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 601 | &nbsp;&nbsp;&nbsp;&nbsp; 544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $877,857)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 883341 |
| **Commercial Mortgage-Backed Securities — 2.3%** | **Commercial Mortgage-Backed Securities — 2.3%** | **Commercial Mortgage-Backed Securities — 2.3%** |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-UBS3, Class B, 4.31%, 6/10/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 2907 | &nbsp;&nbsp;&nbsp;&nbsp; 2774 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR26, Class B, 4.76%, 10/10/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1559 | &nbsp;&nbsp;&nbsp;&nbsp; 1536 |
| &nbsp;&nbsp;&nbsp; CSTL Commercial Mortgage Trust Series 2025-GATE2, Class A, 4.56%, 11/10/2042 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 26965 | &nbsp;&nbsp;&nbsp;&nbsp; 26966 |
| &nbsp;&nbsp;&nbsp; DLIC Re-REMIC Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR1, Class AK57, 1.49%, 8/27/2049 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 18426 | &nbsp;&nbsp;&nbsp;&nbsp; 17875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FRR1, Class BK57, 1.52%, 8/27/2049 ‡ (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 6768 | &nbsp;&nbsp;&nbsp;&nbsp; 6543 |
| &nbsp;&nbsp;&nbsp; FHLMC MSCR Trust Series 2025-MN12, Class M1, 5.83%, 11/25/2045 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7500 | &nbsp;&nbsp;&nbsp;&nbsp; 7500 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KC07, Class A7, 2.51%, 10/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 2003 | &nbsp;&nbsp;&nbsp;&nbsp; 1978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K068, Class X1, IO, 0.41%, 8/25/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 62812 | &nbsp;&nbsp;&nbsp;&nbsp; 370 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | &nbsp;&nbsp;&nbsp; **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K740, Class X1, IO, 0.72%, 9/25/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 100306 | &nbsp;&nbsp;&nbsp;&nbsp; 1070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K506, Class A1, 4.65%, 5/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 1162 | &nbsp;&nbsp;&nbsp;&nbsp; 1180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K507, Class A2, 4.80%, 9/25/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp; 2560 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K512, Class A2, 5.00%, 11/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 12352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series KG04, Class A1, 0.85%, 6/25/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 3251 | &nbsp;&nbsp;&nbsp;&nbsp; 3027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K114, Class X1, IO, 1.11%, 6/25/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 39396 | &nbsp;&nbsp;&nbsp;&nbsp; 1690 |
| &nbsp;&nbsp;&nbsp; FNMA ACES Series 2020-M10, Class X1, IO, 1.90%, 12/25/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 53651 | &nbsp;&nbsp;&nbsp;&nbsp; 3146 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K735, Class B, 4.16%, 5/25/2026 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 15980 | &nbsp;&nbsp;&nbsp;&nbsp; 15883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K54, Class B, 4.26%, 4/25/2048 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp; 1494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K53, Class B, 4.28%, 3/25/2049 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 27760 | &nbsp;&nbsp;&nbsp;&nbsp; 27672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K55, Class B, 4.31%, 4/25/2049 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9100 | &nbsp;&nbsp;&nbsp;&nbsp; 9063 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-K57, Class B, 4.07%, 8/25/2049 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 12794 | &nbsp;&nbsp;&nbsp;&nbsp; 12707 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K62, Class B, 4.01%, 1/25/2050 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 5500 | &nbsp;&nbsp;&nbsp;&nbsp; 5456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-K71, Class B, 3.88%, 11/25/2050 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp; 984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K734, Class B, 4.29%, 2/25/2051 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3400 | &nbsp;&nbsp;&nbsp;&nbsp; 3386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K79, Class B, 4.35%, 7/25/2051 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp; 7934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-K90, Class B, 4.47%, 2/25/2052 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 13582 | &nbsp;&nbsp;&nbsp;&nbsp; 13564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K105, Class B, 3.53%, 3/25/2053 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 7245 | &nbsp;&nbsp;&nbsp;&nbsp; 6988 |
| &nbsp;&nbsp;&nbsp; JPMBB Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C30, Class C, 4.26%, 7/15/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp; 7155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C31, Class C, 4.69%, 8/15/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2750 | &nbsp;&nbsp;&nbsp;&nbsp; 2146 |
| &nbsp;&nbsp;&nbsp; JPMCC Commercial Mortgage Securities Trust Series 2017-JP6, Class A3, 3.11%, 7/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 3717 | &nbsp;&nbsp;&nbsp;&nbsp; 3660 |
| &nbsp;&nbsp;&nbsp; MHC Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, 4.87%, 4/15/2038 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp; 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class D, 5.67%, 4/15/2038 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp; 1999 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C31, Class B, 3.88%, 11/15/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4140 | &nbsp;&nbsp;&nbsp;&nbsp; 3955 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley Capital I Trust Series 2021-L6, Class A2, 2.13%, 6/15/2054 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 3118 | &nbsp;&nbsp;&nbsp;&nbsp; 3021 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust Series 2019-PARK, Class B, 2.72%, 12/15/2036 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp; 4980 |
| &nbsp;&nbsp;&nbsp; PRM5 Trust Series 2025-PRM5, Class A, 4.62%, 3/10/2033 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 4655 | &nbsp;&nbsp;&nbsp;&nbsp; 4649 |
| &nbsp;&nbsp;&nbsp; PRM7 Trust Series 2025-PRM7, Class A, 4.51%, 11/10/2042 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 24320 | &nbsp;&nbsp;&nbsp;&nbsp; 24071 |
| &nbsp;&nbsp;&nbsp; ROCK Trust Series 2024-CNTR, Class A, 5.39%, 11/13/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 16000 | &nbsp;&nbsp;&nbsp;&nbsp; 16502 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SAVE, Class A, 5.32%, 2/15/2040 (a) (b) | &nbsp;&nbsp;&nbsp;&nbsp; 2673 | &nbsp;&nbsp;&nbsp;&nbsp; 2676 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C41, Class A2, 2.59%, 11/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 1136 | &nbsp;&nbsp;&nbsp;&nbsp; 1112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $275,172)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 272056 |
|  | &nbsp;&nbsp;&nbsp; **SHARES** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(000)**<br>|  |
| **Short-Term Investments — 10.9%** | **Short-Term Investments — 10.9%** | **Short-Term Investments — 10.9%** |
| **Investment Companies — 4.9%** | **Investment Companies — 4.9%** | **Investment Companies — 4.9%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 3.85% (f) (g) <br>(Cost $585,085)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 585085 | &nbsp;&nbsp;&nbsp;&nbsp; 585085 |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

---

| | | |
|:---|:---|:---|
| **INVESTMENTS**  | &nbsp;&nbsp;&nbsp; **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| &nbsp;&nbsp;&nbsp; **VALUE** <br>**($000)**<br>|
| **U.S. Treasury Obligations — 6.0%** | **U.S. Treasury Obligations — 6.0%** | **U.S. Treasury Obligations — 6.0%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.21%, 1/8/2026 (h) (i) | &nbsp;&nbsp;&nbsp;&nbsp; 16906 | &nbsp;&nbsp;&nbsp;&nbsp; 16838 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 8/6/2026 (h) | &nbsp;&nbsp;&nbsp;&nbsp; 722355 | &nbsp;&nbsp;&nbsp;&nbsp; 704827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $720,937)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 721665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Short-Term Investments <br>(Cost $1,306,022)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 1306750 |
| **Total Investments — 101.7%** <br>**(Cost $12,068,683)**<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; **12129706** |
| **Liabilities in Excess of Other Assets — (1.7)%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **(202250)**<br>|
| **NET ASSETS — 100.0%** |  | &nbsp;&nbsp;&nbsp;&nbsp; **11927456** |

---

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

---

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

---

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

---

| | |
|:---|:---|
| **Abbreviations** |  |
| ABS | Asset-Backed Securities |
| ACES | Alternative Credit Enhancement Securities |
| ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of November 30, 2025. |
| BA | Canadian Bankers' Acceptance Rate |
| CIFC | Commercial Industrial Finance Corp. |
| CLO | Collateralized Loan Obligations |
| CME | Chicago Mercantile Exchange |
| CSMC | Credit Suisse Mortgage Trust |
| 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, 2025. The rate may be subject to a cap and floor.<br>|
| IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown <br> represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or <br> refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.<br>|
| PO | Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is <br> extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on <br> these securities increases.<br>|
| REMIC | Real Estate Mortgage Investment Conduit |
| Re-REMIC | Combined 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;

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments <br> on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2025. <br>|
| (c) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) 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, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Variable or floating rate security, linked to the referenced benchmark. The interest
 rate shown is the current rate as of November 30, 2025.

&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, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The rate shown is the effective yield as of November 30, 2025.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) All or a portion of this security is deposited with the broker as initial margin for
 futures contracts.

**Futures contracts outstanding as of November 30, 2025 (amounts in thousands, except number of contracts):**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 2 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; 13648 | &nbsp;&nbsp;&nbsp;&nbsp; 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; 2850513 | &nbsp;&nbsp;&nbsp;&nbsp; (225)<br>|
| **Short Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; (1491)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (168996)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (357)<br>|
| U.S. Treasury 10 Year Ultra Note | &nbsp;&nbsp;&nbsp;&nbsp; (811)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (94228)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (376)<br>|
| U.S. Treasury Long Bond | &nbsp;&nbsp;&nbsp;&nbsp; (111)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (13036)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (102)<br>|
| U.S. Treasury Ultra Bond | &nbsp;&nbsp;&nbsp;&nbsp; (1)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (121)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (1)<br>|
| U.S. Treasury 5 Year Note | &nbsp;&nbsp;&nbsp;&nbsp; (4356)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp; USD | &nbsp;&nbsp;&nbsp;&nbsp; (478139)<br>| &nbsp;&nbsp;&nbsp;&nbsp; (607)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (1443)<br>|
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp; (1668)<br>|

---

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

---

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

---

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(Dollar values in thousands)

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

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

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

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

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

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

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

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

See the table on "Quantitative Information about Level 3 Fair Value Measurements" for information on the valuation techniques and inputs used to value level 3 securities held by the Fund at November 30, 2025.

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

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

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

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

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

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

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(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 | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $2922279 | &nbsp;&nbsp;&nbsp;&nbsp; $89303 | &nbsp;&nbsp;&nbsp;&nbsp; $3011582 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1913969 | &nbsp;&nbsp;&nbsp;&nbsp; 37388 | &nbsp;&nbsp;&nbsp;&nbsp; 1951357 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 247638 | &nbsp;&nbsp;&nbsp;&nbsp; 24418 | &nbsp;&nbsp;&nbsp;&nbsp; 272056 |
| Corporate Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Automobiles | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 80582 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 80582 |
| &nbsp;&nbsp;&nbsp; Banks | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1645294 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1645294 |
| &nbsp;&nbsp;&nbsp; Capital Markets | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 370228 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 370228 |
| &nbsp;&nbsp;&nbsp; Construction & Engineering | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12300 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12300 |
| &nbsp;&nbsp;&nbsp; Consumer Finance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 129143 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 129143 |
| &nbsp;&nbsp;&nbsp; Containers & Packaging | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15206 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 15206 |
| &nbsp;&nbsp;&nbsp; Electric Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 29324 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 29324 |
| &nbsp;&nbsp;&nbsp; Entertainment | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1741 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1741 |
| &nbsp;&nbsp;&nbsp; Financial Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 105921 | &nbsp;&nbsp;&nbsp;&nbsp; 29849 | &nbsp;&nbsp;&nbsp;&nbsp; 135770 |
| &nbsp;&nbsp;&nbsp; Health Care Providers & Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4316 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 4316 |
| &nbsp;&nbsp;&nbsp; Insurance | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 71783 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 71783 |
| &nbsp;&nbsp;&nbsp; Multi-Utilities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 20766 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 20766 |
| &nbsp;&nbsp;&nbsp; Oil, Gas & Consumable Fuels | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 49759 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 49759 |
| &nbsp;&nbsp;&nbsp; Semiconductors & Semiconductor Equipment | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12324 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 12324 |
| &nbsp;&nbsp;&nbsp; Wireless Telecommunication Services | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 17320 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 17320 |
| &nbsp;&nbsp;&nbsp; Total Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2566007 | &nbsp;&nbsp;&nbsp;&nbsp; 29849 | &nbsp;&nbsp;&nbsp;&nbsp; 2595856 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 883341 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 883341 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2108764 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 2108764 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp; 585085 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 585085 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 721665 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 721665 |
| Total Short-Term Investments | &nbsp;&nbsp;&nbsp;&nbsp; 585085 | &nbsp;&nbsp;&nbsp;&nbsp; 721665 | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 1306750 |
| **Total Investments in Securities** | &nbsp;&nbsp;&nbsp;&nbsp; $585085 | &nbsp;&nbsp;&nbsp;&nbsp; $11363663 | &nbsp;&nbsp;&nbsp;&nbsp; $180958 | &nbsp;&nbsp;&nbsp;&nbsp; $12129706 |
| **Depreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp; $(1668)<br>| &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $— | &nbsp;&nbsp;&nbsp;&nbsp; $(1668)<br>|

---

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2025**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Balance as of** <br>**November 30,** <br>**2025**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $47326 | $— | $442 | $25 | $49345 | $(7835)<br>| $— | $— | $89303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| 15639 |  | 16 | 18 | 28780 | (3982)<br>|  | (3083)<br>| 37388 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed <br> Securities<br>|  |  | 102 | 5 | 24311 |  |  |  | 24418 |
| &nbsp;&nbsp;&nbsp; Corporate Bonds |  |  |  |  | 31207 | (1358)<br>|  |  | 29849 |
| **Total** | $62965 | $— | $560 | $48 | $133643 | $(13175)<br>| $— | $(3083)<br>| $180958 |

---

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

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

------

**JPMorgan Short Duration Bond Fund**

**SCHEDULE OF PORTFOLIO INVESTMENTS**

AS OF November 30, 2025 (Unaudited) (continued)

(Dollar values in thousands)

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2025, which were valued using significant unobservable inputs (level 3) amounted to $560.

There were no significant transfers into or out of level 3 for the period ended November 30, 2025.

The significant unobservable inputs used in the fair value measurement of the Fund's investments are listed below. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in enterprise multiples may increase (decrease) the fair value measurement. Significant increases (decreases) in the discount for lack of marketability, liquidity discount, probability of default, yield and default rate may 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, 2025**<br>| &nbsp;&nbsp; **Valuation**<br> **Technique(s)**<br>| &nbsp;&nbsp; **Unobservable**<br> **Input**<br>| &nbsp;&nbsp; **Range (Weighted**<br> **Average) (a)**<br>|
|  | &nbsp;&nbsp; $39616 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (13.87%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 4.89% - 5.58% (5.25%) |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | &nbsp;&nbsp; 39616 |  |  |  |
|  | &nbsp;&nbsp; 23276 | Discounted Cash Flow | Constant Prepayment Rate | 100.00% - 100.00% (100.00%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.20% - 5.89% (5.30%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br> Obligations<br>| 23.276 |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | &nbsp;&nbsp; $62892 |  |  |  |

---

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

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30, 2025, the value of these investments was $118,066. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note A. 

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

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** | **For the period ended November 30, 2025** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2025**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**November 30,** <br>**2025**<br>| **Shares at** <br>**November 30,** <br>**2025**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan U.S. Government Money Market <br> Fund Class Institutional Shares, 3.85% <br> (a) (b)<br>| $158186 | $3215936 | $2789037 | $— | $— | $585085 | 585085 | $10473 | $— |

---

&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, 2025.

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan 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:** 390 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10017

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2025-11-30

**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:** $11938039279.65

**Total Liabilities:** $18405216.03

**Net Assets:** $11919634063.62

**Delayed Delivery Securities:** $14888697.19

**Cash Not Reported:** $1098189.09

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 15292.36944000 | **1-Year:** 1027436.74067000 | **5-Year:** 679881.31533000 | **10-Year:** 11978.92279000 | **30-Year:** 0.00000000

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

- **3-Month:** 0.00197000 | **1-Year:** 4442.85984000 | **5-Year:** 49.59885000 | **10-Year:** 0.00000000 | **30-Year:** 142.54218000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009653 | 0.26%                | 0.36%                | 0.51%                |
| Class ID C000009654 | 0.33%                | 0.24%                | 0.49%                |
| Class ID C000009656 | 0.28%                | 0.20%                | 0.44%                |
| Class ID C000009657 | 0.26%                | 0.36%                | 0.51%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4038615.28              | $-4400003.42                               |
| Month 2  | $-53543.09               | $-5009647.92                               |
| Month 3  | $2253664.96              | $17761650.05                               |

**Designated Index Information**

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

- **Index Identifier:** 1030TRUSD0

### Schedule of Portfolio Investments

| Name                                                 | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ABN AMRO Bank NV                                     | ABN AMRO Bank NV                                                                 | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   3100000 | PA      | $2953543.57   | 0.02%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                    | CUSIP: 00135TAD6<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14120000 | PA      | $15020799.66  | 0.13%             | 2029-09-13      | Variable      | 6.61%                 | Yes           |                  2 | On Loan: No      |
| AIB Group plc                                        | AIB Group plc                                                                    | CUSIP: 00135TAF1<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  14630000 | PA      | $15126341.48  | 0.13%             | 2031-05-15      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR1, Class B                                            | CUSIP: 00179DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8230000 | PA      | $7747744.22   | 0.06%             | 2038-06-17      | Fixed         | 2.15%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR2, Class B                                            | CUSIP: 00179VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15095555 | PA      | $14771211.91  | 0.12%             | 2038-08-17      | Fixed         | 1.78%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR2, Class C                                            | CUSIP: 00179VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1955138.20   | 0.02%             | 2038-08-17      | Fixed         | 1.88%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2022-SFR1, Class C                                            | CUSIP: 00179WAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5500000 | PA      | $5409534.90   | 0.05%             | 2039-03-17      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2025-SFR2, Class A                                            | CUSIP: 00180BAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9995000 | PA      | $9907454.79   | 0.08%             | 2042-11-17      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR3, Class A                                            | CUSIP: 00180UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11422000 | PA      | $11135037.10  | 0.09%             | 2038-10-17      | Fixed         | 1.48%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR3, Class B                                            | CUSIP: 00180UAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7207000 | PA      | $7010528.53   | 0.06%             | 2038-10-17      | Fixed         | 1.73%                 | Yes           |                  2 | On Loan: No      |
| Accelerated LLC                                      | Accelerated LLC, Series 2021-1H, Class A                                         | CUSIP: 00439KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    562509 | PA      | $527318.47    | 0.00%             | 2040-10-20      | Fixed         | 1.35%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5000000 | PA      | $4924746.05   | 0.04%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                           | AerCap Ireland Capital DAC                                                       | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |  14854000 | PA      | $15278694.13  | 0.13%             | 2027-04-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Alliant Energy Finance LLC                           | Alliant Energy Finance LLC                                                       | CUSIP: 01882YAC0<br>LEI: 54930033ER6EOI5DL570 | Long             | DBT              | CORP              | US        |   4640000 | PA      | $4595270.54   | 0.04%             | 2026-03-15      | Fixed         | 1.40%                 | Yes           |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                          | Ally Auto Receivables Trust, Series 2024-1, Class A3                             | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5833075 | PA      | $5869990.31   | 0.05%             | 2028-12-15      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc.                  | Amcor Flexibles North America, Inc.                                              | CUSIP: 02344AAF5<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $15205968.60  | 0.13%             | 2028-03-17      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-4, Class C             | CUSIP: 024945AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7700000 | PA      | $7731661.63   | 0.06%             | 2031-08-12      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-4, Class D             | CUSIP: 024945AG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2561000 | PA      | $2576078.66   | 0.02%             | 2031-08-12      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-1, Class B             | CUSIP: 02528DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10625000 | PA      | $10661094.19  | 0.09%             | 2029-03-12      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-1, Class C             | CUSIP: 02528DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11470000 | PA      | $11548375.66  | 0.10%             | 2031-08-12      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-3, Class B             | CUSIP: 02528EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5030366.00   | 0.04%             | 2029-09-12      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2025-3, Class C             | CUSIP: 02528EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5416000 | PA      | $5442889.36   | 0.05%             | 2032-07-12      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2022-3, Class D             | CUSIP: 02528GAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    875355 | PA      | $876988.69    | 0.01%             | 2028-10-13      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-2, Class D             | CUSIP: 02529YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5054708.00   | 0.04%             | 2029-08-13      | Fixed         | 6.47%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-1, Class C             | CUSIP: 02530UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    543852 | PA      | $544085.11    | 0.00%             | 2029-04-12      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2023-1, Class D             | CUSIP: 02530UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3625000 | PA      | $3659250.81   | 0.03%             | 2029-04-12      | Fixed         | 6.35%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-2, Class B             | CUSIP: 02531BAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1842531 | PA      | $1843895.10   | 0.02%             | 2027-12-13      | Fixed         | 6.10%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust         | American Credit Acceptance Receivables Trust, Series 2024-2, Class C             | CUSIP: 02531BAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11879000 | PA      | $11984965.43  | 0.10%             | 2030-04-12      | Fixed         | 6.24%                 | Yes           |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  20170000 | PA      | $20294821.44  | 0.17%             | 2027-04-23      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816DV8<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  13755000 | PA      | $13985049.35  | 0.12%             | 2028-07-26      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                 | American Express Co.                                                             | CUSIP: 025816ED7<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |  23360000 | PA      | $23747922.47  | 0.20%             | 2029-04-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2022-2A, Class B                  | CUSIP: 03236XAC1<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1610154.88   | 0.01%             | 2028-10-20      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2023-1A, Class A2                 | CUSIP: 03236YAB1<br>LEI: 5493000K1GV1VHEHGY40 | Long             | ABS-O            | CORP              | US        |   1694839 | PA      | $1709532.20   | 0.01%             | 2029-12-20      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables LLC               | Amur Equipment Finance Receivables LLC, Series 2024-1A, Class A2                 | CUSIP: 03237CAB8<br>LEI: 254900O8ABFLU3FOSN14 | Long             | ABS-O            | CORP              | US        |   3210184 | PA      | $3245964.27   | 0.03%             | 2031-01-21      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                             | Angel Oak Mortgage Trust, Series 2020-5, Class A1                                | CUSIP: 03464WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528088 | PA      | $509779.74    | 0.00%             | 2065-05-25      | Variable      | 1.37%                 | Yes           |                  2 | On Loan: No      |
| Ansley Park Capital LLC                              | Ansley Park Capital LLC, Series 2025-A, Class A2                                 | CUSIP: 03637AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  25430000 | PA      | $25472569.82  | 0.21%             | 2035-04-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2019-A, Class A                                       | CUSIP: 038370AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    806382 | PA      | $788035.70    | 0.01%             | 2040-07-16      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Issuer Trust                            | Aqua Finance Issuer Trust, Series 2025-A, Class A                                | CUSIP: 038394AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18933667 | PA      | $19310146.14  | 0.16%             | 2050-12-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2020-AA, Class A                                      | CUSIP: 038413AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343546 | PA      | $325838.59    | 0.00%             | 2046-07-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Aqua Finance Trust                                   | Aqua Finance Trust, Series 2021-A, Class A                                       | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    786736 | PA      | $724494.27    | 0.01%             | 2046-07-17      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.       | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A         | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1498795 | PA      | $1498805.81   | 0.01%             | 2036-11-15      | Floating      | 5.42%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                | ARI Fleet Lease Trust, Series 2025-A, Class A2                                   | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6290000 | PA      | $6306654.03   | 0.05%             | 2034-01-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                | ARI Fleet Lease Trust, Series 2025-A, Class A3                                   | CUSIP: 04033CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6057621.00   | 0.05%             | 2034-01-17      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Auxilior Term Funding LLC                            | Auxilior Term Funding LLC, Series 2023-1A, Class A2                              | CUSIP: 05335JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2977347 | PA      | $2993357.37   | 0.03%             | 2028-12-15      | Fixed         | 6.18%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2020-2A, Class A                | CUSIP: 05377RDY7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  11432500 | PA      | $11392953.88  | 0.10%             | 2027-02-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2021-2A, Class A                | CUSIP: 05377RER1<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  11899000 | PA      | $11589286.88  | 0.10%             | 2028-02-20      | Fixed         | 1.66%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2022-1A, Class B                | CUSIP: 05377RFB5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2992921.20   | 0.03%             | 2028-08-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2023-3A, Class A                | CUSIP: 05377RGU2<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $14174762.00  | 0.12%             | 2028-02-22      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2023-6A, Class C                | CUSIP: 05377RHJ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6580074.38   | 0.06%             | 2029-12-20      | Fixed         | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class B                | CUSIP: 05377RHZ0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5750000 | PA      | $5971483.68   | 0.05%             | 2030-06-20      | Fixed         | 5.85%                 | Yes           |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC             | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C                | CUSIP: 05377RJA3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2087486.40   | 0.02%             | 2030-06-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  16775000 | PA      | $16787078.00  | 0.14%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                         | Avolon Holdings Funding Ltd.                                                     | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |  22610000 | PA      | $23399089.00  | 0.20%             | 2029-03-01      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  21600000 | PA      | $22417179.41  | 0.19%             | 2030-01-18      | Variable      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 05581KAF8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  12000000 | PA      | $12324642.84  | 0.10%             | 2029-06-12      | Variable      | 5.33%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05583JAC6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  24789000 | PA      | $24462819.15  | 0.21%             | 2027-10-23      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                              | BPCE SA                                                                          | CUSIP: 05583JAN2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |  10480000 | PA      | $10499885.49  | 0.09%             | 2027-01-18      | Variable      | 5.97%                 | Yes           |                  2 | On Loan: No      |
| BRSP Ltd.                                            | BRSP Ltd., Series 2021-FL1, Class A                                              | CUSIP: 05591XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2189936 | PA      | $2184524.63   | 0.02%             | 2038-08-19      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| BXMT Ltd.                                            | BXMT Ltd., Series 2021-FL4, Class A                                              | CUSIP: 05609GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3586150 | PA      | $3579239.28   | 0.03%             | 2038-05-15      | Floating      | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                         | Bain Capital Credit CLO Ltd., Series 2021-7A, Class A1R                          | CUSIP: 05682NAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24088000 | PA      | $23990106.37  | 0.20%             | 2035-01-22      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO                              | Bain Capital Credit CLO, Series 2018-2A, Class BR                                | CUSIP: 05682VAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250271.50    | 0.00%             | 2031-07-19      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                               | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   5000000 | PA      | $4904248.85   | 0.04%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                   | Banco Santander SA                                                               | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   8200000 | PA      | $8753243.09   | 0.07%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6558000 | PA      | $6524171.41   | 0.05%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLE7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  35240000 | PA      | $35274454.15  | 0.30%             | 2027-01-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  51100000 | PA      | $52405002.53  | 0.44%             | 2029-04-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GLS6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  24600000 | PA      | $25715531.28  | 0.22%             | 2029-09-15      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp., Series FIX                                                | CUSIP: 06051GMK2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  14935000 | PA      | $15214194.74  | 0.13%             | 2029-01-24      | Variable      | 4.98%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                | Bank of America Corp.                                                            | CUSIP: 06051GMT3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  23220000 | PA      | $23536837.60  | 0.20%             | 2029-05-09      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                            | Bank of Ireland Group plc                                                        | CUSIP: 06279JAD1<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   8870000 | PA      | $9237397.35   | 0.08%             | 2030-03-20      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal, Series f2f                                                     | CUSIP: 06368L8K5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  23025000 | PA      | $23106412.95  | 0.19%             | 2027-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                     | Bank of Montreal                                                                 | CUSIP: 06368LC53<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |  10410000 | PA      | $10550311.71  | 0.09%             | 2026-12-11      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                  | Bank of New York Mellon Corp. (The)                                              | CUSIP: 06406RBX4<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  21905000 | PA      | $22245655.39  | 0.19%             | 2028-07-21      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Bank of New Zealand                                  | Bank of New Zealand                                                              | CUSIP: 06407EAG0<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |  15120000 | PA      | $15407201.07  | 0.13%             | 2028-02-07      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06417XAN1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  21890000 | PA      | $21904826.53  | 0.18%             | 2026-02-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06418GAL1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  20120000 | PA      | $20226570.21  | 0.17%             | 2028-09-08      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                            | Bank of Nova Scotia (The)                                                        | CUSIP: 06418JAA9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |  16400000 | PA      | $16619966.31  | 0.14%             | 2026-12-07      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FAZ0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  19910000 | PA      | $19932661.56  | 0.17%             | 2026-01-26      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                | Banque Federative du Credit Mutuel SA                                            | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |  11975000 | PA      | $12106197.86  | 0.10%             | 2027-01-23      | Fixed         | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                     | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  20355000 | PA      | $20724413.12  | 0.17%             | 2028-03-12      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                         | Barclays plc                                                                     | CUSIP: 06738ECT0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |  13245000 | PA      | $13392669.83  | 0.11%             | 2028-09-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust            | Bayview Opportunity Master Fund Trust, Series 2024-SN1, Class C                  | CUSIP: 072926AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029000 | PA      | $1039622.16   | 0.01%             | 2028-12-15      | Fixed         | 5.83%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC              | Bayview Opportunity Master Fund LLC, Series 2024-CAR1, Class A                   | CUSIP: 07336QAA0<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |   3829703 | PA      | $3840992.47   | 0.03%             | 2031-12-26      | Floating      | 5.17%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                               | Bear Stearns ARM Trust, Series 2003-7, Class 3A                                  | CUSIP: 07384MYS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8256 | PA      | $8283.76      | 0.00%             | 2033-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust           | Bear Stearns Asset-Backed Securities Trust, Series 2003-SD2, Class 2A            | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     87833 | PA      | $86423.74     | 0.00%             | 2043-06-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                | BlueMountain CLO Ltd., Series 2021-32A, Class AR                                 | CUSIP: 09631EAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  27118000 | PA      | $27072414.64  | 0.23%             | 2034-10-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   9670000 | PA      | $9634838.43   | 0.08%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  22355000 | PA      | $23028467.18  | 0.19%             | 2030-11-19      | Variable      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                       | BNP Paribas SA                                                                   | CUSIP: 09659W3C6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |  30055000 | PA      | $30397211.04  | 0.26%             | 2029-05-09      | Variable      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                           | BOF Funding Trust, Series 2023-CAR3, Class A2                                    | CUSIP: 097093AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4197824 | PA      | $4264721.65   | 0.04%             | 2032-07-26      | Fixed         | 6.29%                 | Yes           |                  2 | On Loan: No      |
| BOF VII AL Funding Trust I                           | BOF Funding Trust, Series 2023-CAR3, Class C                                     | CUSIP: 097093AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    861882 | PA      | $858809.06    | 0.01%             | 2032-07-26      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| BofA Auto Trust                                      | BofA Auto Trust, Series 2024-1A, Class A3                                        | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6270818 | PA      | $6317252.66   | 0.05%             | 2028-11-15      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| BofA Auto Trust                                      | BofA Auto Trust, Series 2024-1A, Class A4                                        | CUSIP: 09709AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4260000 | PA      | $4342446.34   | 0.04%             | 2030-06-17      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                  | Brean Asset-Backed Securities Trust, Series 2025-RM10, Class A1                  | CUSIP: 10638FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3351733 | PA      | $3338884.27   | 0.03%             | 2065-01-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| Brean Asset-Backed Securities Trust                  | Brean Asset-Backed Securities Trust, Series 2025-RM13, Class A1                  | CUSIP: 10638PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11024990 | PA      | $10686493.66  | 0.09%             | 2065-10-25      | Fixed         | 4.25%                 | Yes           |                  3 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class B            | CUSIP: 107933AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5155229 | PA      | $5164067.52   | 0.04%             | 2028-08-15      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-1, Class C            | CUSIP: 107933AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6796980.68   | 0.06%             | 2029-04-16      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class B            | CUSIP: 108056AD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1097401 | PA      | $1102457.47   | 0.01%             | 2029-08-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2023-1, Class C            | CUSIP: 108056AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6950000 | PA      | $7065110.77   | 0.06%             | 2029-08-15      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class B            | CUSIP: 10805MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1075000 | PA      | $1083135.92   | 0.01%             | 2030-02-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-2, Class C            | CUSIP: 10805MAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10360000 | PA      | $10520683.60  | 0.09%             | 2030-02-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-3, Class C            | CUSIP: 10805NAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10434000 | PA      | $10540341.24  | 0.09%             | 2029-07-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class B            | CUSIP: 10806EAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4010034.00   | 0.03%             | 2030-08-15      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2024-4, Class C            | CUSIP: 10806EAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6440000 | PA      | $6459362.50   | 0.05%             | 2030-08-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-1, Class D            | CUSIP: 10806HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $6835016.25   | 0.06%             | 2030-11-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                         | Bridge Trust, Series 2025-SFR1, Class A                                          | CUSIP: 10807GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10162337.85  | 0.09%             | 2042-09-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-2, Class D            | CUSIP: 10807HAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2021362.60   | 0.02%             | 2031-03-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class B            | CUSIP: 10807UAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2855000 | PA      | $2851764.14   | 0.02%             | 2031-08-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bridgecrest Lending Auto Securitization Trust        | Bridgecrest Lending Auto Securitization Trust, Series 2025-4, Class C            | CUSIP: 10807UAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2485000 | PA      | $2492298.45   | 0.02%             | 2031-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2024-2A, Class A                             | CUSIP: 12326TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18356865 | PA      | $18534502.95  | 0.16%             | 2039-09-15      | Fixed         | 5.36%                 | Yes           |                  3 | On Loan: No      |
| Business Jet Securities LLC                          | Business Jet Securities LLC, Series 2024-1A, Class A                             | CUSIP: 12327CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12353058 | PA      | $12621581.58  | 0.11%             | 2039-05-15      | Fixed         | 6.20%                 | Yes           |                  3 | On Loan: No      |
| Buttermilk Park CLO Ltd.                             | Buttermilk Park CLO Ltd., Series 2018-1A, Class A1R                              | CUSIP: 124166AQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4544949 | PA      | $4542562.99   | 0.04%             | 2031-10-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                       | CAFL Issuer LP, Series 2025-RRTL1, Class A1                                      | CUSIP: 124760AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19500000 | PA      | $19662503.25  | 0.16%             | 2040-05-28      | Variable      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| CFIN 2022-RTL1 Issuer LLC                            | CFIN 2022-RTL1 Issuer LLC, Class A                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |  19649316 | PA      | $19649316.41  | 0.16%             | 2027-08-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2022-HB9, Class A                                               | CUSIP: 12530GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2970420 | PA      | $2928003.52   | 0.02%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  3 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2024-HB13, Class A                                              | CUSIP: 12530VAA3<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   2597584 | PA      | $2564985.82   | 0.02%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| Cascade Funding Mortgage Trust                       | Cascade Funding Mortgage Trust, Series 2025-HB16, Class A                        | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2804724 | PA      | $2750256.64   | 0.02%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  3 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2022-2A, Class A1R                                     | CUSIP: 12567MAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  23000000 | PA      | $22893671.00  | 0.19%             | 2035-04-19      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                            | Commercial Mortgage Trust, Series 2014-UBS3, Class B                             | CUSIP: 12591YBF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2907320 | PA      | $2773670.33   | 0.02%             | 2047-06-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                            | Commercial Mortgage Trust, Series 2015-CR26, Class B                             | CUSIP: 12593QBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1559304 | PA      | $1536070.05   | 0.01%             | 2048-10-10      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class B                   | CUSIP: 12630SAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7600000 | PA      | $7631187.36   | 0.06%             | 2029-11-15      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Consumer Portfolio Services Auto Trust               | Consumer Portfolio Services Auto Trust, Series 2025-B, Class C                   | CUSIP: 12630SAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3527918.10   | 0.03%             | 2031-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-A, Class D                               | CUSIP: 12659WAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2195692 | PA      | $2183902.23   | 0.02%             | 2029-04-16      | Fixed         | 2.84%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-C, Class C                               | CUSIP: 12664DAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    490257 | PA      | $490458.97    | 0.00%             | 2030-04-15      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2022-C, Class D                               | CUSIP: 12664DAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5040000 | PA      | $5093159.40   | 0.04%             | 2030-04-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                           | CPS Auto Receivables Trust, Series 2023-A, Class D                               | CUSIP: 12664LAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2250000 | PA      | $2286471.83   | 0.02%             | 2029-04-16      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust          | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1             | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46012 | PA      | $45830.89     | 0.00%             | 2034-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                               | Alternative Loan Trust, Series 2003-J3, Class 2A1                                | CUSIP: 12669FFD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5431 | PA      | $5737.64      | 0.00%             | 2033-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                       | CSTL Commercial Mortgage Trust, Series 2025-GATE2, Class A                       | CUSIP: 12676JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  26965000 | PA      | $26966491.16  | 0.23%             | 2042-11-10      | Variable      | 4.56%                 | Yes           |                  2 | On Loan: No      |
| CRIBS Mortgage Trust                                 | CRIBS Mortgage Trust, Series 2025-RTL1, Class A1                                 | CUSIP: 12704NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2522077.50   | 0.02%             | 2040-05-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| CAFL Issuer LP                                       | CAFL Issuer LP, Series 2025-RRTL2, Class A1                                      | CUSIP: 12770JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14210000 | PA      | $14111037.30  | 0.12%             | 2040-11-28      | Variable      | 5.18%                 | Yes           |                  3 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAA2<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  41073000 | PA      | $42763111.23  | 0.36%             | 2029-01-18      | Variable      | 6.21%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  18495000 | PA      | $18847121.13  | 0.16%             | 2027-09-13      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  21026000 | PA      | $21894131.16  | 0.18%             | 2030-03-15      | Variable      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                         | CaixaBank SA                                                                     | CUSIP: 12803RAK0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |  10000000 | PA      | $10101869.70  | 0.08%             | 2029-07-03      | Variable      | 4.63%                 | Yes           |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607LNG4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  17230000 | PA      | $17629827.15  | 0.15%             | 2028-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607PH98<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19485000 | PA      | $19798934.53  | 0.17%             | 2029-03-30      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| Canadian Imperial Bank of Commerce                   | Canadian Imperial Bank of Commerce                                               | CUSIP: 13607PHT4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |  19135000 | PA      | $19188143.06  | 0.16%             | 2027-09-11      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                          | Capital One Financial Corp.                                                      | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |  10450000 | PA      | $10725811.13  | 0.09%             | 2029-02-01      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A2                         | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1266669 | PA      | $1267557.05   | 0.01%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A3                         | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6282135.63   | 0.05%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P4, Class A4                         | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5084856.00   | 0.04%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| Carlyle US CLO Ltd.                                  | Carlyle US CLO Ltd., Series 2021-9A, Class AR                                    | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  18500000 | PA      | $18490213.50  | 0.16%             | 2034-10-20      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                              | CarMax Auto Owner Trust, Series 2024-2, Class A3                                 | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5125000 | PA      | $5186520.50   | 0.04%             | 2029-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                              | Carmax Auto Owner Trust, Series 2025-1, Class A3                                 | CUSIP: 14319WAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11142378.50  | 0.09%             | 2030-01-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Carmax Auto Owner Trust                              | Carmax Auto Owner Trust, Series 2025-2, Class A3                                 | CUSIP: 14320AAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6890000 | PA      | $6955926.28   | 0.06%             | 2030-03-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| CarVal CLO I Ltd.                                    | CarVal CLO Ltd., Series 2018-1A, Class AR                                        | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11411243 | PA      | $11419025.37  | 0.10%             | 2031-07-16      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CarVal CLO II Ltd.                                   | CarVal CLO Ltd., Series 2019-1A, Class AR2                                       | CUSIP: 14686AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  25630813 | PA      | $25620048.13  | 0.21%             | 2032-04-20      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2022-P2, Class B                          | CUSIP: 14686JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4175000 | PA      | $4208644.24   | 0.04%             | 2028-04-10      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| CarVal CLO Ltd.                                      | CarVal CLO Ltd., Series 2019-2A, Class AR2                                       | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   9286291 | PA      | $9280979.00   | 0.08%             | 2032-07-20      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-N4, Class B                          | CUSIP: 14687HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    565657 | PA      | $549737.46    | 0.00%             | 2028-09-11      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2021-N4, Class C                          | CUSIP: 14687HAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    615728 | PA      | $599860.92    | 0.01%             | 2028-09-11      | Fixed         | 1.72%                 | No            |                  2 | On Loan: No      |
| CarVal CLO VC Ltd.                                   | CarVal CLO VC Ltd., Series 2021-2A, Class A                                      | CUSIP: 14687MAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1105000 | PA      | $1105728.20   | 0.01%             | 2034-10-15      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N1, Class A3                         | CUSIP: 14687QAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3696430 | PA      | $3704152.77   | 0.03%             | 2028-03-10      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N1, Class B                          | CUSIP: 14687QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14857000 | PA      | $14994725.88  | 0.13%             | 2030-05-10      | Fixed         | 5.63%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P5, Class C                          | CUSIP: 14687RAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224000 | PA      | $236161.09    | 0.00%             | 2030-02-11      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-N3, Class B                          | CUSIP: 14687WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13500000 | PA      | $13547912.85  | 0.11%             | 2030-12-10      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P1, Class A4                         | CUSIP: 14688EAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3552020.15   | 0.03%             | 2029-01-10      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P3, Class A3                         | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1853818 | PA      | $1866444.76   | 0.02%             | 2028-08-10      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2023-P3, Class A4                         | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1791271.65   | 0.02%             | 2029-07-10      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class A3                         | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9005570 | PA      | $9057628.07   | 0.08%             | 2029-04-10      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class A4                         | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3312828.35   | 0.03%             | 2030-03-11      | Fixed         | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P1, Class B                          | CUSIP: 14688NAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5700000 | PA      | $5856504.90   | 0.05%             | 2030-05-10      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P2, Class A3                         | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7332444 | PA      | $7385177.29   | 0.06%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P2, Class B                          | CUSIP: 14688PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8186000 | PA      | $8410612.38   | 0.07%             | 2030-08-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2025-P4, Class A2                         | CUSIP: 14689AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  31265000 | PA      | $31283965.35  | 0.26%             | 2029-03-12      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A3                         | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12545000 | PA      | $12559904.71  | 0.11%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                       | Carvana Auto Receivables Trust, Series 2024-P3, Class A4                         | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1006590.80   | 0.01%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                             | CFMT LLC, Series 2024-HB15, Class A                                              | CUSIP: 15723AAA9<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   6528687 | PA      | $6500948.81   | 0.05%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  3 | On Loan: No      |
| Cherry Securitization Trust                          | Cherry Securitization Trust, Series 2024-1A, Class A                             | CUSIP: 164737AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12115000 | PA      | $12196424.92  | 0.10%             | 2032-04-15      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                    | CIFC Funding Ltd., Series 2016-1A, Class AR3                                     | CUSIP: 17180TBL5<br>LEI: 54930076OPDXR0U68E20 | Long             | ABS-CBDO         | CORP              | KY        |  23079135 | PA      | $23069280.31  | 0.19%             | 2031-10-21      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  27965000 | PA      | $28768044.34  | 0.24%             | 2030-02-13      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 172967PZ8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  37875000 | PA      | $38144396.92  | 0.32%             | 2028-05-07      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                        | Citigroup Mortgage Loan Trust, Series 2004-UST1, Class A6                        | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     72202 | PA      | $69063.31     | 0.00%             | 2034-08-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAM5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  13725000 | PA      | $13656377.06  | 0.11%             | 2027-01-28      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                      | Citigroup, Inc.                                                                  | CUSIP: 17327CAW3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |  15235000 | PA      | $15450368.82  | 0.13%             | 2029-03-04      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| Clarus Capital Funding LLC                           | Clarus Capital Funding LLC, Series 2024-1A, Class A2                             | CUSIP: 18271JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5406901 | PA      | $5423735.03   | 0.05%             | 2032-08-20      | Fixed         | 4.71%                 | Yes           |                  2 | On Loan: No      |
| CNO Global Funding                                   | CNO Global Funding                                                               | CUSIP: 18977W2D1<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |  25335000 | PA      | $25947873.66  | 0.22%             | 2027-06-04      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Columbia Cent CLO Ltd.                               | Columbia Cent CLO Ltd., Series 2021-31A, Class A1R                               | CUSIP: 19737LAS2<br>LEI: 5493007YZPNOMQEILE23 | Long             | ABS-CBDO         | CORP              | KY        |  29000000 | PA      | $28957399.00  | 0.24%             | 2034-04-20      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R05, Class 2A1                  | CUSIP: 20753CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4390488 | PA      | $4395208.57   | 0.04%             | 2045-07-25      | Floating      | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                  | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1775000 | PA      | $1808636.78   | 0.02%             | 2042-01-25      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                  | Connecticut Avenue Securities Trust, Series 2025-R06, Class 1A1                  | CUSIP: 20754YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6765364 | PA      | $6765630.12   | 0.06%             | 2045-09-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                      | CoreVest American Finance Trust, Series 2020-3, Class A                          | CUSIP: 21873CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    188169 | PA      | $185960.45    | 0.00%             | 2053-08-15      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class A                       | CUSIP: 224927AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    389693 | PA      | $390368.85    | 0.00%             | 2033-03-15      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class B                       | CUSIP: 224927AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6048972.00   | 0.05%             | 2033-05-16      | Fixed         | 7.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-1A, Class C                       | CUSIP: 224927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7142649.50   | 0.06%             | 2033-07-15      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class A                       | CUSIP: 224936AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1261732 | PA      | $1268757.19   | 0.01%             | 2033-08-15      | Fixed         | 6.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class B                       | CUSIP: 224936AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350000 | PA      | $1374560.55   | 0.01%             | 2033-10-17      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-3A, Class C                       | CUSIP: 224936AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5952000 | PA      | $6140189.74   | 0.05%             | 2033-12-15      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-2A, Class A                       | CUSIP: 224940AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24100000 | PA      | $24165286.90  | 0.20%             | 2035-11-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class A                       | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9381000 | PA      | $9428781.19   | 0.08%             | 2034-09-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class B                       | CUSIP: 22535LAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9343000 | PA      | $9370424.51   | 0.08%             | 2034-11-15      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-3A, Class C                       | CUSIP: 22535LAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4049129.60   | 0.03%             | 2035-01-16      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class B                       | CUSIP: 22535PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4082958.40   | 0.03%             | 2034-02-15      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-5A, Class C                       | CUSIP: 22535PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8892000 | PA      | $9182429.61   | 0.08%             | 2034-04-17      | Fixed         | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                               | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   8895000 | PA      | $9377095.12   | 0.08%             | 2029-10-03      | Variable      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                   | Credit Agricole SA                                                               | CUSIP: 22535WAP2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |  17180000 | PA      | $17530851.85  | 0.15%             | 2029-01-09      | Variable      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class A                       | CUSIP: 22536KAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16800000 | PA      | $16994280.24  | 0.14%             | 2035-03-15      | Fixed         | 5.02%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2025-1A, Class C                       | CUSIP: 22536KAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6615000 | PA      | $6767221.73   | 0.06%             | 2035-07-16      | Fixed         | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class A                       | CUSIP: 22536VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7714000 | PA      | $7852177.80   | 0.07%             | 2034-06-15      | Fixed         | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class B                       | CUSIP: 22536VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8000000 | PA      | $8175664.00   | 0.07%             | 2034-08-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-2A, Class C                       | CUSIP: 22536VAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5163883.00   | 0.04%             | 2034-10-16      | Fixed         | 6.70%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class A                       | CUSIP: 22537EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3194373 | PA      | $3200993.50   | 0.03%             | 2033-05-16      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2023-2A, Class B                       | CUSIP: 22537EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $6053524.20   | 0.05%             | 2033-07-15      | Fixed         | 6.61%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class A                       | CUSIP: 22537GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14025000 | PA      | $14144100.30  | 0.12%             | 2034-03-15      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                    | Credit Acceptance Auto Loan Trust, Series 2024-1A, Class C                       | CUSIP: 22537GAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15450000 | PA      | $15796186.61  | 0.13%             | 2034-07-17      | Fixed         | 6.71%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   5038000 | PA      | $5224122.71   | 0.04%             | 2028-08-11      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 225401BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |  26560000 | PA      | $26556519.05  | 0.22%             | 2029-12-23      | Variable      | 4.15%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates       | CSFB Mortgage-Backed Pass-Through Certificates, Series 2004-8, Class 6A1         | CUSIP: 22541SX29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66609 | PA      | $46198.95     | 0.00%             | 2019-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                   | Energy Transfer LP                                                               | CUSIP: 226373AQ1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |  16335000 | PA      | $16335464.40  | 0.14%             | 2027-05-01      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2025-A, Class A2                                  | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3017939.10   | 0.03%             | 2032-02-20      | Fixed         | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2024-A, Class A2                                  | CUSIP: 227927AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3945573 | PA      | $3986429.11   | 0.03%             | 2030-08-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Crossroads Asset Trust                               | Crossroads Asset Trust, Series 2024-A, Class B                                   | CUSIP: 227927AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3945000 | PA      | $4024399.83   | 0.03%             | 2030-08-20      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| CSMC Mortgage-Backed Trust                           | CSMC Mortgage-Backed Trust, Series 2007-5, Class 5A5                             | CUSIP: 22944BDC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172767 | PA      | $1.73         | 0.00%             | 2037-04-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| DLLAA LLC                                            | DLLAA LLC, Series 2025-1A, Class A3                                              | CUSIP: 233249AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7800000 | PA      | $7956482.04   | 0.07%             | 2029-09-20      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| DTE Energy Co.                                       | DTE Energy Co.                                                                   | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |  20225000 | PA      | $20766199.76  | 0.17%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2021-3A, Class D                                     | CUSIP: 23344QAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3410188 | PA      | $3389038.64   | 0.03%             | 2027-05-17      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-3A, Class C                                     | CUSIP: 23345WAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6746000 | PA      | $6800212.21   | 0.06%             | 2029-05-15      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| DT Auto Owner Trust                                  | DT Auto Owner Trust, Series 2023-1A, Class D                                     | CUSIP: 23346KAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1993000 | PA      | $2022394.36   | 0.02%             | 2028-11-15      | Fixed         | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                      | Danske Bank A/S                                                                  | CUSIP: 23636ABH3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  22155000 | PA      | $23096960.59  | 0.19%             | 2030-03-01      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                      | Danske Bank A/S                                                                  | CUSIP: 23636ABJ9<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   6340000 | PA      | $6398742.57   | 0.05%             | 2030-10-02      | Variable      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                         | Dell Equipment Finance Trust, Series 2025-1, Class A3                            | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $3278851.55   | 0.03%             | 2031-02-24      | Fixed         | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CP2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   4997000 | PA      | $4905213.70   | 0.04%             | 2027-11-16      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CU1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   8395000 | PA      | $8971107.46   | 0.08%             | 2029-11-20      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   6000000 | PA      | $6099398.22   | 0.05%             | 2028-02-08      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526CW7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   5235000 | PA      | $5452413.48   | 0.05%             | 2029-05-10      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                     | Deutsche Bank AG                                                                 | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |  19000000 | PA      | $19526130.71  | 0.16%             | 2031-05-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Dext ABS LLC                                         | Dext ABS LLC, Series 2025-1, Class A3                                            | CUSIP: 252154AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13625000 | PA      | $13773008.38  | 0.12%             | 2035-08-15      | Fixed         | 4.77%                 | Yes           |                  2 | On Loan: No      |
| DLIC Re-REMIC Trust                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class AK57                                | CUSIP: 255928AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  18426000 | PA      | $17874987.05  | 0.15%             | 2049-08-27      | Variable      | 1.49%                 | Yes           |                  3 | On Loan: No      |
| DLIC Re-REMIC Trust                                  | DLIC Re-REMIC Trust, Series 2025-FRR1, Class BK57                                | CUSIP: 255928AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6768000 | PA      | $6543068.90   | 0.05%             | 2049-08-27      | Variable      | 1.52%                 | Yes           |                  3 | On Loan: No      |
| DNB Bank ASA                                         | DNB Bank ASA                                                                     | CUSIP: 25601B2B0<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |  20942000 | PA      | $20290277.84  | 0.17%             | 2028-03-30      | Variable      | 1.60%                 | Yes           |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class B                             | CUSIP: 26207AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  20728000 | PA      | $20781127.94  | 0.17%             | 2029-07-16      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-2, Class C                             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10137000 | PA      | $10189114.32  | 0.09%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-1, Class B                             | CUSIP: 26208WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3750000 | PA      | $3766147.88   | 0.03%             | 2029-01-16      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2024-1, Class C                             | CUSIP: 26208WAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7142000 | PA      | $7234391.77   | 0.06%             | 2031-11-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-1, Class C                             | CUSIP: 262102AE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7078873.20   | 0.06%             | 2032-09-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-1, Class D                             | CUSIP: 262102AF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3852123.46   | 0.03%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                         | Drive Auto Receivables Trust, Series 2025-2, Class C                             | CUSIP: 262103AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5830000 | PA      | $5826127.13   | 0.05%             | 2032-09-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Dryden 49 Senior Loan Fund                           | Dryden Senior Loan Fund, Series 2017-49A, Class AR                               | CUSIP: 26244QAN3<br>LEI: 549300VCB8LYR1RGV869 | Long             | ABS-CBDO         | CORP              | KY        |    111761 | PA      | $111729.36    | 0.00%             | 2030-07-18      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                      | Dryden CLO Ltd., Series 2020-86A, Class A1R2                                     | CUSIP: 26245XAY3<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $10007880.00  | 0.08%             | 2034-07-17      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                      | Dryden CLO Ltd., Series 2020-86A, Class BR2                                      | CUSIP: 26245XBC0<br>LEI: 25490017VKY7XEFZL303 | Long             | ABS-CBDO         | CORP              | KY        |   4070000 | PA      | $4071241.35   | 0.03%             | 2034-07-17      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Dryden CLO Ltd.                                      | Dryden CLO Ltd., Series 2019-72A, Class ARR                                      | CUSIP: 26252NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8575210 | PA      | $8571779.60   | 0.07%             | 2032-05-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Dryden 68 CLO Ltd.                                   | Dryden CLO Ltd., Series 2019-68A, Class ARR                                      | CUSIP: 26252QAS1<br>LEI: 254900MX6QAMC9XBAB53 | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1999418.00   | 0.02%             | 2035-07-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class A                           | CUSIP: 28416LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    290055 | PA      | $277318.36    | 0.00%             | 2035-08-27      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| Elara HGV Timeshare Issuer LLC                       | Elara HGV Timeshare Issuer LLC, Series 2021-A, Class B                           | CUSIP: 28416LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    397084 | PA      | $380166.53    | 0.00%             | 2035-08-27      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Elara Hgv Timeshare Issuer LLC                       | Elara Hgv Timeshare Issuer LLC, Series 2025-A, Class A                           | CUSIP: 28416VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7681765 | PA      | $7696568.83   | 0.06%             | 2040-01-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                       | Enbridge, Inc.                                                                   | CUSIP: 29250NCM5<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |  33340000 | PA      | $33423917.78  | 0.28%             | 2028-11-20      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                        | Enel Finance International NV                                                    | CUSIP: 29278GBD9<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |  11710000 | PA      | $12038474.99  | 0.10%             | 2029-06-26      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Equitable Financial Life Global Funding              | Equitable Financial Life Global Funding                                          | CUSIP: 29449WAE7<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |  13395000 | PA      | $13348046.37  | 0.11%             | 2026-01-09      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class B                     | CUSIP: 30166DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    478728 | PA      | $479267.73    | 0.00%             | 2028-04-17      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2024-2A, Class C                     | CUSIP: 30166DAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15216000 | PA      | $15343554.21  | 0.13%             | 2029-05-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-5A, Class C                     | CUSIP: 30166VAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5730000 | PA      | $5761101.87   | 0.05%             | 2032-03-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-5A, Class D                     | CUSIP: 30166VAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    975000 | PA      | $980947.79    | 0.01%             | 2032-03-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-3A, Class C                     | CUSIP: 30166XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6332466.88   | 0.05%             | 2031-10-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-3A, Class D                     | CUSIP: 30166XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5104499.50   | 0.04%             | 2031-10-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-4A, Class C                     | CUSIP: 30167KAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3425000 | PA      | $3434863.32   | 0.03%             | 2031-06-16      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-4A, Class D                     | CUSIP: 30167KAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6460000 | PA      | $6496300.68   | 0.05%             | 2032-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2025-1A, Class B                     | CUSIP: 30167MAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3164000 | PA      | $3189660.99   | 0.03%             | 2029-08-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2022-6A, Class D                     | CUSIP: 30168AAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6964000 | PA      | $7192190.08   | 0.06%             | 2029-04-06      | Fixed         | 8.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-5A, Class C                     | CUSIP: 30168DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9126909.90   | 0.08%             | 2029-01-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-5A, Class D                     | CUSIP: 30168DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3411034.11   | 0.03%             | 2030-02-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| Exeter Select Automobile Receivables Trust           | Exeter Select Automobile Receivables Trust, Series 2025-3, Class B               | CUSIP: 30185FAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1365000 | PA      | $1366577.80   | 0.01%             | 2032-03-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                  | Exeter Automobile Receivables Trust, Series 2023-3A, Class C                     | CUSIP: 301989AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4282891 | PA      | $4304548.52   | 0.04%             | 2028-06-15      | Fixed         | 6.21%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K53, Class B                                   | CUSIP: 30288LAN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  27760000 | PA      | $27672106.29  | 0.23%             | 2049-03-25      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K54, Class B                                   | CUSIP: 30288RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1500000 | PA      | $1494071.70   | 0.01%             | 2048-04-25      | Variable      | 4.26%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K55, Class B                                   | CUSIP: 30289HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9100000 | PA      | $9062700.92   | 0.08%             | 2049-04-25      | Variable      | 4.31%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2017-K62, Class B                                   | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $5455725.00   | 0.05%             | 2050-01-25      | Variable      | 4.01%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2018-K79, Class B                                   | CUSIP: 302956AG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7933896.00   | 0.07%             | 2051-07-25      | Variable      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2016-K57, Class B                                   | CUSIP: 30295DAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  12794000 | PA      | $12707458.83  | 0.11%             | 2049-08-25      | Variable      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2020-K105, Class B                                  | CUSIP: 302975BE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7245000 | PA      | $6988302.41   | 0.06%             | 2053-03-25      | Variable      | 3.53%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K734, Class B                                  | CUSIP: 302977AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3400000 | PA      | $3385866.54   | 0.03%             | 2051-02-25      | Variable      | 4.29%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K735, Class B                                  | CUSIP: 30298FAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15980000 | PA      | $15882830.41  | 0.13%             | 2026-05-25      | Variable      | 4.16%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2019-K90, Class B                                   | CUSIP: 30308QAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13582000 | PA      | $13564282.28  | 0.11%             | 2052-02-25      | Variable      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                   | F&G Global Funding                                                               | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  11240000 | PA      | $11073947.88  | 0.09%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| F&G Global Funding                                   | F&G Global Funding                                                               | CUSIP: 30321L2G6<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  20970000 | PA      | $21413354.45  | 0.18%             | 2027-06-10      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class A                                                 | CUSIP: 30322DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4050000 | PA      | $3956795.33   | 0.03%             | 2038-09-17      | Fixed         | 1.57%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class B                                                 | CUSIP: 30322DAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4960000 | PA      | $4839815.73   | 0.04%             | 2038-09-17      | Fixed         | 1.72%                 | Yes           |                  2 | On Loan: No      |
| FRTKL                                                | FRTKL, Series 2021-SFR1, Class C                                                 | CUSIP: 30322DAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4878505.00   | 0.04%             | 2038-09-17      | Fixed         | 1.92%                 | Yes           |                  2 | On Loan: No      |
| FHF Trust                                            | FHF Trust, Series 2023-1A, Class A2                                              | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2078423 | PA      | $2088996.53   | 0.02%             | 2028-06-15      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                     | FHF Issuer Trust, Series 2024-3A, Class A2                                       | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19462887 | PA      | $19401242.06  | 0.16%             | 2030-11-15      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 302, Class 350                                             | CUSIP: 31283AM31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39289 | PA      | $39083.48     | 0.00%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 290, Class 200                                             | CUSIP: 31283CAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221429 | PA      | $210445.68    | 0.00%             | 2032-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 31283HZ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    908600 | PA      | $935199.11    | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3340 | PA      | $3348.96      | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31283LA55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    543891 | PA      | $559480.75    | 0.00%             | 2036-12-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31286REQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172895 | PA      | $170170.24    | 0.00%             | 2028-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 31286WSK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782687 | PA      | $770969.64    | 0.01%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CULE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46792 | PA      | $47427.80     | 0.00%             | 2027-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CUTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109454 | PA      | $110356.85    | 0.00%             | 2031-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128CUW69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    627688 | PA      | $634821.02    | 0.01%             | 2033-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 218                                                        | CUSIP: 3128CVUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44072 | PA      | $39559.94     | 0.00%             | 2032-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 277, Class 30                                              | CUSIP: 3128HX4M4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2038064 | PA      | $1868009.22   | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128JNBN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24341 | PA      | $24720.83     | 0.00%             | 2035-03-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128JRW85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91685 | PA      | $91839.07     | 0.00%             | 2037-08-01      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    484346 | PA      | $506032.53    | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M65F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56066 | PA      | $57731.84     | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M67C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    437423 | PA      | $443415.84    | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M6T57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54002 | PA      | $58240.85     | 0.00%             | 2038-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128M7X35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120513 | PA      | $125541.23    | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MDLY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3334 | PA      | $3329.47      | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MDXA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19410 | PA      | $19415.58     | 0.00%             | 2028-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128ME4B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2024303 | PA      | $1985278.30   | 0.02%             | 2031-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 3128MJY38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    322039 | PA      | $322087.25    | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128MMWD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6538149 | PA      | $6326880.20   | 0.05%             | 2032-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NH2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    316720 | PA      | $326356.93    | 0.00%             | 2037-06-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NH2S1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129204 | PA      | $131540.43    | 0.00%             | 2037-06-01      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHN66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27605 | PA      | $28357.88     | 0.00%             | 2036-06-01      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87207 | PA      | $89312.49     | 0.00%             | 2036-11-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHQ97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24291 | PA      | $25246.29     | 0.00%             | 2036-03-01      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHRN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     88158 | PA      | $90034.99     | 0.00%             | 2036-10-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55086 | PA      | $56072.31     | 0.00%             | 2036-12-01      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHTY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75435 | PA      | $78209.46     | 0.00%             | 2036-12-01      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHVH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14521 | PA      | $14903.27     | 0.00%             | 2037-02-01      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHVP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38843 | PA      | $40397.68     | 0.00%             | 2037-03-01      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHWA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    247561 | PA      | $252951.03    | 0.00%             | 2037-01-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NHY80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    103463 | PA      | $106726.10    | 0.00%             | 2037-03-01      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NKEF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12457 | PA      | $12769.34     | 0.00%             | 2037-08-01      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NKHW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43489 | PA      | $44202.02     | 0.00%             | 2037-11-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128NUBC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45769 | PA      | $46981.54     | 0.00%             | 2036-08-01      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P75W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509203 | PA      | $507606.55    | 0.00%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7MJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37002 | PA      | $37163.72     | 0.00%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7QA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47068 | PA      | $47441.57     | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1120822 | PA      | $1105939.88   | 0.01%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87248 | PA      | $86037.73     | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7TE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369254 | PA      | $368583.59    | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P7XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    471046 | PA      | $458684.74    | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P8B75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1900882 | PA      | $1858745.09   | 0.02%             | 2036-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3128P8CR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1020299 | PA      | $996753.83    | 0.01%             | 2036-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 3128PUJ45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1270 | PA      | $1267.49      | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128Q3Q87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    308163 | PA      | $319274.61    | 0.00%             | 2035-10-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128Q3Q95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    416225 | PA      | $432412.44    | 0.00%             | 2035-03-01      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QGJS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38432 | PA      | $39057.49     | 0.00%             | 2036-08-01      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QGL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86221 | PA      | $86703.19     | 0.00%             | 2036-12-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QHTP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74527 | PA      | $76359.80     | 0.00%             | 2037-03-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QJD94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9923 | PA      | $10198.60     | 0.00%             | 2036-07-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128QSB62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111463 | PA      | $114825.73    | 0.00%             | 2036-03-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S47F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110768 | PA      | $114246.56    | 0.00%             | 2038-01-01      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4LU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6797 | PA      | $6968.14      | 0.00%             | 2037-04-01      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4Q59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62798 | PA      | $64385.25     | 0.00%             | 2037-10-01      | Variable      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4X28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395415 | PA      | $406125.51    | 0.00%             | 2037-05-01      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC                                                                            | CUSIP: 3128S4YT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95081 | PA      | $97739.35     | 0.00%             | 2038-04-01      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 30 Year                                                        | CUSIP: 31297KUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41472 | PA      | $42471.02     | 0.00%             | 2032-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 31307L3V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3293220 | PA      | $3244188.56   | 0.03%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 15 Year                                                        | CUSIP: 31307M4Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124589 | PA      | $122683.40    | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3131XBND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3779997 | PA      | $3736570.27   | 0.03%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3131XCV87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5731461 | PA      | $5599613.03   | 0.05%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329KPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7331201 | PA      | $7226257.86   | 0.06%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329KUS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12924019 | PA      | $12405603.69  | 0.10%             | 2035-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 31329PNL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7561591 | PA      | $7476978.57   | 0.06%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A7US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6901470 | PA      | $6810339.31   | 0.06%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A86M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    941089 | PA      | $941676.37    | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A8ER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6907297 | PA      | $6772703.75   | 0.06%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A9AZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1472837 | PA      | $1476297.29   | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132A9RX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2231127 | PA      | $2185329.90   | 0.02%             | 2031-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AAFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3315126 | PA      | $3225874.70   | 0.03%             | 2033-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AD2F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1557411 | PA      | $1576997.89   | 0.01%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3132ADEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1304924 | PA      | $1283002.82   | 0.01%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AEAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5879844 | PA      | $5767467.16   | 0.05%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132AET89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5763615 | PA      | $5748806.10   | 0.05%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CWYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3015739 | PA      | $2962133.44   | 0.02%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CWZT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    728268 | PA      | $677252.37    | 0.01%             | 2036-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7104198 | PA      | $6908822.65   | 0.06%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXFZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8769921 | PA      | $8600984.02   | 0.07%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6157120 | PA      | $6382743.27   | 0.05%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXJ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  18165254 | PA      | $18809498.83  | 0.16%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132CXQ54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11324803 | PA      | $11741456.70  | 0.10%             | 2039-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 15 Year                                                              | CUSIP: 3132D57M8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2902004 | PA      | $2542986.29   | 0.02%             | 2036-03-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9M43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2479737 | PA      | $2495793.25   | 0.02%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9MA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  24365999 | PA      | $25055974.68  | 0.21%             | 2043-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9ST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15752152 | PA      | $16214805.35  | 0.14%             | 2044-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 20 Year                                                              | CUSIP: 3132D9UT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11111550 | PA      | $11434660.06  | 0.10%             | 2044-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DNM34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5964663 | PA      | $6172051.59   | 0.05%             | 2049-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DSRF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4635774 | PA      | $4757078.35   | 0.04%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 30 Year                                                              | CUSIP: 3132DTT91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11715168 | PA      | $12127327.02  | 0.10%             | 2044-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132FNAP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305463 | PA      | $302060.47    | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5A41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40589 | PA      | $39862.47     | 0.00%             | 2028-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143938 | PA      | $141903.52    | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    182772 | PA      | $180195.76    | 0.00%             | 2028-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132G5AV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32102 | PA      | $31781.84     | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, Other                                                          | CUSIP: 3132HWAS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373981 | PA      | $362745.19    | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, STRIPS, Series 359, Class 350                                             | CUSIP: 3132J0SJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1151545 | PA      | $1091658.91   | 0.01%             | 2047-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132J2KY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    957358 | PA      | $930207.55    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132J4AB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36765 | PA      | $37437.87     | 0.00%             | 2031-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Gold Pools, 20 Year                                                        | CUSIP: 3132LNYN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2784318 | PA      | $2669208.34   | 0.02%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9363954 | PA      | $8967641.03   | 0.08%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPTQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10207836 | PA      | $9647817.10   | 0.08%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1659384 | PA      | $1671010.58   | 0.01%             | 2032-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1895585 | PA      | $1892458.16   | 0.02%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1905064 | PA      | $1918262.88   | 0.02%             | 2033-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3536178 | PA      | $3597746.94   | 0.03%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPWS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1450706 | PA      | $1460202.44   | 0.01%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC UMBS, 10 Year                                                              | CUSIP: 3133LPZD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4875957 | PA      | $4937195.99   | 0.04%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463196 | PA      | $409354.20    | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    280710 | PA      | $245816.57    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3VX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    350436 | PA      | $320811.64    | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                           | FHLMC Gold Pools, Other                                                          | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1177352 | PA      | $989397.79    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC - GNMA, Series 56, Class Z                                                 | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       778 | PA      | $780.09       | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC Structured Pass-Through Securities Certificates, Series T-20, Class A6     | CUSIP: 3133TMFZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       202 | PA      | $200.76       | 0.00%             | 2029-09-25      | Variable      | 7.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2303, Class FY                                              | CUSIP: 3133TSRB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54801 | PA      | $54609.51     | 0.00%             | 2031-04-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2326, Class ZQ                                              | CUSIP: 3133TTX48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35087 | PA      | $35858.53     | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 313617NN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       348 | PA      | $344.99       | 0.00%             | 2027-07-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 289, Class 1                                                | CUSIP: 31364HQ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16085 | PA      | $15685.56     | 0.00%             | 2027-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-74, Class LQ                                            | CUSIP: 3136A0LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13384490 | PA      | $13572243.26  | 0.11%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-72, Class KB                                            | CUSIP: 3136A0NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       803 | PA      | $800.29       | 0.00%             | 2026-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-141, Class MA                                           | CUSIP: 3136A26C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6204 | PA      | $6182.37      | 0.00%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-128, Class KP                                           | CUSIP: 3136A2MX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20262 | PA      | $20028.37     | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-123, Class BP                                           | CUSIP: 3136A2PU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1980016 | PA      | $1864852.01   | 0.02%             | 2041-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-26, Class CA                                            | CUSIP: 3136A37J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59936 | PA      | $59301.88     | 0.00%             | 2027-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-27, Class PL                                            | CUSIP: 3136A4CU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76656 | PA      | $74393.19     | 0.00%             | 2042-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-14, Class PA                                            | CUSIP: 3136A4WN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89592 | PA      | $86666.11     | 0.00%             | 2041-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-46, Class KI                                            | CUSIP: 3136A5L87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576367 | PA      | $7092.60      | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-64, Class PK                                            | CUSIP: 3136A6PB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    662673 | PA      | $662264.84    | 0.01%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-80, Class EB                                            | CUSIP: 3136A7VD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30076 | PA      | $29971.38     | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-113, Class DC                                           | CUSIP: 3136A83J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71608 | PA      | $69587.75     | 0.00%             | 2042-01-25      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-112, Class AY                                           | CUSIP: 3136A84A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13424992 | PA      | $12941972.87  | 0.11%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-112, Class DA                                           | CUSIP: 3136A84G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1446406 | PA      | $1346874.34   | 0.01%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-100, Class TL                                           | CUSIP: 3136A8PS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162212 | PA      | $161843.43    | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-102, Class IB                                           | CUSIP: 3136A8SW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    442046 | PA      | $7484.55      | 0.00%             | 2027-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-94, Class K                                             | CUSIP: 3136A8XZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    710630 | PA      | $630531.61    | 0.01%             | 2042-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-127, Class AC                                           | CUSIP: 3136A9C89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82938 | PA      | $81486.31     | 0.00%             | 2027-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-128, Class VF                                           | CUSIP: 3136A9QJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243248 | PA      | $241664.27    | 0.00%             | 2042-06-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-124, Class HG                                           | CUSIP: 3136A9Y28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29358 | PA      | $28858.72     | 0.00%             | 2027-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-139, Class NY                                           | CUSIP: 3136AAMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    923825 | PA      | $945775.89    | 0.01%             | 2042-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-134, Class JY                                           | CUSIP: 3136AAWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14228572 | PA      | $13746399.84  | 0.12%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-133, Class AP                                           | CUSIP: 3136AAWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2507406 | PA      | $2323736.88   | 0.02%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2012-147, Class NE                                           | CUSIP: 3136ABDA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    745184 | PA      | $720521.15    | 0.01%             | 2041-08-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-5, Class DA                                             | CUSIP: 3136ABF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46114 | PA      | $45045.95     | 0.00%             | 2028-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-9, Class CB                                             | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8663419 | PA      | $8985134.67   | 0.08%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-6, Class HD                                             | CUSIP: 3136ABU84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254711 | PA      | $229784.28    | 0.00%             | 2042-12-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-18, Class TG                                            | CUSIP: 3136ACA92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    130046 | PA      | $126251.57    | 0.00%             | 2033-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-10, Class PA                                            | CUSIP: 3136ACAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    730489 | PA      | $641595.47    | 0.01%             | 2043-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-10, Class UB                                            | CUSIP: 3136ACAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858473 | PA      | $747143.98    | 0.01%             | 2043-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-13, Class KD                                            | CUSIP: 3136ACJ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56420 | PA      | $55188.55     | 0.00%             | 2028-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-25, Class DC                                            | CUSIP: 3136ACKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    234020 | PA      | $227294.11    | 0.00%             | 2039-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-18, Class BZ                                            | CUSIP: 3136ACWZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5015003 | PA      | $4887505.72   | 0.04%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-33, Class UZ                                            | CUSIP: 3136ADDU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6999353 | PA      | $6685112.19   | 0.06%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-31, Class NL                                            | CUSIP: 3136ADFU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236249 | PA      | $236101.93    | 0.00%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-34, Class PC                                            | CUSIP: 3136ADQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313833 | PA      | $302562.96    | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-35, Class LP                                            | CUSIP: 3136ADTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5530599 | PA      | $5385271.34   | 0.05%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-26, Class ZV                                            | CUSIP: 3136ADXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10123411 | PA      | $9662445.87   | 0.08%             | 2043-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-69, Class L                                             | CUSIP: 3136AE4J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9103292 | PA      | $8853951.30   | 0.07%             | 2033-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-58, Class FP                                            | CUSIP: 3136AEJG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    409250 | PA      | $405460.94    | 0.00%             | 2043-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-61, Class BA                                            | CUSIP: 3136AETK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1190874 | PA      | $1133988.69   | 0.01%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-60, Class PD                                            | CUSIP: 3136AEV87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368962 | PA      | $350153.36    | 0.00%             | 2042-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-64, Class PF                                            | CUSIP: 3136AEXZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351560 | PA      | $347755.55    | 0.00%             | 2043-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-72, Class AF                                            | CUSIP: 3136AFCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1338 | PA      | $1337.58      | 0.00%             | 2042-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-72, Class LY                                            | CUSIP: 3136AFCX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    146915 | PA      | $145792.50    | 0.00%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-81, Class NC                                            | CUSIP: 3136AFN91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107647 | PA      | $106854.05    | 0.00%             | 2042-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-73, Class PG                                            | CUSIP: 3136AFTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490049 | PA      | $471461.64    | 0.00%             | 2042-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-66, Class LB                                            | CUSIP: 3136AFUQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25224 | PA      | $24471.63     | 0.00%             | 2043-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-66, Class MB                                            | CUSIP: 3136AFVT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1571429 | PA      | $1456416.57   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-96, Class FY                                            | CUSIP: 3136AGAF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133760 | PA      | $132475.10    | 0.00%             | 2042-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-97, Class EL                                            | CUSIP: 3136AGDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12682298 | PA      | $12334863.58  | 0.10%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-92, Class DE                                            | CUSIP: 3136AGFV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $578966.40    | 0.00%             | 2043-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-91, Class DZ                                            | CUSIP: 3136AGGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  21830291 | PA      | $21075078.92  | 0.18%             | 2033-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-93, Class PJ                                            | CUSIP: 3136AGLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    399027 | PA      | $388383.73    | 0.00%             | 2042-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-109, Class BA                                           | CUSIP: 3136AGQV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236984 | PA      | $234195.51    | 0.00%             | 2032-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-114, Class JA                                           | CUSIP: 3136AGU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        53 | PA      | $53.22        | 0.00%             | 2035-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-100, Class PL                                           | CUSIP: 3136AGVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440972 | PA      | $446417.60    | 0.00%             | 2043-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-100, Class WB                                           | CUSIP: 3136AGWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4115316 | PA      | $3996518.68   | 0.03%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-125, Class AB                                           | CUSIP: 3136AHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137756 | PA      | $136806.48    | 0.00%             | 2039-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-126, Class JZ                                           | CUSIP: 3136AHQY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13440990 | PA      | $13241922.24  | 0.11%             | 2033-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-126, Class CA                                           | CUSIP: 3136AHRG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156748 | PA      | $156435.43    | 0.00%             | 2041-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-137, Class BA                                           | CUSIP: 3136AHSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103472 | PA      | $100781.43    | 0.00%             | 2029-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-133, Class WA                                           | CUSIP: 3136AHT67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    966833 | PA      | $949463.37    | 0.01%             | 2033-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2013-129, Class CZ                                           | CUSIP: 3136AHWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8111599 | PA      | $7760785.15   | 0.07%             | 2034-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-23, Class CZ                                            | CUSIP: 3136AJ4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6380598 | PA      | $6275440.73   | 0.05%             | 2034-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-18, Class DE                                            | CUSIP: 3136AJVV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    451386 | PA      | $448794.23    | 0.00%             | 2042-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-32, Class DK                                            | CUSIP: 3136AKBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272744 | PA      | $265395.22    | 0.00%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-43, Class PZ                                            | CUSIP: 3136AKKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1280763 | PA      | $1102647.41   | 0.01%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-56, Class Z                                             | CUSIP: 3136AKYG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4838178 | PA      | $4608395.00   | 0.04%             | 2044-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2014-88, Class ER                                            | CUSIP: 3136AMCA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29872 | PA      | $29098.82     | 0.00%             | 2036-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-34, Class UP                                            | CUSIP: 3136AN4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443197 | PA      | $433671.87    | 0.00%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-31, Class UY                                            | CUSIP: 3136ANNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3294948 | PA      | $3178536.29   | 0.03%             | 2035-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-28, Class JE                                            | CUSIP: 3136ANVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18468345 | PA      | $17942834.19  | 0.15%             | 2045-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-41, Class CA                                            | CUSIP: 3136ANZN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313049 | PA      | $301936.31    | 0.00%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-33, Class DT                                            | CUSIP: 3136APCM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    315298 | PA      | $301268.00    | 0.00%             | 2045-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-45, Class GA                                            | CUSIP: 3136APET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59691 | PA      | $59259.05     | 0.00%             | 2041-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-51, Class KC                                            | CUSIP: 3136APJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    157379 | PA      | $152640.10    | 0.00%             | 2045-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-87, Class TB                                            | CUSIP: 3136AQXE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2327289 | PA      | $2325052.97   | 0.02%             | 2035-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2015-89, Class KE                                            | CUSIP: 3136AQZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32815 | PA      | $31701.64     | 0.00%             | 2031-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-26, Class CG                                            | CUSIP: 3136AR5M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  22963286 | PA      | $22216834.63  | 0.19%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-2, Class GA                                             | CUSIP: 3136ARBB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1219818 | PA      | $1170335.40   | 0.01%             | 2046-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-8, Class CA                                             | CUSIP: 3136ARRU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5752604 | PA      | $5575358.33   | 0.05%             | 2031-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-16, Class AL                                            | CUSIP: 3136ARTP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7340981 | PA      | $6828088.44   | 0.06%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-100, Class P                                            | CUSIP: 3136AUG96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44284 | PA      | $43449.11     | 0.00%             | 2044-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-80, Class JP                                            | CUSIP: 3136AUGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    523403 | PA      | $474918.88    | 0.00%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-80, Class KV                                            | CUSIP: 3136AUGG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1852684 | PA      | $1829085.24   | 0.02%             | 2044-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2016-84, Class LA                                            | CUSIP: 3136AUKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    626465 | PA      | $601499.76    | 0.01%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-15, Class PE                                            | CUSIP: 3136AVMS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830944 | PA      | $810510.05    | 0.01%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-27, Class E                                             | CUSIP: 3136AVN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1872998 | PA      | $1755041.64   | 0.01%             | 2046-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-10, Class FA                                            | CUSIP: 3136AVPG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137862 | PA      | $136814.75    | 0.00%             | 2047-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-10, Class AE                                            | CUSIP: 3136AVPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1430648 | PA      | $1377902.77   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-18, Class DA                                            | CUSIP: 3136AVQA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    422059 | PA      | $415351.49    | 0.00%             | 2045-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-11, Class PH                                            | CUSIP: 3136AVTH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165529 | PA      | $142836.13    | 0.00%             | 2047-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-9, Class B                                              | CUSIP: 3136AVWR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1600112 | PA      | $1541678.95   | 0.01%             | 2047-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-68, Class HQ                                            | CUSIP: 3136AXM51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    906669 | PA      | $864443.35    | 0.01%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-84, Class JA                                            | CUSIP: 3136AYMT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    471391 | PA      | $425894.39    | 0.00%             | 2047-09-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-85, Class HA                                            | CUSIP: 3136AYTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944056 | PA      | $902043.41    | 0.01%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-13, Class PA                                            | CUSIP: 3136B02X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6458271 | PA      | $5881533.98   | 0.05%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-96, Class MA                                            | CUSIP: 3136B0AK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    372712 | PA      | $335057.56    | 0.00%             | 2047-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2017-102, Class PZ                                           | CUSIP: 3136B0EN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2512922 | PA      | $2269537.49   | 0.02%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-8, Class KL                                             | CUSIP: 3136B0VP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7738537 | PA      | $7135795.31   | 0.06%             | 2047-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-37, Class BC                                            | CUSIP: 3136B17E8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214256 | PA      | $204296.59    | 0.00%             | 2047-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-15, Class ZG                                            | CUSIP: 3136B1HM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455370 | PA      | $1346576.20   | 0.01%             | 2048-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-15, Class NZ                                            | CUSIP: 3136B1JF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6679737 | PA      | $6124553.51   | 0.05%             | 2048-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-9, Class ZA                                             | CUSIP: 3136B33B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5585734 | PA      | $5131873.29   | 0.04%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-70, Class HA                                            | CUSIP: 3136B3BD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    375291 | PA      | $369288.42    | 0.00%             | 2056-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-3, Class AB                                             | CUSIP: 3136B3G38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8077585 | PA      | $7837511.99   | 0.07%             | 2049-02-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2018-87, Class BA                                            | CUSIP: 3136B3RG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95397 | PA      | $92195.21     | 0.00%             | 2048-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-33, Class MA                                            | CUSIP: 3136B44U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    303369 | PA      | $299982.05    | 0.00%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-11, Class EA                                            | CUSIP: 3136B4BU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491223 | PA      | $469207.29    | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-17, Class KA                                            | CUSIP: 3136B4CV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151435 | PA      | $148702.24    | 0.00%             | 2048-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-13, Class CG                                            | CUSIP: 3136B4GM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2124895 | PA      | $2141197.50   | 0.02%             | 2049-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-20, Class PB                                            | CUSIP: 3136B4MJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211870 | PA      | $195143.77    | 0.00%             | 2048-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-18, Class BA                                            | CUSIP: 3136B4QD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6077055 | PA      | $5913284.66   | 0.05%             | 2049-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-51, Class DW                                            | CUSIP: 3136B5P90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313208 | PA      | $308258.08    | 0.00%             | 2048-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-65, Class PA                                            | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121869 | PA      | $113786.76    | 0.00%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-72, Class KA                                            | CUSIP: 3136B7JJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152221 | PA      | $133608.34    | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-70, Class MB                                            | CUSIP: 3136B7KU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $782705.10    | 0.01%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-70, Class JA                                            | CUSIP: 3136B7NN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92379 | PA      | $82417.07     | 0.00%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2019-81, Class LA                                            | CUSIP: 3136B8GH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292737 | PA      | $261533.72    | 0.00%             | 2049-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-7, Class DZ                                             | CUSIP: 3136B8LT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    624250 | PA      | $534783.87    | 0.00%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-15, Class EA                                            | CUSIP: 3136B8U49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    540177 | PA      | $464917.00    | 0.00%             | 2049-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-15, Class EM                                            | CUSIP: 3136B8V63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    491268 | PA      | $426842.02    | 0.00%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA ACES, Series 2020-M10, Class X1                                             | CUSIP: 3136B9DS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  53651058 | PA      | $3146237.54   | 0.03%             | 2030-12-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-49, Class GA                                            | CUSIP: 3136BAF90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2013348 | PA      | $1705578.09   | 0.01%             | 2049-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-45, Class CB                                            | CUSIP: 3136BAZ72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2958902 | PA      | $2819617.95   | 0.02%             | 2044-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2020-94                                                      | CUSIP: 3136BDWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    349910 | PA      | $291287.49    | 0.00%             | 2048-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2022-8, Class D                                              | CUSIP: 3136BLW30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7682328 | PA      | $7222953.30   | 0.06%             | 2038-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2022-43, Class P                                             | CUSIP: 3136BNVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7191872 | PA      | $7091447.08   | 0.06%             | 2052-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-25, Class LV                                            | CUSIP: 3136BP6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5899523 | PA      | $6086410.35   | 0.05%             | 2034-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-12, Class GB                                            | CUSIP: 3136BPL90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18431136 | PA      | $18828470.61  | 0.16%             | 2045-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-42, Class B                                             | CUSIP: 3136BQMN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13692246 | PA      | $13995234.68  | 0.12%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-8, Class V                                              | CUSIP: 3136BQU98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  26079959 | PA      | $26608584.17  | 0.22%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2023-61, Class G                                             | CUSIP: 3136BQXC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16540212 | PA      | $16649526.09  | 0.14%             | 2049-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-20, Class HD                                            | CUSIP: 3136BRZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6072045 | PA      | $6131940.56   | 0.05%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-65, Class DB                                            | CUSIP: 3136BSK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9779736 | PA      | $9785147.45   | 0.08%             | 2051-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-50, Class DA                                            | CUSIP: 3136BSPR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3420155 | PA      | $3425631.29   | 0.03%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-41, Class GA                                            | CUSIP: 3136BSPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3959744 | PA      | $3995477.53   | 0.03%             | 2048-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-60, Class H                                             | CUSIP: 3136BSS63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8471543 | PA      | $8492172.58   | 0.07%             | 2050-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-58, Class BA                                            | CUSIP: 3136BSWT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13621473 | PA      | $13843483.67  | 0.12%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-81, Class BA                                            | CUSIP: 3136BTLL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8066574 | PA      | $8072655.93   | 0.07%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2024-96, Class EA                                            | CUSIP: 3136BTM59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11949328 | PA      | $12146847.90  | 0.10%             | 2053-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-5, Class HA                                             | CUSIP: 3136BUP95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4361924 | PA      | $4395344.58   | 0.04%             | 2051-02-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-2, Class BA                                             | CUSIP: 3136BUYL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  13888595 | PA      | $14111691.26  | 0.12%             | 2050-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-2, Class GB                                             | CUSIP: 3136BUZA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1789121 | PA      | $1776685.99   | 0.01%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-29, Class A                                             | CUSIP: 3136BVS25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7802425 | PA      | $7901267.35   | 0.07%             | 2050-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-31, Class NV                                            | CUSIP: 3136BVZH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4807143 | PA      | $4953218.24   | 0.04%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-44, Class A                                             | CUSIP: 3136BWCJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3970726 | PA      | $3967700.73   | 0.03%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-44, Class EA                                            | CUSIP: 3136BWDG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5871081 | PA      | $5915114.11   | 0.05%             | 2052-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-42, Class NA                                            | CUSIP: 3136BWLG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  16556376 | PA      | $16796165.63  | 0.14%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-57, Class B                                             | CUSIP: 3136BWRT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7200888 | PA      | $7291789.77   | 0.06%             | 2050-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-62, Class VB                                            | CUSIP: 3136BWZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8101027 | PA      | $8393380.94   | 0.07%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-62, Class HV                                            | CUSIP: 3136BWZE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6808911 | PA      | $6946443.33   | 0.06%             | 2036-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-62, Class CV                                            | CUSIP: 3136BWZP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7955402 | PA      | $8243425.34   | 0.07%             | 2036-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-66, Class LA                                            | CUSIP: 3136BWZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14197470 | PA      | $14271702.59  | 0.12%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2025-75, Class AV                                            | CUSIP: 3136BXHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11996881 | PA      | $12359044.24  | 0.10%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 9                                                | CUSIP: 3136FAA59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160320 | PA      | $17230.96     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 13                                               | CUSIP: 3136FAA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61448 | PA      | $6660.90      | 0.00%             | 2033-03-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 334, Class 17                                               | CUSIP: 3136FAB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71321 | PA      | $8060.77      | 0.00%             | 2033-02-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 369, Class 19                                               | CUSIP: 3136FCN69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23250 | PA      | $3846.43      | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 369, Class 26                                               | CUSIP: 3136FCP59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15923 | PA      | $2594.14      | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 356, Class 16                                               | CUSIP: 3136FCQL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43268 | PA      | $5693.84      | 0.00%             | 2035-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 359, Class 16                                               | CUSIP: 3136FCUH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44123 | PA      | $6447.96      | 0.00%             | 2035-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 386, Class 20                                               | CUSIP: 3136FFSX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99198 | PA      | $16316.86     | 0.00%             | 2038-08-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 394, Class C3                                               | CUSIP: 3136FGDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174589 | PA      | $27637.97     | 0.00%             | 2038-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31371FGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7 | PA      | $7.63         | 0.00%             | 2026-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31371KWH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    432919 | PA      | $449564.50    | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31371NDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18417 | PA      | $18649.90     | 0.00%             | 2027-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31378VKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1426 | PA      | $1427.15      | 0.00%             | 2027-06-01      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3688, Class NB                                              | CUSIP: 3137A0MY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    377831 | PA      | $383219.00    | 0.00%             | 2036-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3704, Class CZ                                              | CUSIP: 3137A0XN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    960249 | PA      | $929523.78    | 0.01%             | 2036-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3706, Class P                                               | CUSIP: 3137A17D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2165453 | PA      | $2143144.53   | 0.02%             | 2040-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3719, Class PJ                                              | CUSIP: 3137A1XE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8244517 | PA      | $8363333.82   | 0.07%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3724, Class CM                                              | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    201024 | PA      | $212153.02    | 0.00%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3769, Class ZC                                              | CUSIP: 3137A3YW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    803793 | PA      | $809026.72    | 0.01%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3779, Class LB                                              | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160047 | PA      | $159698.48    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3775, Class DB                                              | CUSIP: 3137A4UE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    143166 | PA      | $142835.58    | 0.00%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3786, Class NA                                              | CUSIP: 3137A5UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34099 | PA      | $34253.12     | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3826, Class BK                                              | CUSIP: 3137A7KX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3124 | PA      | $3116.92      | 0.00%             | 2026-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3822, Class ZG                                              | CUSIP: 3137A8KF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4720186 | PA      | $4661430.24   | 0.04%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3844, Class FA                                              | CUSIP: 3137A8VK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157946 | PA      | $156988.54    | 0.00%             | 2041-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3859, Class JB                                              | CUSIP: 3137AAM26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    197724 | PA      | $203432.61    | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3862, Class GA                                              | CUSIP: 3137AAPH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    115402 | PA      | $115301.47    | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3863, Class ZA                                              | CUSIP: 3137AAYH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8016111 | PA      | $8311642.73   | 0.07%             | 2034-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3855, Class AM                                              | CUSIP: 3137AAZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    627699 | PA      | $646226.75    | 0.01%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3884, Class BL                                              | CUSIP: 3137ABUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3763702 | PA      | $3782589.99   | 0.03%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3881, Class AT                                              | CUSIP: 3137ABYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14588876 | PA      | $15387632.01  | 0.13%             | 2041-06-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3871, Class KB                                              | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8749709 | PA      | $9167861.52   | 0.08%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3887, Class GM                                              | CUSIP: 3137ADN37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3905 | PA      | $3896.44      | 0.00%             | 2026-07-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3904, Class HC                                              | CUSIP: 3137AE5X9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443312 | PA      | $432032.91    | 0.00%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3909, Class HG                                              | CUSIP: 3137AEHD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10314 | PA      | $10299.46     | 0.00%             | 2026-08-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3906, Class B                                               | CUSIP: 3137AEJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2110290 | PA      | $2077649.48   | 0.02%             | 2041-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3934, Class KB                                              | CUSIP: 3137AG7J3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389280 | PA      | $403957.21    | 0.00%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3947, Class BH                                              | CUSIP: 3137AGCC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2372976 | PA      | $2173194.01   | 0.02%             | 2041-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3939, Class BZ                                              | CUSIP: 3137AGEG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1611271 | PA      | $1608738.51   | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3946, Class BU                                              | CUSIP: 3137AGHC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7492 | PA      | $7464.79      | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3936, Class AB                                              | CUSIP: 3137AH2W7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40213 | PA      | $39949.39     | 0.00%             | 2026-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3952, Class BQ                                              | CUSIP: 3137AHWJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1699272 | PA      | $1570249.94   | 0.01%             | 2041-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3960, Class PL                                              | CUSIP: 3137AJGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2597417 | PA      | $2590815.58   | 0.02%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3966, Class VZ                                              | CUSIP: 3137AJXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    532466 | PA      | $523295.12    | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3996, Class BA                                              | CUSIP: 3137ALSN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5074 | PA      | $5017.99      | 0.00%             | 2027-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4020, Class N                                               | CUSIP: 3137AML47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7896 | PA      | $7839.06      | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4015, Class GL                                              | CUSIP: 3137ANCL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10008 | PA      | $9902.15      | 0.00%             | 2027-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4029, Class LY                                              | CUSIP: 3137APFZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413679 | PA      | $410517.35    | 0.00%             | 2027-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4043, Class PB                                              | CUSIP: 3137APSQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72433 | PA      | $71322.88     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4039, Class AB                                              | CUSIP: 3137AQME5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24085 | PA      | $23679.25     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4039, Class PB                                              | CUSIP: 3137AQPV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97440 | PA      | $95934.03     | 0.00%             | 2027-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4080, Class DA                                              | CUSIP: 3137ARRT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114747 | PA      | $111229.29    | 0.00%             | 2041-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4074, Class PA                                              | CUSIP: 3137ASLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81921 | PA      | $81336.19     | 0.00%             | 2041-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4088, Class BP                                              | CUSIP: 3137ASP32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3183197 | PA      | $2937607.87   | 0.02%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4094, Class BF                                              | CUSIP: 3137ASV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163566 | PA      | $163514.90    | 0.00%             | 2032-08-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4089, Class AI                                              | CUSIP: 3137ASWC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    424185 | PA      | $6664.03      | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4097, Class HJ                                              | CUSIP: 3137ATKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    107485 | PA      | $105350.16    | 0.00%             | 2027-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4112, Class PB                                              | CUSIP: 3137ATUJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $487652.30    | 0.00%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4103, Class HA                                              | CUSIP: 3137AUA90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39068 | PA      | $38567.75     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4122, Class PA                                              | CUSIP: 3137AV2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119575 | PA      | $115196.22    | 0.00%             | 2042-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4120, Class KA                                              | CUSIP: 3137AVDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229569 | PA      | $219360.76    | 0.00%             | 2032-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4131, Class BC                                              | CUSIP: 3137AVQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27832 | PA      | $27229.64     | 0.00%             | 2027-11-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4129, Class AP                                              | CUSIP: 3137AVYK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151995 | PA      | $148997.95    | 0.00%             | 2027-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4144, Class KD                                              | CUSIP: 3137AWTK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    327604 | PA      | $304934.00    | 0.00%             | 2042-03-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4141, Class BI                                              | CUSIP: 3137AWZ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    660456 | PA      | $12247.23     | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4142, Class PG                                              | CUSIP: 3137AX5T6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19728 | PA      | $19228.25     | 0.00%             | 2032-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4143, Class AE                                              | CUSIP: 3137AX6R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    886333 | PA      | $849363.10    | 0.01%             | 2042-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4152, Class LE                                              | CUSIP: 3137AXPB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1566556 | PA      | $1487308.19   | 0.01%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4156, Class PE                                              | CUSIP: 3137AXTQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1268522 | PA      | $1209245.78   | 0.01%             | 2033-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4158, Class LD                                              | CUSIP: 3137AXUZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    349944 | PA      | $315773.73    | 0.00%             | 2043-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4158, Class TC                                              | CUSIP: 3137AXVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153431 | PA      | $146137.96    | 0.00%             | 2042-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class FN                                              | CUSIP: 3137AY3P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    192133 | PA      | $191141.30    | 0.00%             | 2041-07-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class FY                                              | CUSIP: 3137AY3R0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193052 | PA      | $191957.65    | 0.00%             | 2041-08-15      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4150, Class JE                                              | CUSIP: 3137AY5J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    407230 | PA      | $394294.08    | 0.00%             | 2041-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4162, Class ZJ                                              | CUSIP: 3137AYJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13295353 | PA      | $12898070.44  | 0.11%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4207, Class JD                                              | CUSIP: 3137B22F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28198 | PA      | $27572.79     | 0.00%             | 2028-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4199, Class YZ                                              | CUSIP: 3137B2BD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2975134 | PA      | $2843408.62   | 0.02%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4206, Class DZ                                              | CUSIP: 3137B2FF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542799 | PA      | $519614.90    | 0.00%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4217, Class UD                                              | CUSIP: 3137B2KL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60526 | PA      | $59273.94     | 0.00%             | 2028-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4215, Class NA                                              | CUSIP: 3137B34Y1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60172 | PA      | $59137.29     | 0.00%             | 2042-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4247, Class AK                                              | CUSIP: 3137B4HD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101295 | PA      | $101201.34    | 0.00%             | 2042-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4250, Class BZ                                              | CUSIP: 3137B4MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12605933 | PA      | $12270714.74  | 0.10%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4255, Class LZ                                              | CUSIP: 3137B5H63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6356739 | PA      | $6162495.30   | 0.05%             | 2033-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4265, Class FD                                              | CUSIP: 3137B5QZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151487 | PA      | $150517.57    | 0.00%             | 2035-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4283, Class ZL                                              | CUSIP: 3137B6HE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19614793 | PA      | $19132373.38  | 0.16%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4286, Class MP                                              | CUSIP: 3137B6U82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    278620 | PA      | $273280.91    | 0.00%             | 2043-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4304, Class DW                                              | CUSIP: 3137B7S42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357030 | PA      | $352953.14    | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4301, Class UL                                              | CUSIP: 3137B8CE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5713259 | PA      | $5615417.10   | 0.05%             | 2034-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4302, Class MA                                              | CUSIP: 3137B8ET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    394151 | PA      | $389841.52    | 0.00%             | 2043-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4316, Class DZ                                              | CUSIP: 3137B8ZG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2911362 | PA      | $2730020.04   | 0.02%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4318, Class KZ                                              | CUSIP: 3137B9CG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1860700 | PA      | $1824578.59   | 0.02%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4314, Class LP                                              | CUSIP: 3137B9GC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6295 | PA      | $6278.45      | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4330, Class PE                                              | CUSIP: 3137B9P74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90787 | PA      | $88452.60     | 0.00%             | 2043-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4346, Class A                                               | CUSIP: 3137BAJR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20358 | PA      | $20259.87     | 0.00%             | 2039-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4342, Class CY                                              | CUSIP: 3137BAYD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3268470 | PA      | $3138207.74   | 0.03%             | 2034-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4338, Class A                                               | CUSIP: 3137BB2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213688 | PA      | $205669.34    | 0.00%             | 2044-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4338, Class GE                                              | CUSIP: 3137BB4N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2690 | PA      | $2666.89      | 0.00%             | 2029-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4361, Class CA                                              | CUSIP: 3137BC3L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67811 | PA      | $67156.56     | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4360, Class PZ                                              | CUSIP: 3137BCHQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    967165 | PA      | $882431.23    | 0.01%             | 2044-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4401, Class BL                                              | CUSIP: 3137BELA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6416676 | PA      | $6309370.22   | 0.05%             | 2034-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4423, Class VN                                              | CUSIP: 3137BFGP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    357046 | PA      | $355574.25    | 0.00%             | 2033-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4417, Class PZ                                              | CUSIP: 3137BFWT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2898683 | PA      | $2659090.72   | 0.02%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4425, Class TA                                              | CUSIP: 3137BG4W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    257957 | PA      | $225940.45    | 0.00%             | 2045-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4461, Class LZ                                              | CUSIP: 3137BHKY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3405043 | PA      | $3082477.73   | 0.03%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4457, Class KZ                                              | CUSIP: 3137BHWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6731981 | PA      | $6074213.70   | 0.05%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4478, Class PC                                              | CUSIP: 3137BJ6P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762096 | PA      | $680916.71    | 0.01%             | 2045-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4483, Class CA                                              | CUSIP: 3137BJZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  27197045 | PA      | $26344167.43  | 0.22%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4480, Class LA                                              | CUSIP: 3137BKD72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15562 | PA      | $15522.49     | 0.00%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4492, Class BW                                              | CUSIP: 3137BKNY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2314410 | PA      | $2262877.35   | 0.02%             | 2035-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4505, Class P                                               | CUSIP: 3137BKWL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    634791 | PA      | $619179.08    | 0.01%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4545, Class PG                                              | CUSIP: 3137BMP75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194316 | PA      | $191101.62    | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4550, Class NA                                              | CUSIP: 3137BN2R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136908 | PA      | $135814.69    | 0.00%             | 2042-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4574, Class YH                                              | CUSIP: 3137BNQP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    231703 | PA      | $211681.83    | 0.00%             | 2046-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4571, Class EB                                              | CUSIP: 3137BNVM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1444212 | PA      | $1418422.27   | 0.01%             | 2044-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4591, Class QE                                              | CUSIP: 3137BQQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    164498 | PA      | $150814.74    | 0.00%             | 2046-04-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4620                                                        | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176772 | PA      | $22385.51     | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4631, Class PA                                              | CUSIP: 3137BSZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1494735 | PA      | $1434970.81   | 0.01%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4646, Class JV                                              | CUSIP: 3137BUEU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4775073 | PA      | $4741678.47   | 0.04%             | 2036-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4655, Class DJ                                              | CUSIP: 3137BVDL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1435781 | PA      | $1379917.20   | 0.01%             | 2040-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4657, Class VZ                                              | CUSIP: 3137BVQY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7898978 | PA      | $7123099.67   | 0.06%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4664, Class PH                                              | CUSIP: 3137BWR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    547905 | PA      | $540291.92    | 0.00%             | 2045-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4675, Class EZ                                              | CUSIP: 3137BXN40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1754780 | PA      | $1613787.22   | 0.01%             | 2047-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4682, Class AP                                              | CUSIP: 3137BXXY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550356 | PA      | $496006.72    | 0.00%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4682, Class LC                                              | CUSIP: 3137BXZG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419547 | PA      | $366596.95    | 0.00%             | 2047-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4698, Class DA                                              | CUSIP: 3137F1XE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1146287 | PA      | $1134891.13   | 0.01%             | 2045-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4703, Class KZ                                              | CUSIP: 3137F26G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4903692 | PA      | $4632789.50   | 0.04%             | 2047-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4714, Class PA                                              | CUSIP: 3137F2ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1303838 | PA      | $1240916.16   | 0.01%             | 2046-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4774, Class LP                                              | CUSIP: 3137F4VQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1866730 | PA      | $1830467.59   | 0.02%             | 2046-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K740, Class X1  | CUSIP: 3137F72D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        | 100306271 | PA      | $1069916.84   | 0.01%             | 2027-09-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KG04, Class A1  | CUSIP: 3137F84R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3250583 | PA      | $3027215.75   | 0.03%             | 2030-06-25      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K068, Class X1  | CUSIP: 3137FBBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  62811741 | PA      | $370080.50    | 0.00%             | 2027-08-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4740, Class JA                                              | CUSIP: 3137FCCP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1511110 | PA      | $1369795.31   | 0.01%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4749, Class ZL                                              | CUSIP: 3137FCWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13638476 | PA      | $12586954.99  | 0.11%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4745, Class EC                                              | CUSIP: 3137FDBS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    654769 | PA      | $648225.59    | 0.01%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4759, Class MA                                              | CUSIP: 3137FDJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29876 | PA      | $29486.61     | 0.00%             | 2045-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4830, Class AP                                              | CUSIP: 3137FHSF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    673324 | PA      | $670068.69    | 0.01%             | 2047-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4922, Class GE                                              | CUSIP: 3137FNXZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605896 | PA      | $548727.01    | 0.00%             | 2049-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4936, Class AP                                              | CUSIP: 3137FQHG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    177117 | PA      | $165856.47    | 0.00%             | 2048-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series KC07, Class A7  | CUSIP: 3137FQK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2003034 | PA      | $1977888.34   | 0.02%             | 2026-10-25      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4941, Class NP                                              | CUSIP: 3137FQTZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    681487 | PA      | $604721.84    | 0.01%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 4952, Class PA                                              | CUSIP: 3137FR4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1026154 | PA      | $905993.48    | 0.01%             | 2050-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K114, Class X1  | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39395825 | PA      | $1690100.58   | 0.01%             | 2030-06-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3726, Class PA                                              | CUSIP: 3137GAB55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12058 | PA      | $12010.61     | 0.00%             | 2040-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3721, Class DG                                              | CUSIP: 3137GACW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59349 | PA      | $57844.27     | 0.00%             | 2030-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5115, Class FD                                              | CUSIP: 3137H0W95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5045414 | PA      | $4953827.23   | 0.04%             | 2043-08-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5271, Class AC                                              | CUSIP: 3137H9FW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2379478 | PA      | $2386867.78   | 0.02%             | 2047-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5275, Class KA                                              | CUSIP: 3137H9GK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6482273 | PA      | $6535631.34   | 0.05%             | 2047-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5280, Class T                                               | CUSIP: 3137H9LW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15138562 | PA      | $15693452.69  | 0.13%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5296, Class CA                                              | CUSIP: 3137H9SD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8143643 | PA      | $8297793.22   | 0.07%             | 2042-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5334, Class GA                                              | CUSIP: 3137HAHU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  23944185 | PA      | $24437354.21  | 0.21%             | 2045-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K506, Class A1  | CUSIP: 3137HAMG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1161475 | PA      | $1179585.15   | 0.01%             | 2028-05-25      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K507, Class A2  | CUSIP: 3137HAMS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2559701.25   | 0.02%             | 2028-09-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5353, Class A                                               | CUSIP: 3137HAU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4130238 | PA      | $4236514.78   | 0.04%             | 2045-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K512, Class A2  | CUSIP: 3137HBCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12000000 | PA      | $12351738.00  | 0.10%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5369, Class V                                               | CUSIP: 3137HBDB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6926508 | PA      | $7085335.93   | 0.06%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5401, Class VD                                              | CUSIP: 3137HC7D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15028838 | PA      | $15520182.09  | 0.13%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5397, Class CA                                              | CUSIP: 3137HCEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9091164 | PA      | $9089763.06   | 0.08%             | 2052-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5407, Class PA                                              | CUSIP: 3137HCM82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7213869 | PA      | $7266877.47   | 0.06%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5421, Class EA                                              | CUSIP: 3137HCZM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11340513 | PA      | $11546324.49  | 0.10%             | 2046-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5418, Class DA                                              | CUSIP: 3137HD4T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5734384 | PA      | $5854880.41   | 0.05%             | 2049-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5417, Class V                                               | CUSIP: 3137HDGB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2186884 | PA      | $2231308.62   | 0.02%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5433, Class B                                               | CUSIP: 3137HDP38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8035072 | PA      | $8113262.99   | 0.07%             | 2051-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5427, Class DA                                              | CUSIP: 3137HDQG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25740698 | PA      | $25944379.00  | 0.22%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5440, Class MV                                              | CUSIP: 3137HDYX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    998966 | PA      | $1017040.73   | 0.01%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5444, Class BC                                              | CUSIP: 3137HFCP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7634622 | PA      | $7690043.63   | 0.06%             | 2049-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5487, Class DV                                              | CUSIP: 3137HHMC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10241737 | PA      | $10599718.78  | 0.09%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5481, Class HA                                              | CUSIP: 3137HHQH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8594157 | PA      | $8697713.03   | 0.07%             | 2051-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5493, Class KV                                              | CUSIP: 3137HHXA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11784131 | PA      | $12116557.85  | 0.10%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5504, Class DA                                              | CUSIP: 3137HJDX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11022807 | PA      | $11177138.24  | 0.09%             | 2051-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5504, Class DV                                              | CUSIP: 3137HJDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11310886 | PA      | $11715421.05  | 0.10%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5509, Class DV                                              | CUSIP: 3137HJEW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15093041 | PA      | $15731374.13  | 0.13%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5501, Class EA                                              | CUSIP: 3137HJQE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17244980 | PA      | $17468578.82  | 0.15%             | 2049-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5502, Class DC                                              | CUSIP: 3137HJSH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13286228 | PA      | $13457653.60  | 0.11%             | 2051-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5507, Class LA                                              | CUSIP: 3137HJU47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14251871 | PA      | $14403278.66  | 0.12%             | 2051-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5541, Class VJ                                              | CUSIP: 3137HL3U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4796665 | PA      | $4894129.80   | 0.04%             | 2036-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5536, Class PA                                              | CUSIP: 3137HL5H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4689590 | PA      | $4713826.34   | 0.04%             | 2054-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5549, Class CV                                              | CUSIP: 3137HLSL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5308693 | PA      | $5415463.33   | 0.05%             | 2036-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5558, Class BA                                              | CUSIP: 3137HM3E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19669503 | PA      | $19854848.30  | 0.17%             | 2050-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5564, Class DA                                              | CUSIP: 3137HMCU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8696852 | PA      | $8761802.71   | 0.07%             | 2050-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5565, Class AV                                              | CUSIP: 3137HMFH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5522435 | PA      | $5648405.90   | 0.05%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5568, Class DA                                              | CUSIP: 3137HMMT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8337068 | PA      | $8371669.84   | 0.07%             | 2051-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5574, Class CA                                              | CUSIP: 3137HMYT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5701867 | PA      | $5776056.08   | 0.05%             | 2050-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5585, Class KA                                              | CUSIP: 3137HNF45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14758592 | PA      | $14753519.87  | 0.12%             | 2048-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5585, Class LA                                              | CUSIP: 3137HNF78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  16707086 | PA      | $16684529.68  | 0.14%             | 2049-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5584, Class LA                                              | CUSIP: 3137HNLR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4419298 | PA      | $4476182.82   | 0.04%             | 2051-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 5585, Class NB                                              | CUSIP: 3137HNMP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  22628150 | PA      | $22601989.17  | 0.19%             | 2048-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31385XB30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869785 | PA      | $891030.61    | 0.01%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31385XRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2290 | PA      | $2310.49      | 0.00%             | 2030-12-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138AW4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5792 | PA      | $5750.38      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138E5CH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8535 | PA      | $8467.55      | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EBP25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1081118 | PA      | $1067620.48   | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EH4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37495 | PA      | $37707.78     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EKRL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204115 | PA      | $203040.63    | 0.00%             | 2032-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138EKZD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31808 | PA      | $31686.73     | 0.00%             | 2027-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138ELTX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233714 | PA      | $234410.61    | 0.00%             | 2031-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ELYD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138064 | PA      | $137848.07    | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EM6K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223812 | PA      | $225753.66    | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138ENTQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489448 | PA      | $487176.97    | 0.00%             | 2032-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ENYB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7675 | PA      | $7659.85      | 0.00%             | 2029-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ENZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    922830 | PA      | $881406.86    | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ENZR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7253789 | PA      | $7094104.05   | 0.06%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138EPTL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1686506 | PA      | $1565715.13   | 0.01%             | 2044-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EQ5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1862649 | PA      | $1850261.36   | 0.02%             | 2034-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138EQJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    443327 | PA      | $434743.65    | 0.00%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169117 | PA      | $171918.38    | 0.00%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138EQNG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    507025 | PA      | $482111.86    | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138EQVU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1210310 | PA      | $1174394.38   | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138ERB66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3243225 | PA      | $3407811.89   | 0.03%             | 2047-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138ERCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3223182 | PA      | $3159567.79   | 0.03%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138L9BQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6980648 | PA      | $6892183.59   | 0.06%             | 2027-02-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LCH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4611149 | PA      | $4598029.39   | 0.04%             | 2025-12-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LDTT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9915340.20   | 0.08%             | 2026-05-01      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LDYK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8855598 | PA      | $8758774.94   | 0.07%             | 2026-07-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LHS70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4945336 | PA      | $4897245.99   | 0.04%             | 2027-03-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LK6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5207203 | PA      | $5120191.94   | 0.04%             | 2027-10-01      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LKJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6358876 | PA      | $6248280.38   | 0.05%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LKJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5817819 | PA      | $5717615.85   | 0.05%             | 2027-09-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LL5J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3160000 | PA      | $3126999.87   | 0.03%             | 2028-01-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138LN3Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3462379 | PA      | $3435859.30   | 0.03%             | 2028-08-01      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138LQ3J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11815 | PA      | $11709.97     | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3138LX6X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578280 | PA      | $566369.73    | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138MBWC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10426 | PA      | $10309.30     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MQZB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103073 | PA      | $101935.45    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MRMF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50386 | PA      | $49625.49     | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3138MRZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251430 | PA      | $247175.25    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138WHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2387371 | PA      | $2285087.50   | 0.02%             | 2036-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3138X5R82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3967329 | PA      | $3895877.18   | 0.03%             | 2033-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3138YR7A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1517082 | PA      | $1505655.00   | 0.01%             | 2030-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-38, Class EA                                            | CUSIP: 313920QL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2710 | PA      | $2660.41      | 0.00%             | 2031-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2001-50, Class BA                                | CUSIP: 31392AJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31691 | PA      | $32497.92     | 0.00%             | 2041-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2001-81, Class HE                                            | CUSIP: 31392BQR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    934221 | PA      | $979088.69    | 0.01%             | 2032-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-34, Class FA                                            | CUSIP: 31392CM92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21130 | PA      | $21132.16     | 0.00%             | 2032-05-18      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-64, Class PG                                            | CUSIP: 31392ER28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    741609 | PA      | $762497.93    | 0.01%             | 2032-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-77, Class QG                                            | CUSIP: 31392F4F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174396 | PA      | $179742.30    | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-77, Class TF                                            | CUSIP: 31392F6Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72928 | PA      | $73689.79     | 0.00%             | 2032-12-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-84, Class DZ                                            | CUSIP: 31392FE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87162 | PA      | $90343.42     | 0.00%             | 2032-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2002-94, Class BZ                                            | CUSIP: 31392GTL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    496886 | PA      | $512715.36    | 0.00%             | 2033-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-7, Class FB                                             | CUSIP: 31392HY31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108722 | PA      | $109305.56    | 0.00%             | 2033-02-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2492, Class GH                                              | CUSIP: 31392RWH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109860 | PA      | $114592.23    | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2500, Class FD                                              | CUSIP: 31392UVK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69476 | PA      | $69455.98     | 0.00%             | 2032-03-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-42, Class CI                                            | CUSIP: 31393BUF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81280 | PA      | $8006.77      | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-49                                                      | CUSIP: 31393CY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    115443 | PA      | $14555.41     | 0.00%             | 2033-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-58, Class GL                                            | CUSIP: 31393DCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58766 | PA      | $57853.88     | 0.00%             | 2033-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-63, Class A7                                            | CUSIP: 31393DSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896885 | PA      | $926999.58    | 0.01%             | 2033-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-84, Class PZ                                            | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31073 | PA      | $31865.76     | 0.00%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2602, Class FH                                              | CUSIP: 31393PHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83807 | PA      | $83537.32     | 0.00%             | 2033-04-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2617, Class Z                                               | CUSIP: 31393RCR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1944955 | PA      | $2011822.66   | 0.02%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-107, Class ZD                                           | CUSIP: 31393T5W2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    738111 | PA      | $769523.80    | 0.01%             | 2033-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2003-129, Class ZT                                           | CUSIP: 31393UJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4013048 | PA      | $4184667.98   | 0.04%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-38, Class AO                                            | CUSIP: 31393YBQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1214987 | PA      | $1064244.68   | 0.01%             | 2034-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-72, Class F                                             | CUSIP: 31394AB21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33295 | PA      | $33236.31     | 0.00%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-61, Class FH                                            | CUSIP: 31394ARN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368953 | PA      | $371179.89    | 0.00%             | 2032-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-5, Class PA                                             | CUSIP: 31394B5A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107519 | PA      | $106950.10    | 0.00%             | 2035-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-101, Class AR                                           | CUSIP: 31394BE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3492 | PA      | $3588.07      | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-90, Class ZU                                            | CUSIP: 31394BVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    598335 | PA      | $629741.91    | 0.01%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2004-91, Class BR                                            | CUSIP: 31394BYB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34861 | PA      | $36235.69     | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-27, Class HZ                                            | CUSIP: 31394CG30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990420 | PA      | $1011821.33   | 0.01%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-31, Class PB                                            | CUSIP: 31394CY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    289017 | PA      | $299408.97    | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-38, Class FK                                            | CUSIP: 31394DTE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    192800 | PA      | $191537.39    | 0.00%             | 2035-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-64, Class PL                                            | CUSIP: 31394EFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22189 | PA      | $22848.00     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-55, Class PN                                            | CUSIP: 31394EJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1103556 | PA      | $1145145.94   | 0.01%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-66, Class PF                                            | CUSIP: 31394EKS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44725 | PA      | $44352.97     | 0.00%             | 2035-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-84, Class MB                                            | CUSIP: 31394FN92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239979 | PA      | $247348.07    | 0.00%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2662, Class MT                                              | CUSIP: 31394H4A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30993 | PA      | $31195.71     | 0.00%             | 2033-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2693, Class Z                                               | CUSIP: 31394KH98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80803 | PA      | $84339.10     | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2686, Class KZ                                              | CUSIP: 31394KN83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369164 | PA      | $364799.94    | 0.00%             | 2033-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2711, Class FC                                              | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    482852 | PA      | $487214.63    | 0.00%             | 2033-02-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2727, Class PM                                              | CUSIP: 31394NN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    443198 | PA      | $448277.99    | 0.00%             | 2034-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2736, Class PE                                              | CUSIP: 31394PJ79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1842448 | PA      | $1892061.95   | 0.02%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-99, Class AF                                            | CUSIP: 31394U4L3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61180 | PA      | $60716.06     | 0.00%             | 2035-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-88, Class ZC                                            | CUSIP: 31394UAB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1181716 | PA      | $1211281.80   | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-103, Class BT                                           | CUSIP: 31394ULN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147338 | PA      | $148699.92    | 0.00%             | 2035-07-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2005-101, Class B                                            | CUSIP: 31394UVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527549 | PA      | $541069.87    | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-16, Class FC                                            | CUSIP: 31394V5L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35272 | PA      | $34987.14     | 0.00%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2806, Class FA                                              | CUSIP: 31395AWD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144591 | PA      | $146354.51    | 0.00%             | 2034-02-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-14, Class DB                                            | CUSIP: 31395BEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198649 | PA      | $206962.29    | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-3, Class ZA                                             | CUSIP: 31395BGN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5176918 | PA      | $5383412.44   | 0.05%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-27, Class BF                                            | CUSIP: 31395BZF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55814 | PA      | $55402.20     | 0.00%             | 2036-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-46, Class FW                                            | CUSIP: 31395D7E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151023 | PA      | $150076.01    | 0.00%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Whole Loan, Series 2007-W1, Class 1AF1                                     | CUSIP: 31395D7H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    620359 | PA      | $615327.69    | 0.01%             | 2046-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-50, Class PE                                            | CUSIP: 31395DTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194768 | PA      | $200358.04    | 0.00%             | 2036-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-42, Class PF                                            | CUSIP: 31395DUX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    101014 | PA      | $100461.78    | 0.00%             | 2036-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2898, Class PG                                              | CUSIP: 31395K5H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418762 | PA      | $430444.00    | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2901, Class S                                               | CUSIP: 31395KSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    233713 | PA      | $244555.80    | 0.00%             | 2034-12-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2929, Class PG                                              | CUSIP: 31395MBH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46821 | PA      | $48189.86     | 0.00%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2933, Class EM                                              | CUSIP: 31395MS91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23110 | PA      | $23333.58     | 0.00%             | 2035-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-58, Class ST                                            | CUSIP: 31395NM95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    355251 | PA      | $37680.09     | 0.00%             | 2036-07-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-56, Class DC                                            | CUSIP: 31395NXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126959 | PA      | $124738.79    | 0.00%             | 2036-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2953, Class PG                                              | CUSIP: 31395PMJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171055 | PA      | $178449.72    | 0.00%             | 2035-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2941, Class Z                                               | CUSIP: 31395PUN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1001698 | PA      | $987269.29    | 0.01%             | 2035-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, STRIPS, Series 411, Class A3                                               | CUSIP: 31395QCY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    858326 | PA      | $796595.16    | 0.01%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2963, Class ZG                                              | CUSIP: 31395TPJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    273431 | PA      | $281722.15    | 0.00%             | 2034-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2989, Class MU                                              | CUSIP: 31395VFH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    473195 | PA      | $34596.68     | 0.00%             | 2034-07-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 2995, Class FT                                              | CUSIP: 31395VM48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35804 | PA      | $35625.03     | 0.00%             | 2029-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3003, Class LD                                              | CUSIP: 31395W4L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63588 | PA      | $65368.64     | 0.00%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3005, Class PV                                              | CUSIP: 31395WJG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       514 | PA      | $538.11       | 0.00%             | 2033-10-15      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3002, Class BN                                              | CUSIP: 31395WLG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130137 | PA      | $130997.41    | 0.00%             | 2035-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3013, Class HZ                                              | CUSIP: 31395XRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    426322 | PA      | $435921.27    | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Reference REMIC, Series R003, Class ZA                                    | CUSIP: 31396C3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17557818 | PA      | $18431220.72  | 0.15%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3101, Class UZ                                              | CUSIP: 31396GLR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105942 | PA      | $112977.47    | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, Reference REMIC, Series R005, Class ZA                                    | CUSIP: 31396HAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1627564 | PA      | $1699788.81   | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-101, Class FC                                           | CUSIP: 31396LHW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48017 | PA      | $47291.15     | 0.00%             | 2036-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2006-101, Class FD                                           | CUSIP: 31396LHX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30675 | PA      | $30186.77     | 0.00%             | 2036-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-1, Class NF                                             | CUSIP: 31396PHM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99308 | PA      | $98506.09     | 0.00%             | 2037-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-22, Class SC                                            | CUSIP: 31396PU90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4836 | PA      | $163.49       | 0.00%             | 2037-03-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-16, Class FC                                            | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9840 | PA      | $9878.20      | 0.00%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-73, Class HJ                                            | CUSIP: 31396QB24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78084 | PA      | $82124.44     | 0.00%             | 2039-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-58, Class B                                             | CUSIP: 31396QQP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313865 | PA      | $314944.96    | 0.00%             | 2029-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-59, Class HB                                            | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    763530 | PA      | $783314.94    | 0.01%             | 2039-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-70, Class FA                                            | CUSIP: 31396QYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54114 | PA      | $55267.68     | 0.00%             | 2039-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3174, Class LF                                              | CUSIP: 31396TP64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61379 | PA      | $60995.91     | 0.00%             | 2036-05-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-B2, Class ZA                                            | CUSIP: 31396V2L1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1130170 | PA      | $1187175.94   | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-33, Class MS                                            | CUSIP: 31396VGG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    676804 | PA      | $67137.12     | 0.00%             | 2037-04-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2007-54, Class FA                                | CUSIP: 31396WFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88498 | PA      | $87816.64     | 0.00%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-57, Class ZE                                            | CUSIP: 31396WKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5160 | PA      | $5136.41      | 0.00%             | 2037-05-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-61, Class PE                                            | CUSIP: 31396WWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1728852 | PA      | $1804154.98   | 0.02%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-109, Class VZ                                           | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    880340 | PA      | $898985.23    | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                               | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     88575 | PA      | $89855.28     | 0.00%             | 2037-10-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-85, Class SH                                            | CUSIP: 31396XQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489494 | PA      | $20841.83     | 0.00%             | 2037-09-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-117, Class FM                                           | CUSIP: 31396YAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94934 | PA      | $95201.29     | 0.00%             | 2038-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2007-117, Class MF                                           | CUSIP: 31396YAY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177959 | PA      | $178460.08    | 0.00%             | 2038-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-5, Class PE                                             | CUSIP: 31396YGF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54783 | PA      | $56233.77     | 0.00%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-25, Class DZ                                            | CUSIP: 31396YL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364856 | PA      | $368525.36    | 0.00%             | 2038-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-18, Class SE                                            | CUSIP: 31396YWZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70502 | PA      | $5885.05      | 0.00%             | 2038-03-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3204, Class ZM                                              | CUSIP: 31397AL50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298080 | PA      | $306904.50    | 0.00%             | 2034-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3258, Class PM                                              | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160855 | PA      | $166005.38    | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3249, Class CL                                              | CUSIP: 31397EDK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401740 | PA      | $398961.52    | 0.00%             | 2036-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3305, Class IW                                              | CUSIP: 31397GTK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172229 | PA      | $9485.27      | 0.00%             | 2037-04-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3318, Class HF                                              | CUSIP: 31397HDR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82508 | PA      | $81443.27     | 0.00%             | 2037-05-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3326, Class FG                                              | CUSIP: 31397JHT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    336264 | PA      | $333135.77    | 0.00%             | 2037-06-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3351, Class ZC                                              | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    782667 | PA      | $815383.10    | 0.01%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2008-83, Class CA                                            | CUSIP: 31397MXK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304092 | PA      | $324758.41    | 0.00%             | 2038-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-15, Class AC                                            | CUSIP: 31397NDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225838 | PA      | $227573.41    | 0.00%             | 2029-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-29, Class LA                                            | CUSIP: 31397NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    651005 | PA      | $595805.71    | 0.00%             | 2039-05-25      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-11, Class ZY                                            | CUSIP: 31397NLW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2372901 | PA      | $2367160.72   | 0.02%             | 2049-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-18, Class KY                                            | CUSIP: 31397QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433875 | PA      | $429537.67    | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3420, Class EI                                              | CUSIP: 31397RE28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1517972 | PA      | $76633.32     | 0.00%             | 2037-08-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3429, Class S                                               | CUSIP: 31397RMT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    311217 | PA      | $28693.90     | 0.00%             | 2038-03-15      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-45, Class ZA                                            | CUSIP: 31397S2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5600855 | PA      | $5591741.78   | 0.05%             | 2031-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-52, Class GB                                            | CUSIP: 31397S7M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60028 | PA      | $61827.26     | 0.00%             | 2041-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-35, Class PE                                            | CUSIP: 31397SVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756420 | PA      | $738758.64    | 0.01%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3447, Class DB                                              | CUSIP: 31397TQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    903575 | PA      | $927447.51    | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3459, Class MB                                              | CUSIP: 31397TTX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56788 | PA      | $58575.91     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-48, Class CN                                            | CUSIP: 31397UFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2634 | PA      | $2625.38      | 0.00%             | 2026-06-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-64, Class DT                                            | CUSIP: 31397UJ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25692142 | PA      | $26986214.61  | 0.23%             | 2041-07-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-63, Class LB                                            | CUSIP: 31397UQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1969884 | PA      | $1953343.23   | 0.02%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-53, Class FT                                            | CUSIP: 31397URA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75070 | PA      | $74923.50     | 0.00%             | 2041-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-59, Class NZ                                            | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444770 | PA      | $463683.31    | 0.00%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-61, Class ZA                                            | CUSIP: 31397UXL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564338 | PA      | $580493.97    | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2011-61, Class B                                             | CUSIP: 31397UXP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6878 | PA      | $6850.68      | 0.00%             | 2026-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3523, Class MX                                              | CUSIP: 31398CGB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27586 | PA      | $27580.28     | 0.00%             | 2029-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3546, Class A                                               | CUSIP: 31398E3W2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256715 | PA      | $261444.23    | 0.00%             | 2039-02-15      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3540, Class A                                               | CUSIP: 31398EB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     87228 | PA      | $87972.19     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-71, Class JT                                            | CUSIP: 31398FAV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    117739 | PA      | $124113.92    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-87, Class B                                             | CUSIP: 31398FH95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    563017 | PA      | $567823.24    | 0.00%             | 2039-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-86, Class PE                                            | CUSIP: 31398FSC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1704803 | PA      | $1751083.06   | 0.01%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2009-112, Class SW                                           | CUSIP: 31398GKG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1440698 | PA      | $141351.36    | 0.00%             | 2040-01-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3569, Class NY                                              | CUSIP: 31398J3B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418779 | PA      | $433511.27    | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3572, Class JS                                              | CUSIP: 31398JSS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121170 | PA      | $6071.06      | 0.00%             | 2039-09-15      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3575, Class ZA                                              | CUSIP: 31398JUK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2287930 | PA      | $2347418.29   | 0.02%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3585, Class KW                                              | CUSIP: 31398K5H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    934193 | PA      | $947817.25    | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3597, Class HM                                              | CUSIP: 31398L7C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        63 | PA      | $63.26        | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3609, Class SA                                              | CUSIP: 31398LNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    864909 | PA      | $60530.21     | 0.00%             | 2039-12-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-14, Class AC                                            | CUSIP: 31398MEV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70887 | PA      | $70562.37     | 0.00%             | 2030-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-37, Class CY                                            | CUSIP: 31398MJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32006 | PA      | $32908.02     | 0.00%             | 2040-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-109, Class M                                            | CUSIP: 31398NRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    625336 | PA      | $612276.05    | 0.01%             | 2040-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-35, Class KF                                            | CUSIP: 31398PKR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55130 | PA      | $55094.59     | 0.00%             | 2040-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-39, Class FT                                            | CUSIP: 31398PT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351888 | PA      | $354895.38    | 0.00%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-43, Class HJ                                            | CUSIP: 31398RCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107842 | PA      | $112344.75    | 0.00%             | 2040-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-64, Class DM                                            | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278936 | PA      | $283129.18    | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-58, Class FY                                            | CUSIP: 31398RXN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93355 | PA      | $93650.23     | 0.00%             | 2040-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-58, Class FA                                            | CUSIP: 31398RYS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187686 | PA      | $187359.76    | 0.00%             | 2040-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-126, Class LI                                           | CUSIP: 31398SAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82126 | PA      | $3443.17      | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-154, Class MW                                           | CUSIP: 31398SY72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2294442 | PA      | $2252768.80   | 0.02%             | 2041-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, REMIC, Series 2010-92, Class B                                             | CUSIP: 31398TB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1507118 | PA      | $1516083.79   | 0.01%             | 2030-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3656, Class PM                                              | CUSIP: 31398VLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1534318 | PA      | $1583260.38   | 0.01%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3662, Class ZB                                              | CUSIP: 31398VSY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92213 | PA      | $96070.04     | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3636, Class MZ                                              | CUSIP: 31398WFP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2229980 | PA      | $2301232.95   | 0.02%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC, REMIC, Series 3632, Class PK                                              | CUSIP: 31398WSD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130755 | PA      | $133438.31    | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    665839 | PA      | $697650.92    | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1206886 | PA      | $1241831.45   | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31403DTP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6194 | PA      | $6346.85      | 0.00%             | 2036-08-01      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31403DWH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105942 | PA      | $112473.07    | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, 30 Year                                                                    | CUSIP: 31405WJA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22553 | PA      | $22821.52     | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11064 | PA      | $11339.72     | 0.00%             | 2035-01-01      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409AC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150902 | PA      | $156571.93    | 0.00%             | 2035-10-01      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409GSH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10273 | PA      | $10611.59     | 0.00%             | 2036-12-01      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409SKW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138032 | PA      | $143251.27    | 0.00%             | 2036-03-01      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31409X7L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57370 | PA      | $58251.24     | 0.00%             | 2036-07-01      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140E04C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2692644 | PA      | $2646472.75   | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7152751 | PA      | $7180712.21   | 0.06%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1727283 | PA      | $1734039.26   | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXHQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9804076 | PA      | $9920238.73   | 0.08%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXML3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7545694 | PA      | $7865952.76   | 0.07%             | 2048-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXMV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1313258 | PA      | $1347337.50   | 0.01%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140FXT77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9932617 | PA      | $10160245.64  | 0.09%             | 2048-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140GXNK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905981 | PA      | $808507.01    | 0.01%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140H3ZJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    850125 | PA      | $806649.86    | 0.01%             | 2037-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140HJL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164846 | PA      | $158954.03    | 0.00%             | 2033-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140HV6U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9816064 | PA      | $9647110.25   | 0.08%             | 2026-11-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J2Z58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2374928.10   | 0.02%             | 2027-12-01      | Fixed         | 1.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J5QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1148696 | PA      | $1096446.74   | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J8NL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1187001 | PA      | $1133728.36   | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J8X40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7249181 | PA      | $7121025.53   | 0.06%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140J9DL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7437537 | PA      | $7416095.82   | 0.06%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140J9TK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347918 | PA      | $318395.44    | 0.00%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140J9VC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7674748 | PA      | $7532441.68   | 0.06%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JAXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    770242 | PA      | $705018.93    | 0.01%             | 2049-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JBKH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1460777 | PA      | $1455010.21   | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JBWH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2157636 | PA      | $2130235.94   | 0.02%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JCAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3022556 | PA      | $2987511.87   | 0.03%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140JCAY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1822251 | PA      | $1808318.93   | 0.02%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140JN4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2015226 | PA      | $1993848.88   | 0.02%             | 2034-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140KA3X2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    694294 | PA      | $664442.71    | 0.01%             | 2031-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LBYX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4881301 | PA      | $4612429.29   | 0.04%             | 2028-04-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LKWZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1335000 | PA      | $1355627.19   | 0.01%             | 2028-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLB83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5425000 | PA      | $5509551.99   | 0.05%             | 2028-09-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLEB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3798000 | PA      | $3846674.10   | 0.03%             | 2028-07-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1444000 | PA      | $1465761.01   | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4840000 | PA      | $4915767.78   | 0.04%             | 2028-08-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLLD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1224000 | PA      | $1253518.34   | 0.01%             | 2028-08-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLQG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4500066 | PA      | $4660935.50   | 0.04%             | 2028-09-01      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140LLUQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7345000 | PA      | $7508947.89   | 0.06%             | 2028-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NU3T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1248673 | PA      | $1282666.64   | 0.01%             | 2029-04-01      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NUAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $5214013.45   | 0.04%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVA98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8886139 | PA      | $9083245.00   | 0.08%             | 2029-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NVRF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $2047868.06   | 0.02%             | 2029-07-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NX3E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  25386000 | PA      | $25865012.75  | 0.22%             | 2030-04-01      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NXW25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10310678.20  | 0.09%             | 2030-03-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NYCG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10190144.60  | 0.09%             | 2030-05-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NYCX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11688483 | PA      | $11819371.10  | 0.10%             | 2030-04-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140NYUB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2968959 | PA      | $3086882.84   | 0.03%             | 2030-06-01      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140Q1CB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3125000 | PA      | $3165762.56   | 0.03%             | 2030-11-01      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140QBWU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3234252 | PA      | $3069932.63   | 0.03%             | 2034-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140QBWZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3068706 | PA      | $2982280.41   | 0.03%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QCV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    426349 | PA      | $373354.04    | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QDUD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363739 | PA      | $318525.71    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QDW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    340178 | PA      | $297891.57    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 3140QECX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    393825 | PA      | $344869.26    | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140W1BY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2667581 | PA      | $2750866.91   | 0.02%             | 2045-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140W1W58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12543045 | PA      | $13072654.77  | 0.11%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X5XF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1743245 | PA      | $1691898.88   | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140X64J7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3245198 | PA      | $3191935.57   | 0.03%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X6G88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1249665 | PA      | $1214801.14   | 0.01%             | 2038-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140X97K5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1870924 | PA      | $1832091.60   | 0.02%             | 2036-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XCJ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1792130 | PA      | $1730449.74   | 0.01%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XDQT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1722223 | PA      | $1700384.17   | 0.01%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140XF6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1850397 | PA      | $1778186.84   | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XF6G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20630384 | PA      | $20194020.03  | 0.17%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XFQA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4434986 | PA      | $4308333.64   | 0.04%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XG2X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    967876 | PA      | $977230.17    | 0.01%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XK4Q0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2606695 | PA      | $2579626.46   | 0.02%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XK7C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7573949 | PA      | $7506685.07   | 0.06%             | 2039-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XKLE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12598799 | PA      | $12347648.31  | 0.10%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XKNV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4830658 | PA      | $4957165.61   | 0.04%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XKQA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7761172 | PA      | $7835078.74   | 0.07%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XKXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1944802 | PA      | $1907635.27   | 0.02%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XLAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2996116 | PA      | $2967972.89   | 0.02%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XLCV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294735 | PA      | $1289122.40   | 0.01%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XLL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2201940 | PA      | $2140687.66   | 0.02%             | 2036-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 3140XMB70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2395995 | PA      | $2369958.52   | 0.02%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XME28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4555157 | PA      | $4635250.53   | 0.04%             | 2047-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XMTH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3075953 | PA      | $3050819.06   | 0.03%             | 2035-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XNQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2238093 | PA      | $2185832.51   | 0.02%             | 2037-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XNT46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3204446 | PA      | $3343160.85   | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 3140XPGX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5747677 | PA      | $5966311.55   | 0.05%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 3140XQUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4141558 | PA      | $4330402.26   | 0.04%             | 2048-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 3140XRYV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20120015 | PA      | $20681479.64  | 0.17%             | 2044-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410B4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24832 | PA      | $25358.11     | 0.00%             | 2036-08-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410D5T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81412 | PA      | $83405.68     | 0.00%             | 2036-08-01      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410FGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33771 | PA      | $34766.68     | 0.00%             | 2036-08-01      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410FWC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24757 | PA      | $25371.41     | 0.00%             | 2037-01-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410G3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63131 | PA      | $64079.86     | 0.00%             | 2036-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410GL76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20981 | PA      | $21528.32     | 0.00%             | 2037-04-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410GRK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    306015 | PA      | $324666.88    | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410GYP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1275417 | PA      | $1309162.47   | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410KGB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91152 | PA      | $95119.66     | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31410LCD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    547834 | PA      | $581219.36    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31410LQE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    202704 | PA      | $203902.03    | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410Q2C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332515 | PA      | $348190.45    | 0.00%             | 2036-03-01      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31410SCY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29346 | PA      | $29908.65     | 0.00%             | 2036-05-01      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411DUV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11947 | PA      | $12231.07     | 0.00%             | 2036-12-01      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411KFT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274766 | PA      | $282693.19    | 0.00%             | 2037-03-01      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31411SM94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102614 | PA      | $104088.44    | 0.00%             | 2037-02-01      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31412CE30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236795 | PA      | $241979.28    | 0.00%             | 2037-01-01      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31412MDJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222121 | PA      | $234342.02    | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31412V6Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50916 | PA      | $52109.65     | 0.00%             | 2037-04-01      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413FKS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1333 | PA      | $1349.38      | 0.00%             | 2037-07-01      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413K3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149075 | PA      | $150583.70    | 0.00%             | 2037-07-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31413NGK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222751 | PA      | $235350.32    | 0.00%             | 2037-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413NJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394821 | PA      | $402037.43    | 0.00%             | 2037-08-01      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413NJ63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1694 | PA      | $1682.84      | 0.00%             | 2037-08-01      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31413QJ33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49442 | PA      | $50549.99     | 0.00%             | 2037-11-01      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31414HVC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14777 | PA      | $15112.40     | 0.00%             | 2037-12-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2828242 | PA      | $2979174.49   | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BLD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    141289 | PA      | $147380.15    | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31416BNZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123654 | PA      | $126944.71    | 0.00%             | 2037-11-01      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416BQA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    339375 | PA      | $360395.69    | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416VBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1160846 | PA      | $1164777.49   | 0.01%             | 2034-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31416XHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214865 | PA      | $214997.12    | 0.00%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417CN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748539 | PA      | $726133.23    | 0.01%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31417EEZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150989 | PA      | $148746.71    | 0.00%             | 2027-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31417MS38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92735 | PA      | $95541.03     | 0.00%             | 2039-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417Y3A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    440454 | PA      | $444190.63    | 0.00%             | 2031-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417Y3N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51469 | PA      | $51327.74     | 0.00%             | 2031-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    270875 | PA      | $260777.68    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    256664 | PA      | $260214.66    | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41809 | PA      | $41666.43     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418AEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473109 | PA      | $460644.24    | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AKA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1309023 | PA      | $1194241.04   | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418AMU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330142 | PA      | $316799.49    | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1344021 | PA      | $1226173.12   | 0.01%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313498 | PA      | $308632.95    | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441165 | PA      | $402477.37    | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418ASX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    578924 | PA      | $528155.92    | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AVC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603418 | PA      | $590611.82    | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418AWT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57604 | PA      | $56922.07     | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418B2V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1349385 | PA      | $1318058.92   | 0.01%             | 2036-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418B3U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11837559 | PA      | $11338785.37  | 0.10%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    288978 | PA      | $269940.82    | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418BAC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    415438 | PA      | $399898.95    | 0.00%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418BD45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11667368 | PA      | $11654568.01  | 0.10%             | 2034-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418CBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    700635 | PA      | $654480.13    | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418CRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    464806 | PA      | $414797.13    | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DK35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885937 | PA      | $782954.87    | 0.01%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65035 | PA      | $64848.16     | 0.00%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418DNA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2197781 | PA      | $2085775.30   | 0.02%             | 2035-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218972 | PA      | $211305.33    | 0.00%             | 2030-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DPP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365462 | PA      | $320031.08    | 0.00%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DQK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    688326 | PA      | $578442.54    | 0.00%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA, Other                                                                      | CUSIP: 31418DQL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283763 | PA      | $248489.45    | 0.00%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8908042 | PA      | $8543482.04   | 0.07%             | 2031-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418DZ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12262872 | PA      | $11590384.44  | 0.10%             | 2031-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EEK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    477774 | PA      | $463262.99    | 0.00%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EUD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1207762 | PA      | $1228816.20   | 0.01%             | 2033-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418EVK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    921750 | PA      | $928188.11    | 0.01%             | 2033-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 15 Year                                                               | CUSIP: 31418EVQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7252656 | PA      | $7516603.60   | 0.06%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418EYB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  23108631 | PA      | $23780432.58  | 0.20%             | 2043-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418FC54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2210649 | PA      | $2248828.12   | 0.02%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 10 Year                                                               | CUSIP: 31418FH83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4431841 | PA      | $4504563.17   | 0.04%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MCT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32985 | PA      | $33590.34     | 0.00%             | 2037-11-01      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31418MH39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    863886 | PA      | $888594.62    | 0.01%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MKH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    198250 | PA      | $205159.93    | 0.00%             | 2036-03-01      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA                                                                             | CUSIP: 31418MKJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147849 | PA      | $151001.00    | 0.00%             | 2036-12-01      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 20 Year                                                               | CUSIP: 31418TCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85283 | PA      | $86213.94     | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                 | FNMA UMBS, 30 Year                                                               | CUSIP: 31418UED2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93351 | PA      | $94523.74     | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federation des Caisses Desjardins du Quebec          | Federation des Caisses Desjardins du Quebec                                      | CUSIP: 31429KAL7<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |  15410000 | PA      | $15965552.84  | 0.13%             | 2029-04-26      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                     | First Investors Auto Owner Trust, Series 2023-1A, Class B                        | CUSIP: 320986AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5685000 | PA      | $5793338.48   | 0.05%             | 2029-12-17      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR2, Class B                                  | CUSIP: 33767PAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9500000 | PA      | $9468065.75   | 0.08%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class B                                  | CUSIP: 33767WAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5165000 | PA      | $5062009.38   | 0.04%             | 2038-08-17      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class C                                  | CUSIP: 33767WAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3916887.60   | 0.03%             | 2038-08-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2021-SFR1, Class D                                  | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13000000 | PA      | $12739647.70  | 0.11%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR1, Class B                                  | CUSIP: 33768NAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4982200.00   | 0.04%             | 2039-05-19      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FirstKey Homes Trust                                 | FirstKey Homes Trust, Series 2022-SFR1, Class C                                  | CUSIP: 33768NAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $6974815.40   | 0.06%             | 2039-05-19      | Fixed         | 4.64%                 | Yes           |                  2 | On Loan: No      |
| Flagship Credit Auto Trust                           | Flagship Credit Auto Trust, Series 2021-3, Class C                               | CUSIP: 33846QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3422970 | PA      | $3405800.04   | 0.03%             | 2027-09-15      | Fixed         | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2025-1A, Class A                                | CUSIP: 35040WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10224303 | PA      | $10359685.24  | 0.09%             | 2050-04-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2021-1A, Class A                                | CUSIP: 35041LAA8<br>LEI: 549300MQ65NOVQXYNB21 | Long             | ABS-O            | CORP              | US        |   5190537 | PA      | $4943334.66   | 0.04%             | 2041-05-15      | Fixed         | 1.27%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2025-2A, Class A                                | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2598613 | PA      | $2614688.19   | 0.02%             | 2052-04-15      | Fixed         | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Foundation Finance Trust                             | Foundation Finance Trust, Series 2025-3A, Class A                                | CUSIP: 35042TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12255000 | PA      | $12286294.37  | 0.10%             | 2052-08-15      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                | Foundry JV Holdco LLC                                                            | CUSIP: 350930AB9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |  11720000 | PA      | $12323896.91  | 0.10%             | 2030-01-25      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class A1                              | CUSIP: 35564UAQ0<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |   4509375 | PA      | $4511109.31   | 0.04%             | 2045-09-25      | Floating      | 5.02%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC STACR REMIC Trust, Series 2025-DNA4, Class A1                              | CUSIP: 35564UBQ9<br>LEI: 529900ZVQVVVNGMGDO97 | Long             | ABS-MBS          | CORP              | US        |  11968688 | PA      | $11968621.67  | 0.10%             | 2045-10-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                | FHLMC MSCR Trust, Series 2025-MN12, Class M1                                     | CUSIP: 355913AA2<br>LEI: 529900KABSM46L5D1T20 | Long             | ABS-MBS          | CORP              | US        |   7500000 | PA      | $7500045.00   | 0.06%             | 2045-11-25      | Floating      | 5.83%                 | Yes           |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                 | FREMF Mortgage Trust, Series 2017-K71, Class B                                   | CUSIP: 35708WAS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $984270.00    | 0.01%             | 2050-11-25      | Variable      | 3.88%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36179R3C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4971508 | PA      | $4833746.17   | 0.04%             | 2031-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36179SBF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2717622 | PA      | $2637490.08   | 0.02%             | 2031-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, Other                                                                   | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    600538 | PA      | $543882.12    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36179X4B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1397618 | PA      | $1461112.40   | 0.01%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36179XSG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2242969 | PA      | $2363378.43   | 0.02%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36181BRV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    348470 | PA      | $327613.93    | 0.00%             | 2043-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       790 | PA      | $806.74       | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       315 | PA      | $315.97       | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       297 | PA      | $301.25       | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       197 | PA      | $199.26       | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EVR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    360845 | PA      | $382084.87    | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    500041 | PA      | $536913.74    | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 30 Year                                                                 | CUSIP: 36202EWG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    665188 | PA      | $692523.55    | 0.01%             | 2038-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202F2J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19253 | PA      | $19170.12     | 0.00%             | 2027-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202FV52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3063 | PA      | $3053.69      | 0.00%             | 2026-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II, 15 Year                                                                 | CUSIP: 36202FYD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85936 | PA      | $85450.60     | 0.00%             | 2026-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36202KXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        53 | PA      | $53.02        | 0.00%             | 2026-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36206W5F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        79 | PA      | $79.52        | 0.00%             | 2026-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36225CBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        80 | PA      | $79.58        | 0.00%             | 2027-03-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA II                                                                          | CUSIP: 36225CE28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        94 | PA      | $93.52        | 0.00%             | 2028-01-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 15 Year                                                                  | CUSIP: 3622A2LJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         7 | PA      | $7.10         | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622A2XF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1637085 | PA      | $1693712.93   | 0.01%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622AAXK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6683835 | PA      | $6604494.90   | 0.06%             | 2040-10-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622ABMG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  18757318 | PA      | $19524514.43  | 0.16%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 3622ACB33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2079005 | PA      | $2146992.60   | 0.02%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-1A, Class A3                      | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3097201 | PA      | $3121098.86   | 0.03%             | 2028-10-16      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-1A, Class B                       | CUSIP: 36267FAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3469144.10   | 0.03%             | 2029-03-15      | Fixed         | 6.09%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2023-2A, Class A2                      | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1082629 | PA      | $1088478.91   | 0.01%             | 2028-06-15      | Fixed         | 6.37%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2024-1A, Class C                       | CUSIP: 36269HAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4925000 | PA      | $4982775.67   | 0.04%             | 2029-12-17      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-4A, Class A2                      | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5617798 | PA      | $5631658.64   | 0.05%             | 2029-12-17      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-4A, Class B                       | CUSIP: 36273HAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9855000 | PA      | $9893908.53   | 0.08%             | 2030-04-15      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                  | GS Mortgage-Backed Securities Trust, Series 2025-SL1, Class A1                   | CUSIP: 362960AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20280773 | PA      | $20450395.37  | 0.17%             | 2067-11-25      | Variable      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA I, 30 Year                                                                  | CUSIP: 36296DHB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729903 | PA      | $772064.42    | 0.01%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd.                                      | Galaxy CLO Ltd., Series 2022-30A, Class XR                                       | CUSIP: 36321RAL0<br>LEI: 549300QQ6WEN7DIBD138 | Long             | ABS-CBDO         | CORP              | KY        |   1562500 | PA      | $1562435.94   | 0.01%             | 2038-01-15      | Floating      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                            | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  12305000 | PA      | $12416062.96  | 0.10%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                | Global Payments, Inc.                                                            | CUSIP: 37940XAV4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |  33605000 | PA      | $33717228.94  | 0.28%             | 2028-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class A2                      | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4058170 | PA      | $4083509.57   | 0.03%             | 2030-03-15      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class B                       | CUSIP: 37988XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2029581.00   | 0.02%             | 2030-03-15      | Fixed         | 5.32%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-1A, Class C                       | CUSIP: 37988XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    973000 | PA      | $994997.97    | 0.01%             | 2030-03-15      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class B                       | CUSIP: 37989BAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5046075.00   | 0.04%             | 2029-10-15      | Fixed         | 4.97%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class C                       | CUSIP: 37989BAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11500000 | PA      | $11631680.75  | 0.10%             | 2031-01-15      | Fixed         | 5.11%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                    | GLS Auto Receivables Issuer Trust, Series 2025-2A, Class D                       | CUSIP: 37989BAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6250000 | PA      | $6340099.38   | 0.05%             | 2031-01-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                    | GLS Auto Select Receivables Trust, Series 2024-3A, Class A2                      | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3501986 | PA      | $3537983.84   | 0.03%             | 2029-10-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 8 Ltd.             | GoldenTree Loan Management US CLO Ltd., Series 2020-8A, Class ARR                | CUSIP: 38136NAY2<br>LEI: 549300LOEERRNVSKVY31 | Long             | ABS-CBDO         | CORP              | KY        |   1900000 | PA      | $1899012.00   | 0.02%             | 2034-10-20      | Floating      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13300000 | PA      | $14140168.58  | 0.12%             | 2029-10-24      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13460000 | PA      | $14096748.18  | 0.12%             | 2030-04-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13535000 | PA      | $13904445.27  | 0.12%             | 2030-07-23      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GC77<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  28985000 | PA      | $29302892.12  | 0.25%             | 2028-04-23      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GD27<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  26855000 | PA      | $26874355.20  | 0.23%             | 2029-10-21      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                      | Goldman Sachs Group, Inc. (The)                                                  | CUSIP: 38141GXM1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13850000 | PA      | $13839578.57  | 0.12%             | 2026-12-09      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Goldman Home Improvement Trust Issuer Trust          | Goldman Home Improvement Trust Issuer Trust, Series 2021-GRN2, Class A           | CUSIP: 38149XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2552850 | PA      | $2500079.12   | 0.02%             | 2051-06-25      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                               | Goldman Sachs Bank USA                                                           | CUSIP: 38151LAG5<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |   7050000 | PA      | $7092615.35   | 0.06%             | 2027-05-21      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust            | GoodLeap Home Improvement Solutions Trust, Series 2025-3A, Class A               | CUSIP: 38237FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  19090000 | PA      | $19130400.17  | 0.16%             | 2049-10-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2007-16, Class KU                                                   | CUSIP: 38373MC57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1254390 | PA      | $37637.61     | 0.00%             | 2037-04-20      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-50, Class F                                                    | CUSIP: 38373QSE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19818 | PA      | $19761.29     | 0.00%             | 2033-05-16      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2003-102, Class PE                                                  | CUSIP: 38374ECZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580383 | PA      | $579641.58    | 0.00%             | 2033-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2004-39, Class IN                                                   | CUSIP: 38374GUY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10657 | PA      | $73.66        | 0.00%             | 2033-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2006-26, Class S                                                    | CUSIP: 38374NEG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2308202 | PA      | $19940.32     | 0.00%             | 2036-06-20      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class NI                                                   | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181940 | PA      | $10358.23     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class KS                                                   | CUSIP: 38374XAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608912 | PA      | $20671.29     | 0.00%             | 2039-03-20      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-14, Class SA                                                   | CUSIP: 38374XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1468700 | PA      | $44090.95     | 0.00%             | 2039-03-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H14, Class FG                                                  | CUSIP: 38375B3P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    115708 | PA      | $115665.76    | 0.00%             | 2063-05-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H15, Class FA                                                  | CUSIP: 38375B4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    103008 | PA      | $103077.52    | 0.00%             | 2063-06-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H19, Class FC                                                  | CUSIP: 38375B5N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130178 | PA      | $130406.66    | 0.00%             | 2063-08-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H30, Class GA                                                  | CUSIP: 38375BA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36457 | PA      | $36414.45     | 0.00%             | 2062-12-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-H26, Class LF                                                  | CUSIP: 38375BGS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7855 | PA      | $7846.04      | 0.00%             | 2058-08-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H07, Class FA                                                  | CUSIP: 38375BKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    362230 | PA      | $362248.17    | 0.00%             | 2061-02-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H05, Class FB                                                  | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58040 | PA      | $57480.32     | 0.00%             | 2062-02-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H08, Class FA                                                  | CUSIP: 38375BLH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222013 | PA      | $222382.28    | 0.00%             | 2061-02-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H11, Class FA                                                  | CUSIP: 38375BLN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70392 | PA      | $70400.37     | 0.00%             | 2061-03-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H11, Class FB                                                  | CUSIP: 38375BLQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47316 | PA      | $47311.66     | 0.00%             | 2061-04-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H08, Class FA                                                  | CUSIP: 38375BN32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106000 | PA      | $105729.35    | 0.00%             | 2063-03-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-H21, Class FA                                                  | CUSIP: 38375BNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29376 | PA      | $29423.97     | 0.00%             | 2061-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H14, Class FK                                                  | CUSIP: 38375BTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37668 | PA      | $37687.91     | 0.00%             | 2062-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H18, Class NA                                                  | CUSIP: 38375BUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34552 | PA      | $34545.23     | 0.00%             | 2062-08-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H20, Class BA                                                  | CUSIP: 38375BVQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49765 | PA      | $49820.01     | 0.00%             | 2062-09-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H23, Class WA                                                  | CUSIP: 38375BXV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43858 | PA      | $43874.07     | 0.00%             | 2062-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-H11, Class FA                                                  | CUSIP: 38375BY22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52821 | PA      | $52797.91     | 0.00%             | 2063-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-H29, Class FA                                                  | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11169 | PA      | $11171.78     | 0.00%             | 2062-10-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2008-75, Class SP                                                   | CUSIP: 38375DPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    483565 | PA      | $19787.71     | 0.00%             | 2038-08-20      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H02, Class FB                                                  | CUSIP: 38375UCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98023 | PA      | $98285.17     | 0.00%             | 2063-12-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H05, Class FB                                                  | CUSIP: 38375UDY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28297 | PA      | $28339.72     | 0.00%             | 2063-12-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H16, Class CF                                                  | CUSIP: 38375UF21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2687232 | PA      | $2686403.73   | 0.02%             | 2067-07-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H19, Class FA                                                  | CUSIP: 38375UJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165486 | PA      | $165363.24    | 0.00%             | 2067-08-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H14, Class GF                                                  | CUSIP: 38375UMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27507 | PA      | $27499.92     | 0.00%             | 2064-07-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H16, Class FL                                                  | CUSIP: 38375UNH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219633 | PA      | $219558.78    | 0.00%             | 2064-07-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-H21, Class FA                                                  | CUSIP: 38375UQC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94708 | PA      | $94757.92     | 0.00%             | 2064-10-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H06, Class FB                                                  | CUSIP: 38375UUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4004188 | PA      | $4006528.71   | 0.03%             | 2065-02-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H09, Class FA                                                  | CUSIP: 38375UWE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    128322 | PA      | $128344.45    | 0.00%             | 2065-04-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-75, Class NB                                                   | CUSIP: 38376CMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20125 | PA      | $20105.22     | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2009-106, Class XL                                                  | CUSIP: 38376JDC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1105027 | PA      | $49219.58     | 0.00%             | 2037-06-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H14, Class FD                                                  | CUSIP: 38376R5D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157312 | PA      | $157245.95    | 0.00%             | 2067-06-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H15, Class FN                                                  | CUSIP: 38376R5Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60647 | PA      | $60653.86     | 0.00%             | 2067-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H10, Class FH                                                  | CUSIP: 38376RAM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    378050 | PA      | $377850.14    | 0.00%             | 2065-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H10, Class FK                                                  | CUSIP: 38376RAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4101530 | PA      | $4101462.38   | 0.03%             | 2065-04-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H12, Class FB                                                  | CUSIP: 38376RBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2300559 | PA      | $2300653.64   | 0.02%             | 2065-05-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H12, Class FD                                                  | CUSIP: 38376RBP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    408279 | PA      | $408055.69    | 0.00%             | 2065-05-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H22, Class FA                                                  | CUSIP: 38376RC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1508365 | PA      | $1511389.64   | 0.01%             | 2066-10-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H14, Class FA                                                  | CUSIP: 38376RCB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1015219 | PA      | $1014304.32   | 0.01%             | 2065-06-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H14, Class FB                                                  | CUSIP: 38376RCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19491 | PA      | $19477.44     | 0.00%             | 2065-05-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H13, Class FG                                                  | CUSIP: 38376RCJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57201 | PA      | $57122.02     | 0.00%             | 2065-04-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H24, Class AF                                                  | CUSIP: 38376RE77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    825260 | PA      | $827828.98    | 0.01%             | 2066-11-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H16, Class FM                                                  | CUSIP: 38376REA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    873614 | PA      | $873481.10    | 0.01%             | 2065-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H27, Class FA                                                  | CUSIP: 38376RHR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    361494 | PA      | $362147.80    | 0.00%             | 2065-09-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H24, Class FA                                                  | CUSIP: 38376RHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1887662 | PA      | $1888678.39   | 0.02%             | 2065-09-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H25, Class FD                                                  | CUSIP: 38376RJN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1979209 | PA      | $1979888.54   | 0.02%             | 2065-10-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H29, Class FJ                                                  | CUSIP: 38376RLR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1129053 | PA      | $1130153.57   | 0.01%             | 2065-11-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H29, Class FA                                                  | CUSIP: 38376RMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       620 | PA      | $620.49       | 0.00%             | 2065-10-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H01, Class FA                                                  | CUSIP: 38376RPB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1106242 | PA      | $1110456.76   | 0.01%             | 2066-01-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H06, Class FA                                                  | CUSIP: 38376RSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    821042 | PA      | $824707.07    | 0.01%             | 2066-02-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H06, Class FC                                                  | CUSIP: 38376RSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    689468 | PA      | $692139.35    | 0.01%             | 2066-02-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H09, Class FN                                                  | CUSIP: 38376RTD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    816571 | PA      | $819219.22    | 0.01%             | 2066-03-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-H14, Class FA                                                  | CUSIP: 38376RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    370875 | PA      | $371799.08    | 0.00%             | 2066-06-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-H07, Class FG                                                  | CUSIP: 38376RY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86185 | PA      | $86138.05     | 0.00%             | 2067-02-20      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-H03, Class FA                                                  | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    413518 | PA      | $413835.82    | 0.00%             | 2060-03-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-59, Class HZ                                                   | CUSIP: 38377FXL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945082 | PA      | $954257.53    | 0.01%             | 2040-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2010-98, Class ME                                                   | CUSIP: 38377JPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8148080 | PA      | $8238616.35   | 0.07%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-132, Class GJ                                                  | CUSIP: 38377YJC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8948 | PA      | $8945.97      | 0.00%             | 2026-09-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2011-155, Class A                                                   | CUSIP: 38378ARH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4452 | PA      | $4440.56      | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-28, Class DE                                                   | CUSIP: 38378FWG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160644 | PA      | $145572.07    | 0.00%             | 2042-12-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2012-96, Class WP                                                   | CUSIP: 38378HCX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1748446 | PA      | $1853513.43   | 0.02%             | 2042-08-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-75, Class AC                                                   | CUSIP: 38378J4L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221634 | PA      | $216635.26    | 0.00%             | 2028-05-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-42, Class ND                                                   | CUSIP: 38378JES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58924 | PA      | $55709.89     | 0.00%             | 2042-11-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-12, Class ZA                                                   | CUSIP: 38378PE38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12168612 | PA      | $11340620.24  | 0.10%             | 2044-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2013-71, Class NA                                                   | CUSIP: 38378TAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24867 | PA      | $24254.48     | 0.00%             | 2041-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-H04, Class FL                                                  | CUSIP: 38378U8R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41229 | PA      | $41220.15     | 0.00%             | 2065-02-20      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-3, Class GA                                                    | CUSIP: 38378YZT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2539741 | PA      | $2424158.60   | 0.02%             | 2044-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-41, Class AL                                                   | CUSIP: 38379AX62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3521653 | PA      | $3328689.27   | 0.03%             | 2044-03-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2014-137, Class DT                                                  | CUSIP: 38379GHY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6507056 | PA      | $6132356.53   | 0.05%             | 2044-09-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-80, Class CP                                                   | CUSIP: 38379NHH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186621 | PA      | $184335.84    | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2015-80, Class CQ                                                   | CUSIP: 38379NHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134744 | PA      | $134492.28    | 0.00%             | 2045-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-25, Class QH                                                   | CUSIP: 38379T2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    815526 | PA      | $790030.53    | 0.01%             | 2044-12-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-79, Class LA                                                   | CUSIP: 38379XNW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110931 | PA      | $110021.31    | 0.00%             | 2045-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-90, Class MA                                                   | CUSIP: 38379XQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71883 | PA      | $71275.67     | 0.00%             | 2045-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2016-91, Class WH                                                   | CUSIP: 38379XZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    818171 | PA      | $761511.91    | 0.01%             | 2046-03-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-65, Class DZ                                                   | CUSIP: 38380B7B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2802264 | PA      | $2412092.26   | 0.02%             | 2047-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2017-139, Class PE                                                  | CUSIP: 38380HEP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3170359 | PA      | $2780153.12   | 0.02%             | 2047-08-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-H07, Class FE                                                  | CUSIP: 38380LCU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14353 | PA      | $14313.32     | 0.00%             | 2068-02-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H01, Class FT                                                  | CUSIP: 38380LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134633 | PA      | $134368.88    | 0.00%             | 2068-10-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H05, Class FT                                                  | CUSIP: 38380LSX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    431730 | PA      | $430456.30    | 0.00%             | 2069-04-20      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-H14, Class FH                                                  | CUSIP: 38380LZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10477582 | PA      | $10450498.83  | 0.09%             | 2069-08-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-H13, Class FK                                                  | CUSIP: 38380QGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2154652 | PA      | $2148259.13   | 0.02%             | 2070-07-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-29, Class LC                                                   | CUSIP: 38380VEH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30494 | PA      | $30265.88     | 0.00%             | 2044-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-34, Class TY                                                   | CUSIP: 38380VND9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    723482 | PA      | $666410.24    | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-H04, Class FG                                                  | CUSIP: 38380VPC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98422 | PA      | $98104.17     | 0.00%             | 2068-02-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2018-36, Class AM                                                   | CUSIP: 38380VT76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    269763 | PA      | $263861.63    | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-113, Class HA                                                  | CUSIP: 38381N2A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8754719 | PA      | $8905707.98   | 0.07%             | 2052-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-113, Class KA                                                  | CUSIP: 38381NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26471850 | PA      | $26903677.00  | 0.23%             | 2051-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-113, Class NA                                                  | CUSIP: 38381NZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15550360 | PA      | $15596016.94  | 0.13%             | 2053-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-127, Class AB                                                  | CUSIP: 38381PM34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8808303 | PA      | $8874843.13   | 0.07%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-74, Class AT                                                   | CUSIP: 38381VV56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    375007 | PA      | $352329.59    | 0.00%             | 2049-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2019-145, Class PA                                                  | CUSIP: 38382AWJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139857 | PA      | $135333.68    | 0.00%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-5, Class NA                                                    | CUSIP: 38382CFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2518353 | PA      | $2382079.95   | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-74, Class DY                                                   | CUSIP: 38382E5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    786328 | PA      | $665193.92    | 0.01%             | 2050-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-83, Class KP                                                   | CUSIP: 38382GDM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    237665 | PA      | $211186.42    | 0.00%             | 2050-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2020-125, Class AG                                                  | CUSIP: 38382HMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    785195 | PA      | $764828.68    | 0.01%             | 2046-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-43, Class AB                                                   | CUSIP: 38383XAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6939079 | PA      | $7019455.48   | 0.06%             | 2048-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-58, Class BA                                                   | CUSIP: 38383XTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2661582 | PA      | $2670752.46   | 0.02%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-107, Class PA                                                  | CUSIP: 38384BM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5610965 | PA      | $5713414.45   | 0.05%             | 2046-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-80, Class AC                                                   | CUSIP: 38384BPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4140758 | PA      | $4234449.20   | 0.04%             | 2053-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-115, Class E                                                   | CUSIP: 38384CB65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11243310 | PA      | $11331115.66  | 0.10%             | 2057-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-112, Class BA                                                  | CUSIP: 38384CV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3914725 | PA      | $4075960.18   | 0.03%             | 2062-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-164, Class DA                                                  | CUSIP: 38384D5L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7095464 | PA      | $7114854.40   | 0.06%             | 2047-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-147, Class AC                                                  | CUSIP: 38384DRR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $5154730.50   | 0.04%             | 2050-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-131, Class KV                                                  | CUSIP: 38384EYL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3546670 | PA      | $3641814.52   | 0.03%             | 2034-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-196, Class A                                                   | CUSIP: 38384GUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8998423 | PA      | $8977296.14   | 0.08%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2023-183, Class A                                                   | CUSIP: 38384HAA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5821446 | PA      | $5817547.55   | 0.05%             | 2049-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-8, Class WA                                                    | CUSIP: 38384HUZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4057512 | PA      | $4064050.42   | 0.03%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-26, Class NV                                                   | CUSIP: 38384J7C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9665346 | PA      | $9909660.54   | 0.08%             | 2034-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-24, Class AD                                                   | CUSIP: 38384JY73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10849244 | PA      | $10917206.86  | 0.09%             | 2052-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-19, Class E                                                    | CUSIP: 38384KAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16429792 | PA      | $16447832.19  | 0.14%             | 2057-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-19, Class EB                                                   | CUSIP: 38384KBE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5334871 | PA      | $5412318.73   | 0.05%             | 2059-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-43, Class JA                                                   | CUSIP: 38384KNH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  20247510 | PA      | $20447571.90  | 0.17%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-46, Class KB                                                   | CUSIP: 38384MBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1814532 | PA      | $1842181.24   | 0.02%             | 2053-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-64, Class ED                                                   | CUSIP: 38384MVF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4802149 | PA      | $4886601.41   | 0.04%             | 2064-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-89, Class AM                                                   | CUSIP: 38384N3Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17896495 | PA      | $18040899.75  | 0.15%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-84, Class BA                                                   | CUSIP: 38384NTX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15774950 | PA      | $15845918.18  | 0.13%             | 2045-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-79, Class PT                                                   | CUSIP: 38384PFJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7324390 | PA      | $7500579.75   | 0.06%             | 2054-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-101, Class ED                                                  | CUSIP: 38384PMY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14746039 | PA      | $14825085.26  | 0.12%             | 2052-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-144, Class DB                                                  | CUSIP: 38384WTW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5667641 | PA      | $5827950.80   | 0.05%             | 2054-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2024-203, Class HA                                                  | CUSIP: 38385BVL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5477552 | PA      | $5668701.66   | 0.05%             | 2054-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-2, Class EA                                                    | CUSIP: 38385BX88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  17916889 | PA      | $17975928.63  | 0.15%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-22, Class A                                                    | CUSIP: 38385CP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6875196 | PA      | $6908020.93   | 0.06%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-22, Class HV                                                   | CUSIP: 38385CX78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6026715 | PA      | $6141032.27   | 0.05%             | 2036-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-22, Class HE                                                   | CUSIP: 38385CY44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13209643 | PA      | $13268496.40  | 0.11%             | 2050-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                 | GNMA, Series 2025-89, Class EC                                                   | CUSIP: 38385GLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1668224 | PA      | $1684397.66   | 0.01%             | 2053-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Granite Park Equipment Leasing LLC                   | Granite Park Equipment Leasing LLC, Series 2023-1A, Class A3                     | CUSIP: 387422AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4540490 | PA      | $4573653.50   | 0.04%             | 2032-09-20      | Fixed         | 6.46%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A2            | CUSIP: 39154GAH9<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   3600000 | PA      | $3610755.36   | 0.03%             | 2027-10-15      | Fixed         | 4.52%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A3            | CUSIP: 39154GAJ5<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   6616000 | PA      | $6686287.06   | 0.06%             | 2029-04-16      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GreatAmerica Leasing Receivables Funding LLC         | GreatAmerica Leasing Receivables Funding LLC, Series 2025-1, Class A4            | CUSIP: 39154GAK2<br>LEI: 549300JFP7GIDD4UWO79 | Long             | ABS-O            | CORP              | US        |   5138000 | PA      | $5228004.92   | 0.04%             | 2032-01-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Trust                      | GreenSky Home Improvement Trust, Series 2024-1, Class A2                         | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2023339 | PA      | $2032976.37   | 0.02%             | 2059-06-25      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2025-1A, Class A2                 | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3030916 | PA      | $3043802.64   | 0.03%             | 2060-03-25      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2025-3A, Class A2                 | CUSIP: 39571WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14805000 | PA      | $14862666.96  | 0.12%             | 2060-12-27      | Fixed         | 4.59%                 | Yes           |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust               | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A4                  | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    461721 | PA      | $469656.58    | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                            | HCA, Inc.                                                                        | CUSIP: 404119CY3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   4235000 | PA      | $4316366.55   | 0.04%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280DU0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10422377.40  | 0.09%             | 2029-03-09      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280DZ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  15380000 | PA      | $15560007.67  | 0.13%             | 2027-08-14      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280ED7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  10000000 | PA      | $10386622.80  | 0.09%             | 2030-03-04      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EF2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  18740000 | PA      | $19111231.90  | 0.16%             | 2028-05-17      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EM7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  19840000 | PA      | $20206114.86  | 0.17%             | 2028-11-19      | Variable      | 5.13%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                    | HSBC Holdings plc                                                                | CUSIP: 404280EQ8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |  32870000 | PA      | $33364287.56  | 0.28%             | 2029-03-03      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                     | Harley-Davidson Motorcycle Trust, Series 2024-B, Class A3                        | CUSIP: 41284PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8867000 | PA      | $8896363.07   | 0.07%             | 2029-07-16      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| Harley-Davidson Motorcycle Trust                     | Harley-Davidson Motorcycle Trust, Series 2024-A, Class A3                        | CUSIP: 412922AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14001035 | PA      | $14131564.33  | 0.12%             | 2029-03-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LP                       | Hertz Vehicle Financing LP, Series 2021-2A, Class B                              | CUSIP: 42806MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3650000 | PA      | $3568109.70   | 0.03%             | 2027-12-27      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2023-2A, Class A                             | CUSIP: 42806MBW8<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7219694.30   | 0.06%             | 2029-09-25      | Fixed         | 5.57%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2023-3A, Class A                             | CUSIP: 42806MCA5<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10759112.36  | 0.09%             | 2028-02-25      | Fixed         | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2025-3A, Class A                             | CUSIP: 42806MDB2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |  12750000 | PA      | $12943737.53  | 0.11%             | 2029-12-26      | Fixed         | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Hertz Vehicle Financing III LLC                      | Hertz Vehicle Financing LLC, Series 2025-3A, Class B                             | CUSIP: 42806MDC0<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $3033073.80   | 0.03%             | 2029-12-26      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2025-1A, Class A                            | CUSIP: 43283CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2763347 | PA      | $2807681.73   | 0.02%             | 2042-05-27      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2024-2A, Class A                            | CUSIP: 43283JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1044330 | PA      | $1068143.54   | 0.01%             | 2038-03-25      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2024-3A, Class A                            | CUSIP: 43283NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7630630 | PA      | $7729509.57   | 0.06%             | 2040-08-27      | Fixed         | 4.98%                 | 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        |    116137 | PA      | $114443.19    | 0.00%             | 2039-02-25      | Fixed         | 2.74%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2025-2A, Class A                            | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9688996 | PA      | $9743589.67   | 0.08%             | 2044-05-25      | Fixed         | 4.54%                 | Yes           |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                         | Hilton Grand Vacations Trust, Series 2023-1A, Class A                            | CUSIP: 432917AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1293906 | PA      | $1324623.36   | 0.01%             | 2038-01-25      | Fixed         | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2022-1, Class D                           | CUSIP: 43730NAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16215454 | PA      | $16062887.47  | 0.13%             | 2039-04-17      | Fixed         | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2021-2, Class B                           | CUSIP: 43732VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18230417 | PA      | $17811314.36  | 0.15%             | 2026-12-17      | Fixed         | 2.30%                 | Yes           |                  2 | On Loan: No      |
| Home Partners of America Trust                       | Home Partners of America Trust, Series 2021-2, Class A                           | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1118165 | PA      | $1091579.42   | 0.01%             | 2026-12-17      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund Trust                    | Homeward Opportunities Fund Trust, Series 2025-RRTL2, Class A1                   | CUSIP: 437923AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13890000 | PA      | $13933724.33  | 0.12%             | 2040-09-25      | Variable      | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2                | CUSIP: 44644NAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8745449 | PA      | $8768243.84   | 0.07%             | 2032-05-20      | Floating      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2024-2, Class B1                | CUSIP: 44644NAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3367255 | PA      | $3402352.77   | 0.03%             | 2032-10-20      | Fixed         | 5.44%                 | Yes           |                  2 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes             | Huntington Bank Auto Credit-Linked Notes, Series 2025-2, Class B1                | CUSIP: 44644NAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12408445 | PA      | $12485761.81  | 0.10%             | 2033-09-20      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5806000 | PA      | $5724988.77   | 0.05%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   5075000 | PA      | $5058955.08   | 0.04%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ADB0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  12355000 | PA      | $12555905.64  | 0.11%             | 2027-06-24      | Fixed         | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                              | Hyundai Capital America                                                          | CUSIP: 44891ADG9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |  18395000 | PA      | $18489117.10  | 0.16%             | 2029-09-26      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2024-A, Class A4                 | CUSIP: 448988AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5022667.00   | 0.04%             | 2028-02-15      | Fixed         | 5.07%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-B, Class A3                 | CUSIP: 44935DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12000000 | PA      | $12099444.00  | 0.10%             | 2028-04-17      | Fixed         | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Auto Lease Securitization Trust              | Hyundai Auto Lease Securitization Trust, Series 2025-A, Class A3                 | CUSIP: 44935WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4817000 | PA      | $4864503.81   | 0.04%             | 2028-01-18      | Fixed         | 4.83%                 | Yes           |                  2 | On Loan: No      |
| Identity Digital Ltd.                                | Identity Digital Ltd.                                                            | CUSIP: N/A<br>LEI: 5493005BN677T7KORE19       | Long             | DBT              | CORP              | IE        |  15000000 | PA      | $15220500.00  | 0.13%             | 2065-03-20      | Fixed         | 6.79%                 | No            |                  3 | On Loan: No      |
| ING Groep NV                                         | ING Groep NV                                                                     | CUSIP: 456837BQ5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |  22300000 | PA      | $22644774.06  | 0.19%             | 2029-03-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2004-S2, Class 5A1                               | CUSIP: 466247JX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96608 | PA      | $93734.78     | 0.00%             | 2019-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                              | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                               | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    223333 | PA      | $229359.85    | 0.00%             | 2034-08-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class C             | CUSIP: 46644UBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7155000.00   | 0.06%             | 2048-07-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust           | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class C             | CUSIP: 46644YBB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2750000 | PA      | $2145797.50   | 0.02%             | 2048-08-15      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO XVII Ltd.                              | Jamestown CLO Ltd., Series 2021-17A, Class AR                                    | CUSIP: 47048UAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  21500000 | PA      | $21493808.00  | 0.18%             | 2035-01-25      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| Jamestown CLO XVII Ltd.                              | Jamestown CLO Ltd., Series 2021-17A, Class B1R                                   | CUSIP: 47048UAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3000000 | PA      | $2994477.00   | 0.03%             | 2035-01-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| John Deere Owner Trust                               | John Deere Owner Trust, Series 2024-C, Class A4                                  | CUSIP: 477911AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6830000 | PA      | $6854334.61   | 0.06%             | 2031-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust           | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP6, Class A3            | CUSIP: 48128KAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3717095 | PA      | $3659679.27   | 0.03%             | 2050-07-15      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund           | JPMorgan U.S. Government Money Market Fund, Class Institutional                  | CUSIP: 4812C2684<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        | 585084582 | NS      | $585084582.13 | 4.91%             |  |  |  | No            |                  1 | On Loan: No      |
| KBC Group NV                                         | KBC Group NV                                                                     | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |   5645000 | PA      | $5830511.07   | 0.05%             | 2029-01-19      | Variable      | 5.80%                 | Yes           |                  2 | On Loan: No      |
| KBC Group NV                                         | KBC Group NV                                                                     | CUSIP: 48241FAD6<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |  18155000 | PA      | $18521303.81  | 0.16%             | 2030-10-16      | Variable      | 4.93%                 | Yes           |                  2 | On Loan: No      |
| KKR CLO 28 Ltd.                                      | KKR CLO Ltd., Series 28A, Class AR2                                              | CUSIP: 48253WAW2<br>LEI: 549300OP87QBZ6KR1406 | Long             | ABS-CBDO         | CORP              | KY        |  20000000 | PA      | $19989440.00  | 0.17%             | 2035-02-09      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| KKR Static CLO Ltd.                                  | KKR Static CLO Ltd., Series 2022-1A, Class AR2                                   | CUSIP: 48255QAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10323716 | PA      | $10319700.05  | 0.09%             | 2031-07-20      | Floating      | 4.86%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                             | LCM Ltd., Series 36A, Class A1R                                                  | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  24873000 | PA      | $24853847.79  | 0.21%             | 2034-01-15      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| LCM Ltd.                                             | LCM Ltd., Series 34A, Class A1R                                                  | CUSIP: 50203CAL7<br>LEI: 54930038DJKYPKSVRB29 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $14995635.00  | 0.13%             | 2034-10-20      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2025-RTL1, Class A1                                 | CUSIP: 50205UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6579000 | PA      | $6618520.05   | 0.06%             | 2040-01-25      | Variable      | 5.65%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                 | LHOME Mortgage Trust, Series 2024-RTL5, Class A1                                 | CUSIP: 50205WAA5<br>LEI: 529900ZQNJ23BIJVY871 | Long             | ABS-MBS          | CORP              | US        |  13067000 | PA      | $13080736.03  | 0.11%             | 2039-09-25      | Variable      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Lhome Mortgage Trust                                 | LHOME Mortgage Trust, Series 2025-RTL2, Class A1                                 | CUSIP: 50206RAA5<br>LEI: 529900COAFD3IY51O355 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3522341.55   | 0.03%             | 2040-04-25      | Variable      | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Lending Funding Trust                                | Lending Funding Trust, Series 2020-2A, Class A                                   | CUSIP: 51507KAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14342629 | PA      | $14071491.63  | 0.12%             | 2031-04-21      | Fixed         | 2.32%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                          | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                           | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2836906 | PA      | $2836846.61   | 0.02%             | 2061-07-25      | Variable      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2024-2A, Class A                                  | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8625000 | PA      | $8635245.64   | 0.07%             | 2034-02-21      | Fixed         | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2025-3A, Class A                                  | CUSIP: 525951AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13985000 | PA      | $13992782.65  | 0.12%             | 2035-05-20      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2025-3A, Class C                                  | CUSIP: 525951AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1996335.40   | 0.02%             | 2035-05-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2025-2A, Class A                                  | CUSIP: 52603GAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12101000 | PA      | $12211230.43  | 0.10%             | 2034-10-20      | Fixed         | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2021-2A, Class A                                  | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11888000 | PA      | $11475922.69  | 0.10%             | 2032-04-20      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2022-1A, Class A                           | CUSIP: 52607KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2548395 | PA      | $2547278.89   | 0.02%             | 2027-05-17      | Fixed         | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Lendmark Funding Trust                               | Lendmark Funding Trust, Series 2021-1A, Class A                                  | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24260000 | PA      | $23561794.77  | 0.20%             | 2031-11-20      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Lendbuzz Securitization Trust                        | Lendbuzz Securitization Trust, Series 2023-2A, Class A2                          | CUSIP: 52608MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1145598 | PA      | $1161012.29   | 0.01%             | 2028-10-16      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439AX7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  13210000 | PA      | $13711042.88  | 0.12%             | 2029-03-06      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  16745000 | PA      | $16946824.97  | 0.14%             | 2027-08-07      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                             | Lloyds Banking Group plc                                                         | CUSIP: 539439BD0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |  20220000 | PA      | $20543734.94  | 0.17%             | 2029-06-13      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| M&T Equipment 2023-LEAF1 Notes                       | M&T Equipment Notes, Series 2023-1A, Class A3                                    | CUSIP: 551925AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6591484 | PA      | $6631734.10   | 0.06%             | 2030-07-15      | Fixed         | 5.74%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                            | MFA Trust, Series 2021-NQM2, Class A1                                            | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    716705 | PA      | $636672.52    | 0.01%             | 2064-11-25      | Variable      | 1.03%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class A                          | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    431876 | PA      | $431741.20    | 0.00%             | 2038-04-15      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                        | MHC Commercial Mortgage Trust, Series 2021-MHC, Class D                          | CUSIP: 55316VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1999377.39   | 0.02%             | 2038-04-15      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                             | MRCD MARK Mortgage Trust, Series 2019-PARK, Class B                              | CUSIP: 55348UAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $4980060.00   | 0.04%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2024-2A, Class A                                                 | CUSIP: 55389QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6368230 | PA      | $6390373.44   | 0.05%             | 2042-03-20      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2025-2A, Class A                                                 | CUSIP: 55389RAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17809000 | PA      | $17878951.97  | 0.15%             | 2044-10-20      | Fixed         | 4.48%                 | Yes           |                  2 | On Loan: No      |
| MVW LLC                                              | MVW LLC, Series 2020-1A, Class A                                                 | CUSIP: 55400EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    548963 | PA      | $538562.44    | 0.00%             | 2037-10-20      | Fixed         | 1.74%                 | Yes           |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                 | Macquarie Group Ltd.                                                             | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |  15754000 | PA      | $15699150.24  | 0.13%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLII, LTD.                      | Madison Park Funding Ltd., Series 13A, Class AR2                                 | CUSIP: 55822RAB6<br>LEI: 549300YWZ8HFDYP0MR16 | Long             | ABS-CBDO         | CORP              | KY        |  14138026 | PA      | $14133982.89  | 0.12%             | 2030-11-21      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| Marble Point CLO XV Ltd.                             | Marble Point CLO Ltd., Series 2019-1A, Class A1R2                                | CUSIP: 56606YAW5<br>LEI: 549300CO8XB55W8SS394 | Long             | ABS-CBDO         | CORP              | KY        |   9024463 | PA      | $9017026.91   | 0.08%             | 2032-07-23      | Floating      | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2025-AA, Class B                          | CUSIP: 567920AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1523929.50   | 0.01%             | 2038-05-20      | Fixed         | 5.33%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2025-AA, Class C                          | CUSIP: 567920AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2720000 | PA      | $2765503.97   | 0.02%             | 2038-05-20      | Fixed         | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2024-AA, Class A                          | CUSIP: 567928AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  13441000 | PA      | $13625816.44  | 0.11%             | 2036-09-22      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                       | Mariner Finance Issuance Trust, Series 2021-BA, Class A                          | CUSIP: 56847JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3400000 | PA      | $3303538.26   | 0.03%             | 2036-11-20      | Fixed         | 2.10%                 | 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        |  15923000 | PA      | $15636389.18  | 0.13%             | 2036-03-20      | Fixed         | 1.86%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                         | MASTR Alternative Loan Trust, Series 2004-8, Class 6A1                           | CUSIP: 576434UW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41 | PA      | $40.54        | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                          | Merchants Fleet Funding LLC, Series 2023-1A, Class A                             | CUSIP: 588926AA3<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |   4908595 | PA      | $4932982.51   | 0.04%             | 2036-05-20      | Fixed         | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Merchants Fleet Funding LLC                          | Merchants Fleet Funding LLC, Series 2024-1A, Class A                             | CUSIP: 588926AF2<br>LEI: 254900Z2OOQUA5IN2X83 | Long             | ABS-O            | CORP              | US        |  17311588 | PA      | $17425515.16  | 0.15%             | 2037-04-20      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust           | Mercury Financial Credit Card Master Trust, Series 2024-2A, Class A              | CUSIP: 58940BAZ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12886000 | PA      | $12961316.09  | 0.11%             | 2029-07-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                            | MFA Trust, Series 2024-RTL3, Class A1                                            | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12170000 | PA      | $12300374.78  | 0.10%             | 2039-11-25      | Variable      | 5.91%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                         | Mizuho Financial Group, Inc.                                                     | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |  18070000 | PA      | $17822250.72  | 0.15%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                               | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8E3<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |   6720000 | PA      | $6814529.03   | 0.06%             | 2028-07-14      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank NA                               | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8G8<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |  32680000 | PA      | $32787220.79  | 0.28%             | 2027-10-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                       | Morgan Stanley Capital I Trust, Series 2021-L6, Class A2                         | CUSIP: 61692CAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3117870 | PA      | $3020747.03   | 0.03%             | 2054-06-15      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 6174468V4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  18126000 | PA      | $18110399.50  | 0.15%             | 2026-12-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust             | Morgan Stanley ABS Capital I, Inc. Trust, Series 2003-SD1, Class M1              | CUSIP: 61746RCF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12733 | PA      | $12240.47     | 0.00%             | 2033-03-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  20930000 | PA      | $21752893.30  | 0.18%             | 2028-10-18      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  10610000 | PA      | $10836448.91  | 0.09%             | 2029-02-01      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  28690000 | PA      | $29650402.63  | 0.25%             | 2029-07-20      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                       | Morgan Stanley                                                                   | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  16465000 | PA      | $16793624.28  | 0.14%             | 2029-04-12      | Variable      | 4.99%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class B     | CUSIP: 61766RBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4140000 | PA      | $3955430.52   | 0.03%             | 2049-11-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Private Bank NA                       | Morgan Stanley Private Bank NA                                                   | CUSIP: 61776NZU0<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |  50395000 | PA      | $50480370.64  | 0.42%             | 2028-11-17      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                     | NMEF Funding LLC, Series 2023-A, Class A2                                        | CUSIP: 62890QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2296096 | PA      | $2309315.01   | 0.02%             | 2030-06-17      | Fixed         | 6.57%                 | Yes           |                  2 | On Loan: No      |
| NMABS Issuer I LLC                                   | NMABS Issuer LLC, Series 2025-1A, Class A                                        | CUSIP: 629174AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  23346000 | PA      | $23445072.15  | 0.20%             | 2055-11-20      | Fixed         | 5.14%                 | Yes           |                  3 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   5000000 | PA      | $4928932.80   | 0.04%             | 2028-02-16      | Variable      | 2.97%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  17115000 | PA      | $17449797.98  | 0.15%             | 2027-10-18      | Variable      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  22135000 | PA      | $22840536.30  | 0.19%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                          | Nationwide Building Society                                                      | CUSIP: 63861VAM9<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |  14420000 | PA      | $14568047.11  | 0.12%             | 2029-07-14      | Variable      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 639057AJ7<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  16754000 | PA      | $16817565.01  | 0.14%             | 2027-03-02      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                  | NatWest Markets plc                                                              | CUSIP: 63906YAJ7<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15350000 | PA      | $15985784.87  | 0.13%             | 2029-05-17      | Fixed         | 5.41%                 | Yes           |                  2 | On Loan: No      |
| NatWest Markets plc                                  | NatWest Markets plc                                                              | CUSIP: 63906YAM0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |  15580000 | PA      | $15854904.11  | 0.13%             | 2028-03-21      | Fixed         | 4.79%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 38 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2020-38A, Class AR2              | CUSIP: 64133RAU0<br>LEI: 549300SM4FYZ8US63U33 | Long             | ABS-CBDO         | CORP              | KY        |  14000000 | PA      | $13989682.00  | 0.12%             | 2036-10-20      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 42 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-42A, Class AR               | CUSIP: 64133WAL9<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |  17250000 | PA      | $17237994.00  | 0.14%             | 2036-07-16      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 41 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-41A, Class AR               | CUSIP: 64134BAJ9<br>LEI: 549300RYH1PYRU661D66 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $14992830.00  | 0.13%             | 2034-04-15      | Floating      | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 45 Ltd.           | Neuberger Berman Loan Advisers CLO Ltd., Series 2021-45A, Class AR               | CUSIP: 64134MAJ5<br>LEI: 549300BQ0WQMX5H5TS32 | Long             | ABS-CBDO         | CORP              | KY        |   3025000 | PA      | $3022770.58   | 0.03%             | 2036-10-14      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| New Economy Assets-Phase 1 Sponsor LLC               | New Economy Assets-Phase 1 Sponsor LLC, Series 2021-1, Class A1                  | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1816000 | PA      | $1538676.28   | 0.01%             | 2061-10-20      | Fixed         | 1.91%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class B                   | CUSIP: 64830RAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4914136.50   | 0.04%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2022-SFR2, Class C                   | CUSIP: 64830RAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $10779762.40  | 0.09%             | 2039-09-04      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL1, Class A1                  | CUSIP: 64831PAA3<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |  12035000 | PA      | $12102130.03  | 0.10%             | 2039-03-25      | Variable      | 6.66%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                  | New Residential Mortgage Loan Trust, Series 2024-RTL2, Class A1                  | CUSIP: 64831WAA8<br>LEI: 213800H34ZKQ2LAZZL53 | Long             | ABS-MBS          | CORP              | US        |  15750000 | PA      | $15868047.83  | 0.13%             | 2039-09-25      | Variable      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes               | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2021124 | PA      | $1982938.51   | 0.02%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                | Nomura Holdings, Inc.                                                            | CUSIP: 65535HAW9<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |  20765000 | PA      | $20448460.21  | 0.17%             | 2026-07-14      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2005-AR6, Class 4A1 | CUSIP: 65535VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1169779 | PA      | $284428.64    | 0.00%             | 2035-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2022-SFR3, Class C                                            | CUSIP: 66981YAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1967408.40   | 0.02%             | 2039-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| AMSR Trust                                           | AMSR Trust, Series 2021-SFR4, Class B                                            | CUSIP: 66982FAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7500000 | PA      | $7350130.50   | 0.06%             | 2038-12-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| OCP CLO Ltd.                                         | OCP CLO Ltd., Series 2017-13A, Class AR2                                         | CUSIP: 67097LAV8<br>LEI: 254900M77QLN2EBJHE11 | Long             | ABS-CBDO         | CORP              | KY        |   2300000 | PA      | $2300434.70   | 0.02%             | 2037-11-26      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| OnDeck Asset Securitization Trust IV LLC             | OnDeck Asset Securitization Trust LLC, Series 2023-1A, Class A                   | CUSIP: 67108SAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5850000 | PA      | $5914776.47   | 0.05%             | 2030-08-19      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                      | NYMT Loan Trust, Series 2024-BPL3, Class A1                                      | CUSIP: 67119RAA5<br>LEI: 254900Q6RDCV3HGA6340 | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7011021.50   | 0.06%             | 2039-09-25      | Variable      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                            | OBX Trust, Series 2020-EXP3, Class 2A1                                           | CUSIP: 67448WBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295068 | PA      | $294205.01    | 0.00%             | 2060-01-25      | Floating      | 4.97%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2023-1A, Class A                                | CUSIP: 67571BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    164495 | PA      | $164637.11    | 0.00%             | 2029-05-21      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2023-1A, Class B                                | CUSIP: 67571BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6348000 | PA      | $6379115.99   | 0.05%             | 2029-07-20      | Fixed         | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-1A, Class A2                               | CUSIP: 67571FAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6426995 | PA      | $6474793.75   | 0.05%             | 2030-05-20      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Octagon Investment Partners 18-R Ltd.                | Octagon Investment Partners Ltd., Series 2018-18A, Class A1A                     | CUSIP: 67576FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    419411 | PA      | $419294.49    | 0.00%             | 2031-04-16      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2021-2A, Class B                                | CUSIP: 67578AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1421902 | PA      | $1417253.28   | 0.01%             | 2028-09-20      | Fixed         | 2.02%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2022-2A, Class D                                | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9274471.20   | 0.08%             | 2030-02-20      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-2A, Class B                                | CUSIP: 67578YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2032522.40   | 0.02%             | 2032-07-20      | Fixed         | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2024-2A, Class C                                | CUSIP: 67578YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2555936.75   | 0.02%             | 2032-07-20      | Fixed         | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                             | Octane Receivables Trust, Series 2025-1A, Class A2                               | CUSIP: 67580EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4498771.05   | 0.04%             | 2031-02-20      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2021-B, Class B                                   | CUSIP: 68377GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1347395 | PA      | $1322577.32   | 0.01%             | 2031-05-08      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Oportun Funding Trust                                | Oportun Funding Trust, Series 2024-3, Class A                                    | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3365149 | PA      | $3361771.92   | 0.03%             | 2029-08-15      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class A                                   | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15000000 | PA      | $14999749.50  | 0.13%             | 2033-02-08      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class B                                   | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4500000 | PA      | $4500130.50   | 0.04%             | 2033-02-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-A, Class C                                   | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7000000 | PA      | $7001568.70   | 0.06%             | 2033-02-08      | Fixed         | 5.89%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2021-C, Class A                                   | CUSIP: 68377WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7099352 | PA      | $6972211.48   | 0.06%             | 2031-10-08      | Fixed         | 2.18%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-B, Class A                                   | CUSIP: 68378QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5015733.50   | 0.04%             | 2033-05-09      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-C, Class B                                   | CUSIP: 68378RAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10500000 | PA      | $10485054.30  | 0.09%             | 2033-07-08      | Fixed         | 4.93%                 | Yes           |                  2 | On Loan: No      |
| Oportun Issuance Trust                               | Oportun Issuance Trust, Series 2025-C, Class C                                   | CUSIP: 68378RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4250000 | PA      | $4233804.10   | 0.04%             | 2033-07-08      | Fixed         | 5.18%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A2                         | CUSIP: 69392BAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5031560 | PA      | $5041399.69   | 0.04%             | 2027-04-20      | Fixed         | 4.74%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-2A, Class A3                         | CUSIP: 69392BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3518732.70   | 0.03%             | 2031-10-20      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2025-1A, Class A2                         | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17740000 | PA      | $17847749.21  | 0.15%             | 2028-10-20      | Fixed         | 4.94%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2025-1A, Class A3                         | CUSIP: 69392HAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5098044.00   | 0.04%             | 2032-07-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| PRM5 Trust                                           | PRM5 Trust, Series 2025-PRM5, Class A                                            | CUSIP: 693980AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4655000 | PA      | $4648714.35   | 0.04%             | 2033-03-10      | Variable      | 4.62%                 | Yes           |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                       | PEAC Solutions Receivables LLC, Series 2024-1A, Class A2                         | CUSIP: 69433BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7089548 | PA      | $7144466.78   | 0.06%             | 2027-06-21      | Fixed         | 5.79%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2024-3A, Class A1                        | CUSIP: 69690EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10054541 | PA      | $10054571.15  | 0.08%             | 2032-08-08      | Floating      | 4.94%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2023-2A, Class A1R                       | CUSIP: 69703FAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8405209 | PA      | $8404712.93   | 0.07%             | 2032-01-25      | Floating      | 4.91%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                      | Palmer Square Loan Funding Ltd., Series 2025-1A, Class A1                        | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  19255029 | PA      | $19176583.59  | 0.16%             | 2033-02-15      | Floating      | 4.65%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                      | Post Road Equipment Finance LLC, Series 2024-1A, Class A2                        | CUSIP: 737473AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5475522 | PA      | $5499258.21   | 0.05%             | 2029-11-15      | Fixed         | 5.59%                 | Yes           |                  2 | On Loan: No      |
| Post Road Equipment Finance LLC                      | Post Road Equipment Finance LLC, Series 2025-1A, Class A2                        | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7459978 | PA      | $7511747.97   | 0.06%             | 2031-05-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| PowerPay Issuance Trust                              | PowerPay Issuance Trust, Series 2024-1A, Class A                                 | CUSIP: 73934RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1784281 | PA      | $1840896.89   | 0.02%             | 2039-02-18      | Fixed         | 6.53%                 | Yes           |                  2 | On Loan: No      |
| PowerPay Issuance Trust                              | PowerPay Issuance Trust, Series 2025-1A, Class A                                 | CUSIP: 73940MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1957099 | PA      | $1963644.85   | 0.02%             | 2041-11-18      | Fixed         | 5.23%                 | Yes           |                  2 | On Loan: No      |
| PRM7 Trust                                           | PRM7 Trust, Series 2025-PRM7, Class A                                            | CUSIP: 74290HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24320000 | PA      | $24070907.26  | 0.20%             | 2042-11-10      | Variable      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2024-SFR2, Class C                            | CUSIP: 74290XAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14000000 | PA      | $13361461.40  | 0.11%             | 2041-04-17      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2024-SFR3, Class C                            | CUSIP: 74331VAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8500000 | PA      | $8120281.20   | 0.07%             | 2041-06-17      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2024-SFR5, Class A                            | CUSIP: 74332HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15634103 | PA      | $14894120.21  | 0.12%             | 2029-08-09      | Fixed         | 3.00%                 | 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        |   7223577 | PA      | $7111645.23   | 0.06%             | 2038-07-17      | Fixed         | 1.52%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR6, Class B                            | CUSIP: 74333HAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  17500000 | PA      | $17220183.75  | 0.14%             | 2038-07-17      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR9, Class B                            | CUSIP: 74333QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4705910.50   | 0.04%             | 2040-11-17      | Fixed         | 2.26%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR8, Class B                            | CUSIP: 74333TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $8833962.60   | 0.07%             | 2038-10-17      | Fixed         | 1.68%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR8, Class E1                           | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4650000 | PA      | $4560020.64   | 0.04%             | 2038-10-17      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                 | Progress Residential, Series 2021-SFR3, Class B                                  | CUSIP: 74333VAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16067000 | PA      | $15878930.94  | 0.13%             | 2026-05-17      | Fixed         | 1.89%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential                                 | Progress Residential, Series 2021-SFR3, Class E1                                 | CUSIP: 74333VAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1777896.36   | 0.01%             | 2026-05-17      | Fixed         | 2.54%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2021-SFR10, Class B                           | CUSIP: 74333WAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4177760 | PA      | $3979257.26   | 0.03%             | 2040-12-17      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2022-SFR6, Class B                            | CUSIP: 74334DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4013232.40   | 0.03%             | 2039-07-20      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2025-SFR6, Class A                            | CUSIP: 74334EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7150000 | PA      | $6982656.40   | 0.06%             | 2042-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2025-SFR6, Class C                            | CUSIP: 74334EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8338000 | PA      | $7999215.39   | 0.07%             | 2042-09-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2024-SFR4, Class A                            | CUSIP: 74334JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  30604800 | PA      | $29320931.50  | 0.25%             | 2041-07-17      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                           | Progress Residential Trust, Series 2025-SFR5, Class A                            | CUSIP: 74334RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8980000 | PA      | $8726940.01   | 0.07%             | 2042-10-17      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Purewest ABS Issuer LLC                              | Purewest ABS Issuer LLC, Series 2025-1, Class A1                                 | CUSIP: 74628AAA2<br>LEI: 254900N011GHBESCKS35 | Long             | ABS-O            | CORP              | US        |  18366685 | PA      | $18611090.15  | 0.16%             | 2040-04-05      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Quanta Services, Inc.                                | Quanta Services, Inc.                                                            | CUSIP: 74762EAK8<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |  12175000 | PA      | $12299996.95  | 0.10%             | 2027-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ROCK Trust                                           | ROCK Trust, Series 2024-CNTR, Class A                                            | CUSIP: 74970WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16000000 | PA      | $16502094.40  | 0.14%             | 2041-11-13      | Fixed         | 5.39%                 | Yes           |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                             | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDS0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |   9495000 | PA      | $9788167.43   | 0.08%             | 2029-02-28      | Variable      | 5.56%                 | Yes           |                  2 | On Loan: No      |
| Reach ABS Trust                                      | Reach ABS Trust, Series 2025-1A, Class A                                         | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2839169 | PA      | $2846579.50   | 0.02%             | 2032-08-16      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Regional Management Issuance Trust                   | Regional Management Issuance Trust, Series 2021-2, Class A                       | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8103000 | PA      | $7833666.81   | 0.07%             | 2033-08-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2024-B, Class A                          | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14486000 | PA      | $14774288.78  | 0.12%             | 2037-11-20      | Fixed         | 5.42%                 | Yes           |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                      | Republic Finance Issuance Trust, Series 2021-A, Class B                          | CUSIP: 76042UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2631581 | PA      | $2617346.86   | 0.02%             | 2031-12-22      | Fixed         | 2.80%                 | Yes           |                  2 | On Loan: No      |
| Roc Mortgage Trust                                   | Roc Mortgage Trust, Series 2025-RTL1, Class A1                                   | CUSIP: 77119RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3080000 | PA      | $3094565.94   | 0.03%             | 2040-02-25      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                    | NatWest Group plc                                                                | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |  13000000 | PA      | $13028483.52  | 0.11%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78016HZX1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  21930000 | PA      | $22070578.98  | 0.19%             | 2027-07-23      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78017DAF5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  28810000 | PA      | $29062030.74  | 0.24%             | 2028-03-27      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Royal Bank of Canada                                 | Royal Bank of Canada                                                             | CUSIP: 78017FZS5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |  23060000 | PA      | $23272460.77  | 0.20%             | 2028-10-18      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2024-1A, Class A3                              | CUSIP: 783896AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7073000 | PA      | $7194486.56   | 0.06%             | 2032-01-20      | Fixed         | 5.52%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2023-1A, Class A3                              | CUSIP: 784024AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2083717 | PA      | $2110720.26   | 0.02%             | 2032-05-20      | Fixed         | 6.17%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-A, Class A4                                   | CUSIP: 78414SAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4019540.00   | 0.03%             | 2029-01-22      | Fixed         | 5.24%                 | Yes           |                  2 | On Loan: No      |
| Stonepeak ABS                                        | Stonepeak ABS, Series 2021-1A                                                    | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3047774 | PA      | $2966743.96   | 0.02%             | 2033-02-28      | Fixed         | 2.30%                 | Yes           |                  3 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2025-1A, Class A2                              | CUSIP: 78437DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4321125 | PA      | $4334388.40   | 0.04%             | 2030-07-22      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust                          | SBNA Auto Receivables Trust, Series 2024-A, Class D                              | CUSIP: 78437PAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2048417.20   | 0.02%             | 2030-04-15      | Fixed         | 6.04%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-B, Class A3                                   | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1376436 | PA      | $1383987.84   | 0.01%             | 2027-11-22      | Fixed         | 5.56%                 | Yes           |                  2 | On Loan: No      |
| SBNA Auto Lease Trust                                | SBNA Auto Lease Trust, Series 2024-B, Class A4                                   | CUSIP: 78437VAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9000000 | PA      | $9104692.50   | 0.08%             | 2028-12-20      | Fixed         | 5.55%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2025-2A, Class A3                              | CUSIP: 78439XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5400000 | PA      | $5411982.60   | 0.05%             | 2036-06-20      | Fixed         | 4.33%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                            | SCF Equipment Leasing LLC, Series 2025-2A, Class B                               | CUSIP: 78439XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10990000 | PA      | $10981225.58  | 0.09%             | 2036-06-20      | Fixed         | 4.51%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                      | Santander UK Group Holdings plc                                                  | CUSIP: 80281LAX3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |  13625000 | PA      | $13640011.62  | 0.11%             | 2029-09-22      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-3, Class C                   | CUSIP: 80285UAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9591983 | PA      | $9593702.72   | 0.08%             | 2029-08-15      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-3, Class C                   | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4074403.20   | 0.03%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-4, Class C                   | CUSIP: 80286FAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  18721846 | PA      | $18808030.55  | 0.16%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-5, Class C                   | CUSIP: 80286PAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6750000 | PA      | $7006815.90   | 0.06%             | 2031-02-18      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-2, Class D                   | CUSIP: 80286YAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4836256.76   | 0.04%             | 2031-08-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-6, Class B                   | CUSIP: 80287DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2536450.25   | 0.02%             | 2029-04-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-5, Class D                   | CUSIP: 80287HAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16625000 | PA      | $16772659.93  | 0.14%             | 2030-12-16      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-2, Class B                   | CUSIP: 80287NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8840000 | PA      | $8934030.20   | 0.07%             | 2031-05-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-2, Class D                   | CUSIP: 80287NAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3800000 | PA      | $3857558.22   | 0.03%             | 2031-05-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class B                   | CUSIP: 80288DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3900000 | PA      | $3928868.97   | 0.03%             | 2031-03-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class C                   | CUSIP: 80288DAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4600000 | PA      | $4660627.54   | 0.04%             | 2031-03-17      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-1, Class D                   | CUSIP: 80288DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7234000 | PA      | $7341803.96   | 0.06%             | 2031-03-17      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2023-B, Class D                  | CUSIP: 80290CCD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1518777 | PA      | $1542241.07   | 0.01%             | 2033-12-15      | Fixed         | 6.66%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class A2                 | CUSIP: 80290CCH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1736788 | PA      | $1770413.21   | 0.01%             | 2032-06-15      | Fixed         | 5.61%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class B                  | CUSIP: 80290CCJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2718623 | PA      | $2757059.61   | 0.02%             | 2032-06-15      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class C                  | CUSIP: 80290CCK8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6626643 | PA      | $6711602.19   | 0.06%             | 2032-06-15      | Fixed         | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes              | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class D                  | CUSIP: 80290CCL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2038967 | PA      | $2063904.96   | 0.02%             | 2032-06-15      | Fixed         | 6.11%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2022-6, Class D                   | CUSIP: 802918AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10600000 | PA      | $10675814.38  | 0.09%             | 2031-02-18      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-4, Class B                   | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    817000 | PA      | $822148.73    | 0.01%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2024-5, Class C                   | CUSIP: 802920AF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2249000 | PA      | $2266166.39   | 0.02%             | 2031-01-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2025-4, Class C                   | CUSIP: 802923AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5012010.00   | 0.04%             | 2032-01-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-4, Class B                   | CUSIP: 802927AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7291000 | PA      | $7362382.54   | 0.06%             | 2028-12-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust               | Santander Drive Auto Receivables Trust, Series 2023-4, Class C                   | CUSIP: 802927AF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14925000 | PA      | $15307747.15  | 0.13%             | 2031-12-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2024-2A, Class A                | CUSIP: 82650DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5391432 | PA      | $5484427.56   | 0.05%             | 2041-06-20      | Fixed         | 5.14%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2025-3A, Class A                | CUSIP: 82650FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5866895 | PA      | $5887757.22   | 0.05%             | 2044-08-22      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class B                | CUSIP: 82650TAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309379 | PA      | $310150.17    | 0.00%             | 2040-06-20      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-2A, Class C                | CUSIP: 82650TAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309379 | PA      | $312418.14    | 0.00%             | 2040-06-20      | Fixed         | 6.36%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class A                | CUSIP: 82652QAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    411924 | PA      | $410961.86    | 0.00%             | 2037-11-20      | Fixed         | 0.99%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class B                | CUSIP: 82652QAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253315 | PA      | $252739.52    | 0.00%             | 2037-11-20      | Fixed         | 1.34%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2021-1A, Class C                | CUSIP: 82652QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    225179 | PA      | $224673.00    | 0.00%             | 2037-11-20      | Fixed         | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2025-1A, Class A                | CUSIP: 82653CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3521194 | PA      | $3551092.35   | 0.03%             | 2042-01-21      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC             | Sierra Timeshare Receivables Funding LLC, Series 2022-3A, Class B                | CUSIP: 826934AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    603220 | PA      | $614665.15    | 0.01%             | 2039-07-20      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                     | Skandinaviska Enskilda Banken AB                                                 | CUSIP: 830505BB8<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |  15980000 | PA      | $16558357.75  | 0.14%             | 2029-03-05      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2059000 | PA      | $2030804.67   | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RBQ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  31760000 | PA      | $31825325.87  | 0.27%             | 2027-01-12      | Variable      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                  | Societe Generale SA                                                              | CUSIP: 83368RCH3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |  30415000 | PA      | $31015377.80  | 0.26%             | 2029-05-22      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Southwick Park CLO LLC                               | Southwick Park CLO LLC, Series 2019-4A, Class A1RR                               | CUSIP: 846031AU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4284062 | PA      | $4281080.08   | 0.04%             | 2032-07-20      | Floating      | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                               | Standard Chartered plc                                                           | CUSIP: 853254DB3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |  33120000 | PA      | $33780412.80  | 0.28%             | 2028-05-14      | Variable      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Street Capital Group, Inc.                           | Street Capital Group, Inc.                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | CA        |  10200287 | PA      | $10200287.43  | 0.09%             | 2030-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Stream Innovations Issuer Trust                      | Stream Innovations Issuer Trust, Series 2024-2A, Class A                         | CUSIP: 86324EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3498614 | PA      | $3548346.22   | 0.03%             | 2045-02-15      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Stream Innovations Issuer Trust                      | Stream Innovations Issuer Trust, Series 2025-1A, Class A                         | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11867095 | PA      | $11996946.06  | 0.10%             | 2045-09-15      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: No      |
| Sumitomo Mitsui Trust Bank Ltd.                      | Sumitomo Mitsui Trust Bank Ltd.                                                  | CUSIP: 86563VBT5<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |  23220000 | PA      | $23419419.63  | 0.20%             | 2027-09-10      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XVI Ltd.                                | Symphony CLO Ltd., Series 2015-16A, Class ARR                                    | CUSIP: 87165VAX7<br>LEI: 5493004PWOYFPAFQVT02 | Long             | ABS-CBDO         | CORP              | KY        |   7968131 | PA      | $7966386.02   | 0.07%             | 2031-10-15      | Floating      | 5.10%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XIX Ltd.                                | Symphony CLO Ltd., Series 2018-19A, Class A                                      | CUSIP: 87165YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    920574 | PA      | $920570.43    | 0.01%             | 2031-04-16      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XX Ltd.                                 | Symphony CLO Ltd., Series 2018-20A, Class AR2                                    | CUSIP: 87166VAW8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10639578 | PA      | $10645919.34  | 0.09%             | 2032-01-16      | Floating      | 4.99%                 | Yes           |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                              | Symphony CLO Ltd., Series 2020-23A, Class AR2                                    | CUSIP: 87167NDL6<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |  15955172 | PA      | $15944673.54  | 0.13%             | 2034-01-15      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| TCI-Symphony CLO Ltd.                                | TCI-Symphony CLO Ltd., Series 2016-1A, Class AR2                                 | CUSIP: 87229WAQ4<br>LEI: 5493005WLG3H3B8NI222 | Long             | ABS-CBDO         | CORP              | KY        |   2088517 | PA      | $2090839.89   | 0.02%             | 2032-10-13      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd.                                | TCI-Flatiron CLO Ltd., Series 2018-1A, Class AR2                                 | CUSIP: 87232CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10375100 | PA      | $10370669.72  | 0.09%             | 2035-07-29      | Floating      | 4.79%                 | Yes           |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                   | T-Mobile USA, Inc.                                                               | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |  17770000 | PA      | $17320385.24  | 0.15%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Take-Two Interactive Software, Inc.                  | Take-Two Interactive Software, Inc.                                              | CUSIP: 874054AM1<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1741082.83   | 0.01%             | 2029-06-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC      | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A2         | CUSIP: 88162VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5007834.00   | 0.04%             | 2028-06-20      | Fixed         | 4.14%                 | Yes           |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC      | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A3         | CUSIP: 88162VAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10140000 | PA      | $10190850.07  | 0.09%             | 2028-11-20      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| Tesla Lease Electric Vehicle Securitization LLC      | Tesla Lease Electric Vehicle Securitization LLC, Series 2025-A, Class A4         | CUSIP: 88162VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2800000 | PA      | $2815145.20   | 0.02%             | 2029-05-21      | Fixed         | 4.37%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2024-A, Class A3                                  | CUSIP: 88166VAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9644075 | PA      | $9675651.35   | 0.08%             | 2027-06-21      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Tesla Auto Lease Trust                               | Tesla Auto Lease Trust, Series 2024-B, Class A3                                  | CUSIP: 881934AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7666000 | PA      | $7697627.62   | 0.06%             | 2027-10-20      | Fixed         | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Toorak Mortgage Trust                                | Toorak Mortgage Trust, Series 2025-RRTL1, Class A1                               | CUSIP: 89053JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13600000 | PA      | $13689218.72  | 0.11%             | 2040-02-25      | Variable      | 5.52%                 | Yes           |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                      | CUSIP: 89115A3E0<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  21905000 | PA      | $22287524.61  | 0.19%             | 2028-01-31      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| Toronto-Dominion Bank (The)                          | Toronto-Dominion Bank (The)                                                      | CUSIP: 89115KAD2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |  27260000 | PA      | $27616495.10  | 0.23%             | 2028-06-02      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Trans-Allegheny Interstate Line Co.                  | Trans-Allegheny Interstate Line Co.                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5675000 | PA      | $5846969.70   | 0.05%             | 2031-01-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2021-SFR1, Class A                              | CUSIP: 89614YAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1790860 | PA      | $1763052.33   | 0.01%             | 2038-07-17      | Fixed         | 1.94%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2021-SFR1, Class B                              | CUSIP: 89614YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4039822.25   | 0.03%             | 2038-07-17      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                             | Tricon Residential Trust, Series 2024-SFR2, Class A                              | CUSIP: 89616VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11359032 | PA      | $11412890.90  | 0.10%             | 2040-06-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   8594000 | PA      | $8605872.78   | 0.07%             | 2027-01-12      | Variable      | 5.71%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                         | UBS Group AG                                                                     | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   9645000 | PA      | $10098934.88  | 0.08%             | 2030-09-13      | Variable      | 5.62%                 | Yes           |                  2 | On Loan: No      |
| UPG HI Issuer Trust                                  | UPG HI Issuer Trust, Series 2025-2, Class A                                      | CUSIP: 90321EAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11021582.00  | 0.09%             | 2047-09-25      | Fixed         | 5.00%                 | Yes           |                  3 | On Loan: No      |
| US Bank NA                                           | US Bank NA, Series 2023-1, Class B                                               | CUSIP: 90357PAV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8265294 | PA      | $8353317.13   | 0.07%             | 2032-08-25      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bills                                                              | CUSIP: 912797RG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        | 722355000 | PA      | $704827084.82 | 5.91%             | 2026-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Bills                                                              | CUSIP: 912797RH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  16906000 | PA      | $16838170.25  | 0.14%             | 2026-01-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CAD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19020000 | PA      | $18056369.58  | 0.15%             | 2027-07-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 124000000 | PA      | $117136406.56 | 0.98%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9435000 | PA      | $8966935.50   | 0.08%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17000000 | PA      | $16810078.04  | 0.14%             | 2027-04-30      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3085000 | PA      | $3119826.75   | 0.03%             | 2027-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGA3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5360000 | PA      | $5359921.37   | 0.04%             | 2025-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3835000 | PA      | $3834947.58   | 0.03%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CGL9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    983000 | PA      | $983364.78    | 0.01%             | 2026-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 152780000 | PA      | $154045209.38 | 1.29%             | 2027-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31005000 | PA      | $31384084.49  | 0.26%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  67785000 | PA      | $68682621.85  | 0.58%             | 2027-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55460000 | PA      | $56183579.96  | 0.47%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 159665000 | PA      | $159247126.36 | 1.34%             | 2027-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  24320000 | PA      | $24598349.94  | 0.21%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CMB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  55805000 | PA      | $56349970.42  | 0.47%             | 2027-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  50070000 | PA      | $50826917.70  | 0.43%             | 2028-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  28545000 | PA      | $28889547.00  | 0.24%             | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15365700 | PA      | $15412517.44  | 0.13%             | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 437600000 | PA      | $441770875.00 | 3.71%             | 2028-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7955000 | PA      | $7997571.66   | 0.07%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 210090000 | PA      | $209433468.75 | 1.76%             | 2028-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CPE5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 186120000 | PA      | $186076377.19 | 1.56%             | 2027-10-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                             | U.S. Treasury Notes                                                              | CUSIP: 91282CPK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 187659000 | PA      | $187702983.52 | 1.57%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Upgrade Receivables Trust                            | Upgrade Receivables Trust, Series 2024-1A, Class A                               | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    685585 | PA      | $685855.21    | 0.01%             | 2031-02-18      | Fixed         | 5.37%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2025-4, Class A2                            | CUSIP: 91684AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  24744000 | PA      | $24743406.14  | 0.21%             | 2035-11-20      | Fixed         | 4.56%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2025-3, Class A2                            | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10900000 | PA      | $10908416.98  | 0.09%             | 2035-09-20      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Upstart Securitization Trust                         | Upstart Securitization Trust, Series 2025-1, Class A                             | CUSIP: 91684PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11820270 | PA      | $11891368.83  | 0.10%             | 2035-04-20      | Fixed         | 5.45%                 | 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        |   1519424 | PA      | $1519109.03   | 0.01%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Verdant Receivables LLC                              | Verdant Receivables LLC, Series 2024-1A, Class A2                                | CUSIP: 92339MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3555403 | PA      | $3621985.67   | 0.03%             | 2031-12-12      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Verdant Receivables LLC                              | Verdant Receivables LLC, Series 2025-1A, Class A3                                | CUSIP: 92340GAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11300000 | PA      | $11518484.37  | 0.10%             | 2033-05-12      | Fixed         | 4.96%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2023-1, Class B                             | CUSIP: 924933AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3014082 | PA      | $3026968.40   | 0.03%             | 2028-11-15      | Fixed         | 7.17%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2023-1, Class C                             | CUSIP: 924933AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1531597.05   | 0.01%             | 2028-11-15      | Fixed         | 8.32%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2025-1, Class A                             | CUSIP: 92511BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2944941 | PA      | $2954016.62   | 0.02%             | 2028-09-15      | Fixed         | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Veros Auto Receivables Trust                         | Veros Auto Receivables Trust, Series 2024-1, Class A                             | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    582064 | PA      | $583811.79    | 0.00%             | 2027-11-15      | Fixed         | 6.28%                 | Yes           |                  2 | On Loan: No      |
| VFI ABS LLC                                          | VFI ABS LLC, Series 2023-1A, Class A                                             | CUSIP: 92555QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    391684 | PA      | $392767.47    | 0.00%             | 2029-03-26      | Fixed         | 7.27%                 | Yes           |                  2 | On Loan: No      |
| Virginia Power Fuel Securitization LLC               | Virginia Power Fuel Securitization LLC, Series A-1                               | CUSIP: 92808VAA0<br>LEI: 254900BELJ95ONW6U791 | Long             | DBT              | CORP              | US        |   1964797 | PA      | $1978668.71   | 0.02%             | 2027-05-01      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| Visio Trust                                          | Visio Trust, Series 2019-2, Class A1                                             | CUSIP: 92837DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205393 | PA      | $204005.63    | 0.00%             | 2054-11-25      | Variable      | 2.72%                 | Yes           |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAV4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   4875000 | PA      | $4864620.15   | 0.04%             | 2030-10-15      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC              | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CN0<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  20000000 | PA      | $20157509.40  | 0.17%             | 2027-03-25      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC              | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |  18545000 | PA      | $18595135.29  | 0.16%             | 2027-09-11      | Fixed         | 4.45%                 | 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        |   1151356 | PA      | $1151295.08   | 0.01%             | 2051-03-27      | Variable      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| VOLT CI LLC                                          | VOLT CI LLC, Series 2021-NP10, Class A1                                          | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    253241 | PA      | $253152.75    | 0.00%             | 2051-05-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| VOLT CIII LLC                                        | VOLT CIII LLC, Series 2021-CF1, Class A1                                         | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5943565 | PA      | $5948189.33   | 0.05%             | 2051-08-25      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                        | Volvo Financial Equipment LLC, Series 2024-1A, Class A3                          | CUSIP: 92887QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11818000 | PA      | $11858152.84  | 0.10%             | 2028-10-16      | Fixed         | 4.29%                 | Yes           |                  2 | On Loan: No      |
| Volvo Financial Equipment LLC                        | Volvo Financial Equipment LLC, Series 2025-1A, Class A3                          | CUSIP: 92887TAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8108000 | PA      | $8171072.13   | 0.07%             | 2029-05-15      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Voya CLO Ltd.                                        | Voya CLO Ltd., Series 2018-1A, Class A2                                          | CUSIP: 92917AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4500000 | PA      | $4504000.50   | 0.04%             | 2031-04-19      | Floating      | 5.45%                 | Yes           |                  2 | On Loan: No      |
| VStrong Auto Receivables Trust                       | VStrong Auto Receivables Trust, Series 2023-A, Class B                           | CUSIP: 92920CAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4709651 | PA      | $4788388.78   | 0.04%             | 2030-02-15      | Fixed         | 7.11%                 | Yes           |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14645000 | PA      | $14538741.01  | 0.12%             | 2028-03-24      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  14025000 | PA      | $14176025.55  | 0.12%             | 2028-07-25      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  16450000 | PA      | $17048908.97  | 0.14%             | 2029-07-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   7920000 | PA      | $8386391.69   | 0.07%             | 2029-10-23      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3L5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  23760000 | PA      | $24265802.40  | 0.20%             | 2028-04-22      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                    | Wells Fargo & Co.                                                                | CUSIP: 95000U3T8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  22970000 | PA      | $23420609.84  | 0.20%             | 2029-04-23      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2017-C41, Class A2                 | CUSIP: 95001ABA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1135935 | PA      | $1112323.14   | 0.01%             | 2050-11-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE, Class A                 | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2673306 | PA      | $2675680.37   | 0.02%             | 2040-02-15      | Floating      | 5.32%                 | Yes           |                  2 | On Loan: No      |
| Western Funding Auto Loan Trust                      | Western Funding Auto Loan Trust, Series 2025-1, Class A                          | CUSIP: 958250AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8635000 | PA      | $8696112.49   | 0.07%             | 2035-07-16      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-2A, Class D                   | CUSIP: 959926AG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7072000 | PA      | $7198791.06   | 0.06%             | 2028-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2024-1A, Class A                                    | CUSIP: 96034KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5784051 | PA      | $5875283.76   | 0.05%             | 2038-01-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Westgate Resorts LLC                                 | Westgate Resorts LLC, Series 2024-1A, Class B                                    | CUSIP: 96034KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4177370 | PA      | $4244658.66   | 0.04%             | 2038-01-20      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-4A, Class C                   | CUSIP: 96041AAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5106038.00   | 0.04%             | 2028-11-15      | Fixed         | 6.64%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-3A, Class B                   | CUSIP: 96041CAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  11000000 | PA      | $11030792.30  | 0.09%             | 2028-09-15      | Fixed         | 5.92%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-3A, Class C                   | CUSIP: 96041CAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6400000 | PA      | $6473553.92   | 0.05%             | 2028-09-15      | Fixed         | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2023-1A, Class D                   | CUSIP: 96042XAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3579758.35   | 0.03%             | 2028-11-15      | Fixed         | 6.79%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2024-3A, Class C                   | CUSIP: 96043CAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6845350.56   | 0.06%             | 2029-11-15      | Fixed         | 4.92%                 | Yes           |                  2 | On Loan: No      |
| Westlake Flooring Master Trust                       | Westlake Flooring Master Trust, Series 2024-1A, Class A                          | CUSIP: 96043GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7750000 | PA      | $7768344.25   | 0.07%             | 2028-02-15      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Westlake Flooring Master Trust                       | Westlake Flooring Master Trust, Series 2024-1A, Class B                          | CUSIP: 96043GAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10825000 | PA      | $10854488.38  | 0.09%             | 2028-02-15      | Fixed         | 6.07%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2025-3A, Class C                   | CUSIP: 96043QAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4800000 | PA      | $4813591.20   | 0.04%             | 2031-07-15      | Fixed         | 4.68%                 | Yes           |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                | Westlake Automobile Receivables Trust, Series 2025-1A, Class D                   | CUSIP: 96043VAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2750000 | PA      | $2793845.73   | 0.02%             | 2030-11-15      | Fixed         | 5.54%                 | Yes           |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                             | Westpac New Zealand Ltd.                                                         | CUSIP: 96122FAA5<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |   8935000 | PA      | $9103900.00   | 0.08%             | 2028-02-15      | Fixed         | 4.90%                 | Yes           |                  2 | On Loan: No      |
| Westpac New Zealand Ltd.                             | Westpac New Zealand Ltd.                                                         | CUSIP: 96122FAB3<br>LEI: 549300MW73M5PK1PNG73 | Long             | DBT              | CORP              | NZ        |  10695000 | PA      | $10842263.31  | 0.09%             | 2027-02-26      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Wheels Fleet Lease Funding LLC                       | Wheels Fleet Lease Funding LLC, Series 2024-1A, Class A1                         | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-O            | CORP              | US        |   8205601 | PA      | $8297865.81   | 0.07%             | 2039-02-18      | Fixed         | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Wingspire Equipment Finance LLC                      | Wingspire Equipment Finance LLC, Series 2024-1A, Class A2                        | CUSIP: 97415AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   9564128 | PA      | $9613629.36   | 0.08%             | 2032-09-20      | Fixed         | 4.99%                 | Yes           |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust     | World Omni Automobile Lease Securitization Trust, Series 2025-A, Class A3        | CUSIP: 98164PAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8050000 | PA      | $8107876.28   | 0.07%             | 2028-04-17      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                  | U.S. Treasury 5 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -4356 | NC      | $-607106.44   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 2 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     11896 | NC      | $-203350.22   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Note                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     -1491 | NC      | $-357360.26   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury Long Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -111 | NC      | $-101648.47   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury 10 Year Ultra Note                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -811 | NC      | $-376219.66   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                  | U.S. Treasury Ultra Bond                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-908.02      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer