# EDGAR Filing Document

**Accession Number:** 0001303608
**File Stem:** 0001752724-23-016729
**Filing Date:** 2023-1
**Character Count:** 1271637
**Document Hash:** 3693a9454b514083a4ee4e87d4d2838d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016729.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016729

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMorgan Institutional Trust
- **CENTRAL INDEX KEY:** 0001303608
- **IRS NUMBER:** 201491791
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21638
- **FILM NUMBER:** 23563121

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

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

## Series and Classes Contracts Data

### JPMorgan Core Bond Trust (Series ID: S000007337)

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

## Nport-Ex

**JPMorgan Core Bond Trust**

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

**(Unaudited)** 

---

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

---

------

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

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL** <br>**AMOUNT** <br>**($000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **U.S. Treasury Obligations — 28.2%** | **U.S. Treasury Obligations — 28.2%** | **U.S. Treasury Obligations — 28.2%** |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 2/15/2038 | 447 | 480 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/15/2039 | 961 | 925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 5/15/2039 | 3300 | 3478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.13%, 5/15/2040 | 11555 | 7394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/15/2040 | 11000 | 11718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 8/15/2040 | 21115 | 21057 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2041 | 7095 | 5127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 5/15/2041 | 18355 | 14104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 8/15/2041 | 980 | 684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2041 | 1160 | 845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 2/15/2042 | 26895 | 20922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 11/15/2042 | &nbsp;&nbsp;&nbsp; 3800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 8/15/2043 | &nbsp;&nbsp;&nbsp; 5214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4915 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 238 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2044 | &nbsp;&nbsp;&nbsp; 8200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 8/15/2045 | &nbsp;&nbsp;&nbsp; 2795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2046 | 13193 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9581 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 548 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/15/2048 | &nbsp;&nbsp;&nbsp; 3757 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3245 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 8/15/2049 | &nbsp;&nbsp;&nbsp; 8965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 11/15/2049 | &nbsp;&nbsp;&nbsp; 3700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/15/2050 | &nbsp;&nbsp;&nbsp; 5329 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3640 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 5/15/2050 | &nbsp;&nbsp;&nbsp; 6152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 8/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 326 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/15/2050 | &nbsp;&nbsp;&nbsp; 8800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2051 | 18386 | &nbsp;&nbsp;&nbsp;&nbsp; 12124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/2051 | 16100 | &nbsp;&nbsp;&nbsp;&nbsp; 10942 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 11/15/2051 | &nbsp;&nbsp;&nbsp; 7225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/15/2052 | 13625 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2052 | &nbsp;&nbsp;&nbsp; 2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2052 | 16975 | &nbsp;&nbsp;&nbsp;&nbsp; 14535 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Inflation Indexed Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 799 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 439 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 4/30/2025 | 17212 | &nbsp;&nbsp;&nbsp;&nbsp; 16677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 5/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 338 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 12/31/2025 | 10000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 1/31/2026 | &nbsp;&nbsp;&nbsp; 1840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1641 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 2/28/2026 | &nbsp;&nbsp;&nbsp; 7870 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7027 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/28/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 4/30/2026 | &nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1013 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 6/30/2026 | &nbsp;&nbsp;&nbsp; 3195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2864 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.88%, 9/30/2026 | 21887 | &nbsp;&nbsp;&nbsp;&nbsp; 19498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 12/31/2026 | &nbsp;&nbsp;&nbsp; 9369 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8610 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 5/31/2027 | 12000 | &nbsp;&nbsp;&nbsp;&nbsp; 11389 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** | **U.S. Treasury Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2027 | 12000 | 11688 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 7/31/2027 | 7950 | 7575 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2027 | 53850 | 52205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.38%, 9/30/2027 | 4690 | 3978 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 1/31/2028 | 4500 | 3854 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/31/2028 | 9800 | 8592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 4/30/2028 | 17110 | 14973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 6/30/2028 | 13470 | 11741 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 7/31/2028 | 9500 | 8146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/31/2029 | 3850 | 3419 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/28/2029 | 12700 | 11364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 4/30/2029 | 30400 | 28809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/31/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2029 | 30000 | &nbsp;&nbsp;&nbsp;&nbsp; 29065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 8/31/2029 | 27735 | &nbsp;&nbsp;&nbsp;&nbsp; 26679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 773 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 8/15/2031 | &nbsp;&nbsp; 1040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 11/15/2031 | &nbsp;&nbsp; 1174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 971 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 2/15/2032 | 27100 | &nbsp;&nbsp;&nbsp;&nbsp; 23336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 5/15/2032 | &nbsp;&nbsp; 5725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 8/15/2032 | 36000 | &nbsp;&nbsp;&nbsp;&nbsp; 33345 |
| &nbsp;&nbsp;&nbsp; U.S. Treasury STRIPS Bonds |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.44%, 2/15/2023 (a) | 23462 | &nbsp;&nbsp;&nbsp;&nbsp; 23263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 8/15/2024 (a) | 10600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9842 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.12%, 5/15/2026 (a) | &nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.86%, 8/15/2026 (a) | &nbsp;&nbsp; 1592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 11/15/2041 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 229 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Treasury Obligations <br>(Cost $686,403)<br>|  | &nbsp;&nbsp;&nbsp; 597410 |
| **Corporate Bonds — 23.0%** | **Corporate Bonds — 23.0%** | **Corporate Bonds — 23.0%** |
| **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** | **Aerospace & Defense — 0.6%** |
| &nbsp;&nbsp;&nbsp; Airbus SE (France) 3.95%, 4/10/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 122 |
| &nbsp;&nbsp;&nbsp; BAE Systems plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 2/15/2031 (b) | &nbsp;&nbsp; 1007 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 9/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp; Boeing Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.17%, 2/4/2023 | &nbsp;&nbsp; 1115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 605 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 599 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 2/4/2026 | &nbsp;&nbsp; 1385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 5/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 298 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 5/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 710 |
| &nbsp;&nbsp;&nbsp; L3Harris Technologies, Inc. 1.80%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 654 |
| &nbsp;&nbsp;&nbsp; Leidos, Inc. 2.30%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 360 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Aerospace & Defense — continued** | **Aerospace & Defense — continued** | **Aerospace & Defense — continued** |
| &nbsp;&nbsp;&nbsp; Raytheon Technologies Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 3/15/2024 | 350 | 344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 6/1/2042 | 2799 | 2587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 5/15/2045 | 543 | 464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 4/15/2047 | 199 | 174 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 13067 |
| **Airlines — 0.0% ^** | **Airlines — 0.0% ^** | **Airlines — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 117 | 111 |
| **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** | **Auto Components — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Lear Corp. 2.60%, 1/15/2032 | 445 | 342 |
| **Automobiles — 0.3%** | **Automobiles — 0.3%** | **Automobiles — 0.3%** |
| &nbsp;&nbsp;&nbsp; Hyundai Capital America  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 10/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 1/8/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 6/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 775 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 2/10/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 355 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 10/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 1/10/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 658 |
| &nbsp;&nbsp;&nbsp; Nissan Motor Co. Ltd. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 9/17/2027 (b) | &nbsp;&nbsp;&nbsp; 2393 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.81%, 9/17/2030 (b) | &nbsp;&nbsp;&nbsp; 1102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 957 |
| &nbsp;&nbsp;&nbsp; Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 785 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 606 |
| &nbsp;&nbsp;&nbsp; Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 378 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 320 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6938 |
| **Banks — 4.4%** | **Banks — 4.4%** | **Banks — 4.4%** |
| &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%, 12/13/2029 <br> (b) (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 649 |
| &nbsp;&nbsp;&nbsp; ANZ New Zealand Int'l Ltd. (New Zealand) 2.55%, 2/13/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 647 |
| &nbsp;&nbsp;&nbsp; Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 263 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 251 |
| &nbsp;&nbsp;&nbsp; Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b) | &nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 961 |
| &nbsp;&nbsp;&nbsp; Banco Santander SA (Spain) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 5/28/2025 | &nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 8/18/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 795 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 3/25/2026 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 881 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 343 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 12/3/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.22%, 11/22/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 447 |
| &nbsp;&nbsp;&nbsp; Bank of America Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.96%), 1.73%, 7/22/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | &nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.58%), 4.38%, 4/27/2028 (c) | &nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) | &nbsp;&nbsp;&nbsp; 6211 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.15%), 2.59%, 4/29/2031 (c) | &nbsp;&nbsp;&nbsp; 1510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.21%), 2.57%, 10/20/2032 (c) | &nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.33%), 2.97%, 2/4/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 356 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.93%), 2.68%, 6/19/2041 (c) | 3685 | 2571 |
| &nbsp;&nbsp;&nbsp; Bank of Ireland Group plc (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (b) (c) | 1343 | 1316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | 755 | 626 |
| &nbsp;&nbsp;&nbsp; Bank of Montreal (Canada) 1.85%, 5/1/2025 | 950 | 888 |
| &nbsp;&nbsp;&nbsp; Banque Federative du Credit Mutuel SA (France) 2.38%, 11/21/2024 (b) | 813 | 768 |
| &nbsp;&nbsp;&nbsp; Barclays plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (c) | 1452 | 1373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026 (c) | 950 | 934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (c) | 585 | 447 |
| &nbsp;&nbsp;&nbsp; BNP Paribas SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 832 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 764 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 1.32%, 1/13/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.22%), 2.16%, 9/15/2029 (b) (c) | &nbsp;&nbsp;&nbsp; 1746 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.51%), 3.05%, 1/13/2031 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 765 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (c) | &nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 873 |
| &nbsp;&nbsp;&nbsp; Citigroup, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/10/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 851 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 11/20/2026 | &nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 1/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 269 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) | &nbsp;&nbsp;&nbsp; 1573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1457 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.17%), 2.56%, 5/1/2032 (c) | &nbsp;&nbsp;&nbsp; 2145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1716 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.18%), 2.52%, 11/3/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.35%), 3.06%, 1/25/2033 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 719 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 591 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.38%), 2.90%, 11/3/2042 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 298 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 357 |
| &nbsp;&nbsp;&nbsp; Cooperatieve Rabobank UA (Netherlands) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 8/4/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 887 |
| &nbsp;&nbsp;&nbsp; Credit Agricole SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/17/2025 (b) | &nbsp;&nbsp;&nbsp; 1250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | &nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.81%, 1/11/2041 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp; Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (b) (c) | &nbsp;&nbsp;&nbsp; 2110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2109 |
| &nbsp;&nbsp;&nbsp; Discover Bank 4.25%, 3/13/2026 | &nbsp;&nbsp;&nbsp; 1205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1148 |
| &nbsp;&nbsp;&nbsp; HSBC Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) | &nbsp;&nbsp;&nbsp; 1054 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1042 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 5/25/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 939 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 3.03%), 7.34%, 11/3/2026 (c) | &nbsp;&nbsp;&nbsp; 1460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1525 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 1.59%, 5/24/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 904 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 2.01%, 9/22/2028 (c) | &nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.29%), 2.21%, 8/17/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.95%), 2.36%, 8/18/2031 (c) | &nbsp;&nbsp;&nbsp; 1160 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 885 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 1/14/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 721 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Huntington National Bank (The) 5.65%, 1/10/2030 | 1972 | 1987 |
| &nbsp;&nbsp;&nbsp; ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (c) | 705 | 622 |
| &nbsp;&nbsp;&nbsp; KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (c) | 225 | 213 |
| &nbsp;&nbsp;&nbsp; Lloyds Banking Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.58%, 12/10/2025 | 400 | 380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (c) | 770 | 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (c) | 980 | 844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 3/22/2028 | 475 | 446 |
| &nbsp;&nbsp;&nbsp; Mitsubishi UFJ Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (c) | 944 | 938 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 7/18/2039 | 760 | 621 |
| &nbsp;&nbsp;&nbsp; Mizuho Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c) | &nbsp;&nbsp;&nbsp; 1057 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 5.41%, 9/13/2028 (c) | &nbsp;&nbsp;&nbsp; 1550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.57%), 2.87%, 9/13/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 <br> (b) (c)<br>| &nbsp;&nbsp;&nbsp; 1025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 861 |
| &nbsp;&nbsp;&nbsp; NatWest Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c) | &nbsp;&nbsp;&nbsp; 1480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1440 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 4/5/2026 | &nbsp;&nbsp;&nbsp; 2010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1959 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 670 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp; NatWest Markets plc (United Kingdom) 1.60%, 9/29/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 435 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp; Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 868 |
| &nbsp;&nbsp;&nbsp; Santander UK Group Holdings plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.75%), 6.83%, 11/21/2026 (c) | &nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.99%), 1.67%, 6/14/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 789 |
| &nbsp;&nbsp;&nbsp; Societe Generale SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 1/17/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (c) | &nbsp;&nbsp;&nbsp; 3947 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 336 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 1/22/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 235 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 188 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 4.03%, 1/21/2043 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 755 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 512 |
| &nbsp;&nbsp;&nbsp; Standard Chartered plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.10%), 7.78%, 11/16/2025 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 414 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp; Sumitomo Mitsui Financial Group, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.44%, 4/2/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 7/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 872 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 7/16/2029 | &nbsp;&nbsp;&nbsp; 1315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1144 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Banks — continued** | **Banks — continued** | **Banks — continued** |
| &nbsp;&nbsp;&nbsp; Swedbank AB (Sweden) 5.34%, 9/20/2027 (b) | 1800 | 1784 |
| &nbsp;&nbsp;&nbsp; Truist Financial Corp. 4.00%, 5/1/2025 | 265 | 260 |
| &nbsp;&nbsp;&nbsp; UniCredit SpA (Italy) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (b) (c) | 905 | 796 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | 665 | 563 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) | 200 | 174 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (b) (c) | 300 | 270 |
| &nbsp;&nbsp;&nbsp; Wells Fargo & Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 11/4/2044 | 1180 | 1023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 6/14/2046 | 300 | 244 |
| &nbsp;&nbsp;&nbsp; Westpac Banking Corp. (Australia) 3.13%, 11/18/2041 | 882 | 574 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 92159 |
| **Beverages — 0.3%** | **Beverages — 0.3%** | **Beverages — 0.3%** |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch Cos. LLC (Belgium) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 2/1/2036 | &nbsp;&nbsp;&nbsp; 2583 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2478 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 2/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp; Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.44%, 10/6/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 685 |
| &nbsp;&nbsp;&nbsp; Coca-Cola Femsa SAB de CV (Mexico) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 1/22/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.85%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 515 |
| &nbsp;&nbsp;&nbsp; Constellation Brands, Inc. 5.25%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | &nbsp;&nbsp;&nbsp; 1060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 752 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5364 |
| **Biotechnology — 0.4%** | **Biotechnology — 0.4%** | **Biotechnology — 0.4%** |
| &nbsp;&nbsp;&nbsp; AbbVie, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/21/2029 | &nbsp;&nbsp;&nbsp; 1832 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/21/2039 | &nbsp;&nbsp;&nbsp; 1809 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 11/6/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 5/14/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp; Amgen, Inc. 3.00%, 1/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 561 |
| &nbsp;&nbsp;&nbsp; Baxalta, Inc. 5.25%, 6/23/2045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp; Biogen, Inc. 2.25%, 5/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502 |
| &nbsp;&nbsp;&nbsp; Gilead Sciences, Inc. 2.60%, 10/1/2040 | &nbsp;&nbsp;&nbsp; 1225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 875 |
| &nbsp;&nbsp;&nbsp; Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | &nbsp;&nbsp;&nbsp; 1270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 998 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7546 |
| **Building Products — 0.0% ^** | **Building Products — 0.0% ^** | **Building Products — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Masco Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 620 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 887 |
| **Capital Markets — 2.0%** | **Capital Markets — 2.0%** | **Capital Markets — 2.0%** |
| &nbsp;&nbsp;&nbsp; Bank of New York Mellon Corp. (The) 2.80%, 5/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp; Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 429 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 358 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp; Blackstone Secured Lending Fund 3.65%, 7/14/2023 | 795 | 786 |
| &nbsp;&nbsp;&nbsp; Brookfield Finance, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 1/25/2028 | 337 | 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 3/29/2029 | 411 | 394 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 9/20/2047 | 88 | 71 |
| &nbsp;&nbsp;&nbsp; Credit Suisse AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series FXD, 0.52%, 8/9/2023 | 1000 | 953 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 9/9/2024 | 402 | 370 |
| &nbsp;&nbsp;&nbsp; Credit Suisse Group AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.56%), 2.59%, 9/11/2025 (b) (c) | 691 | 612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | 490 | 413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.28%, 1/9/2028 (b) | &nbsp;&nbsp;&nbsp; 1162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.73%), 3.09%, 5/14/2032 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 572 |
| &nbsp;&nbsp;&nbsp; Deutsche Bank AG (Germany) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.16%), 2.22%, 9/18/2024 (c) | &nbsp;&nbsp;&nbsp; 1225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1175 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.87%), 2.13%, 11/24/2026 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.32%), 2.55%, 1/7/2028 (c) | &nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1091 |
| &nbsp;&nbsp;&nbsp; FMR LLC 6.45%, 11/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 523 |
| &nbsp;&nbsp;&nbsp; Goldman Sachs Group, Inc. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/21/2025 | &nbsp;&nbsp;&nbsp; 1415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/16/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 469 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.80%), 1.43%, 3/9/2027 (c) | &nbsp;&nbsp;&nbsp; 2900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 0.91%), 1.95%, 10/21/2027 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.11%), 2.64%, 2/24/2028 (c) | &nbsp;&nbsp;&nbsp; 1260 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | &nbsp;&nbsp;&nbsp; 3776 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.09%), 1.99%, 1/27/2032 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 679 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.28%), 2.62%, 4/22/2032 (c) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 808 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.25%), 2.38%, 7/21/2032 (c) | &nbsp;&nbsp;&nbsp; 2255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1781 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 10/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 734 |
| &nbsp;&nbsp;&nbsp; Jefferies Financial Group, Inc. 6.45%, 6/8/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 769 |
| &nbsp;&nbsp;&nbsp; Macquarie Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 414 |
| &nbsp;&nbsp;&nbsp; Macquarie Group Ltd. (Australia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.21%, 11/22/2024 (b) | &nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1609 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.07%), 1.34%, 1/12/2027 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 510 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661 |
| &nbsp;&nbsp;&nbsp; Morgan Stanley  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 1/20/2027 | &nbsp;&nbsp;&nbsp; 2470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.00%), 2.48%, 1/21/2028 (c) | &nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 853 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.03%), 1.79%, 2/13/2032 (c) | &nbsp;&nbsp;&nbsp; 1740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1324 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (c) | &nbsp;&nbsp;&nbsp; 1265 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 1/27/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 418 |
| &nbsp;&nbsp;&nbsp; Nomura Holdings, Inc. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 1/16/2025 | &nbsp;&nbsp;&nbsp; 1094 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.68%, 7/16/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 560 |
| &nbsp;&nbsp;&nbsp; S&P Global, Inc. 2.90%, 3/1/2032 (b) | &nbsp;&nbsp;&nbsp; 1791 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1543 |
| &nbsp;&nbsp;&nbsp; UBS Group AG (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 9/24/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 291 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Capital Markets — continued** | **Capital Markets — continued** | **Capital Markets — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (b) (c) | 1838 | 1791 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (c) | 975 | 943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (b) (c) | 255 | 219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (c) | 965 | 821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (c) | 1480 | 1121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) | 360 | 281 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 41790 |
| **Chemicals — 0.2%** | **Chemicals — 0.2%** | **Chemicals — 0.2%** |
| &nbsp;&nbsp;&nbsp; Albemarle Corp. 5.45%, 12/1/2044 | 150 | 139 |
| &nbsp;&nbsp;&nbsp; DuPont de Nemours, Inc. 5.32%, 11/15/2038 | 980 | 952 |
| &nbsp;&nbsp;&nbsp; International Flavors & Fragrances, Inc. 5.00%, 9/26/2048 | 365 | 314 |
| &nbsp;&nbsp;&nbsp; Nutrien Ltd. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 11/7/2024 | &nbsp;&nbsp;&nbsp; 1892 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 4/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 3/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 455 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 4/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 230 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 211 |
| &nbsp;&nbsp;&nbsp; Union Carbide Corp. 7.75%, 10/1/2096 | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 962 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5056 |
| **Commercial Services & Supplies — 0.0% ^** | **Commercial Services & Supplies — 0.0% ^** | **Commercial Services & Supplies — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** | **Construction & Engineering — 0.1%** |
| &nbsp;&nbsp;&nbsp; Quanta Services, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 10/1/2030 | &nbsp;&nbsp;&nbsp; 1440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1197 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 1/15/2032 | &nbsp;&nbsp;&nbsp; 1095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 843 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2040 |
| **Construction Materials — 0.1%** | **Construction Materials — 0.1%** | **Construction Materials — 0.1%** |
| &nbsp;&nbsp;&nbsp; CRH America, Inc. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 5/18/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 403 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 5/18/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 810 |
| &nbsp;&nbsp;&nbsp; Martin Marietta Materials, Inc. 3.45%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 716 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1929 |
| **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** | **Consumer Finance — 1.3%** |
| &nbsp;&nbsp;&nbsp; AerCap Ireland Capital DAC (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 9/15/2023 | &nbsp;&nbsp;&nbsp; 2420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2390 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 8/14/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 568 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 7/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 1/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 860 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 10/29/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 492 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/29/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 1/30/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 522 |
| &nbsp;&nbsp;&nbsp; American Express Co. 5.85%, 11/5/2027 | &nbsp;&nbsp;&nbsp; 1470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1526 |
| &nbsp;&nbsp;&nbsp; Avolon Holdings Funding Ltd. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 2/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 947 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 2/21/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 531 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Consumer Finance — continued** | **Consumer Finance — continued** | **Consumer Finance — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 4/15/2026 (b) | 1200 | 1089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/1/2026 (b) | 820 | 745 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.53%, 11/18/2027 (b) | 7294 | 5900 |
| &nbsp;&nbsp;&nbsp; Capital One Financial Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 10/29/2025 | 250 | 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 2.06%), 4.93%, 5/10/2028 (c) | 782 | 750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | 920 | 704 |
| &nbsp;&nbsp;&nbsp; General Motors Financial Co., Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 10/15/2024 | 470 | 434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 4/7/2025 | 685 | 662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 1/8/2026 | 1781 | 1561 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 1/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 1/8/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 520 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 6/10/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 714 |
| &nbsp;&nbsp;&nbsp; Park Aerospace Holdings Ltd. (Ireland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 3/15/2023 (b) | &nbsp;&nbsp;&nbsp; 2385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 2/15/2024 (b) | &nbsp;&nbsp;&nbsp; 1626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1602 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 26568 |
| **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** | **Containers & Packaging — 0.1%** |
| &nbsp;&nbsp;&nbsp; Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | &nbsp;&nbsp;&nbsp; 1246 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1083 |
| &nbsp;&nbsp;&nbsp; Packaging Corp. of America 4.05%, 12/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 659 |
| &nbsp;&nbsp;&nbsp; WRKCo, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 6/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 157 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2285 |
| **Diversified Consumer Services — 0.0% ^** | **Diversified Consumer Services — 0.0% ^** | **Diversified Consumer Services — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Pepperdine University Series 2020, 3.30%, 12/1/2059 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 390 |
| &nbsp;&nbsp;&nbsp; University of Miami Series 2022, 4.06%, 4/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 480 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 399 |
| &nbsp;&nbsp;&nbsp; University of Southern California Series A, 3.23%, 10/1/2120 | &nbsp;&nbsp;&nbsp;&nbsp; 570 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 329 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1118 |
| **Diversified Financial Services — 0.2%** | **Diversified Financial Services — 0.2%** | **Diversified Financial Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; Corebridge Financial, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 4/5/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/5/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 496 |
| &nbsp;&nbsp;&nbsp; GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (b) | &nbsp;&nbsp;&nbsp; 1436 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1355 |
| &nbsp;&nbsp;&nbsp; Shell International Finance BV (Netherlands) 2.38%, 11/7/2029 | &nbsp;&nbsp;&nbsp; 2280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1999 |
| &nbsp;&nbsp;&nbsp; Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 513 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5036 |
| **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** | **Diversified Telecommunication Services — 0.5%** |
| &nbsp;&nbsp;&nbsp; AT&T, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 6/1/2027 | &nbsp;&nbsp;&nbsp; 2340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 2/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 6/1/2041 | &nbsp;&nbsp;&nbsp; 1646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 9/15/2055 | &nbsp;&nbsp;&nbsp; 2984 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2093 |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 244 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Diversified Telecommunication Services — continued** | **Diversified Telecommunication Services — continued** | **Diversified Telecommunication Services — continued** |
| &nbsp;&nbsp;&nbsp; Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b) | 232 | 210 |
| &nbsp;&nbsp;&nbsp; Verizon Communications, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 3/22/2028 | 795 | 695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.33%, 9/21/2028 | 962 | 935 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.36%, 3/15/2032 | 1787 | 1434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 11/20/2040 | 988 | 684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 3/22/2041 | 1060 | 814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 3/22/2061 | 1045 | 750 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 11438 |
| **Electric Utilities — 2.0%** | **Electric Utilities — 2.0%** | **Electric Utilities — 2.0%** |
| &nbsp;&nbsp;&nbsp; Alabama Power Co. 6.13%, 5/15/2038 | 239 | 249 |
| &nbsp;&nbsp;&nbsp; Arizona Public Service Co. 5.05%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp; Baltimore Gas and Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 303 |
| &nbsp;&nbsp;&nbsp; China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b) | &nbsp;&nbsp;&nbsp; 1234 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1176 |
| &nbsp;&nbsp;&nbsp; Duke Energy Carolinas LLC 4.25%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp; Duke Energy Corp. 3.75%, 9/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 735 |
| &nbsp;&nbsp;&nbsp; Duke Energy Florida LLC 5.95%, 11/15/2052 | &nbsp;&nbsp;&nbsp; 1414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1556 |
| &nbsp;&nbsp;&nbsp; Duke Energy Progress LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 273 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 231 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 8/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 545 |
| &nbsp;&nbsp;&nbsp; Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 677 |
| &nbsp;&nbsp;&nbsp; Edison International  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 11/15/2024 | &nbsp;&nbsp;&nbsp; 1591 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 11/15/2029 | &nbsp;&nbsp;&nbsp; 1020 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1069 |
| &nbsp;&nbsp;&nbsp; Emera US Finance LP (Canada) 4.75%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 554 |
| &nbsp;&nbsp;&nbsp; Entergy Arkansas LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 6/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 415 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 258 |
| &nbsp;&nbsp;&nbsp; Entergy Corp. 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 |
| &nbsp;&nbsp;&nbsp; Entergy Louisiana LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 6/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 542 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 3/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 322 |
| &nbsp;&nbsp;&nbsp; Evergy Metro, Inc. 5.30%, 10/1/2041 | &nbsp;&nbsp;&nbsp; 1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1346 |
| &nbsp;&nbsp;&nbsp; Evergy, Inc. 2.90%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 850 |
| &nbsp;&nbsp;&nbsp; Fells Point Funding Trust 3.05%, 1/31/2027 (b) | &nbsp;&nbsp;&nbsp; 2405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2189 |
| &nbsp;&nbsp;&nbsp; FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 196 |
| &nbsp;&nbsp;&nbsp; Fortis, Inc. (Canada) 3.06%, 10/4/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 466 |
| &nbsp;&nbsp;&nbsp; Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; ITC Holdings Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/22/2027 (b) | &nbsp;&nbsp;&nbsp; 1565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 5/14/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp; Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 541 |
| &nbsp;&nbsp;&nbsp; John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 666 |
| &nbsp;&nbsp;&nbsp; Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electric Utilities — continued** | **Electric Utilities — continued** | **Electric Utilities — continued** |
| &nbsp;&nbsp;&nbsp; Nevada Power Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series N, 6.65%, 4/1/2036 | 100 | 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 5/15/2041 | 305 | 289 |
| &nbsp;&nbsp;&nbsp; Niagara Mohawk Power Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.51%, 10/1/2024 (b) | 493 | 473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.96%, 6/27/2030 (b) | 1000 | 797 |
| &nbsp;&nbsp;&nbsp; NRG Energy, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 12/2/2025 (b) | 710 | 636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/2/2027 (b) | 795 | 680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 6/15/2029 (b) | 615 | 566 |
| &nbsp;&nbsp;&nbsp; NSTAR Electric Co. 4.95%, 9/15/2052 | 1000 | 973 |
| &nbsp;&nbsp;&nbsp; OGE Energy Corp. 0.70%, 5/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 548 |
| &nbsp;&nbsp;&nbsp; Oklahoma Gas and Electric Co. 0.55%, 5/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661 |
| &nbsp;&nbsp;&nbsp; Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp; Pacific Gas and Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 662 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 2/16/2024 | &nbsp;&nbsp;&nbsp; 2060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 7/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 3/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 6/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 528 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 8/15/2042 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 525 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp; PECO Energy Co. 2.80%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 273 |
| &nbsp;&nbsp;&nbsp; Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp; Pepco Holdings LLC 7.45%, 8/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 339 |
| &nbsp;&nbsp;&nbsp; PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047 | &nbsp;&nbsp;&nbsp; 1360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1372 |
| &nbsp;&nbsp;&nbsp; PG&E Wildfire Recovery Funding LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-2, 4.26%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 598 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-4, 5.21%, 12/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series A-5, 5.10%, 6/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 766 |
| &nbsp;&nbsp;&nbsp; Potomac Electric Power Co. 6.50%, 11/15/2037 | &nbsp;&nbsp;&nbsp; 1085 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1195 |
| &nbsp;&nbsp;&nbsp; Progress Energy, Inc. 7.00%, 10/30/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Colorado 3.55%, 6/15/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 214 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp; Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037 | &nbsp;&nbsp;&nbsp; 2490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2683 |
| &nbsp;&nbsp;&nbsp; Public Service Electric and Gas Co. 5.38%, 11/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp; Southern California Edison Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/1/2027 | &nbsp;&nbsp;&nbsp; 1695 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.65%, 3/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 08-A, 5.95%, 2/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 3/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 552 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 443 |
| &nbsp;&nbsp;&nbsp; Southwestern Public Service Co. 4.50%, 8/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 177 |
| &nbsp;&nbsp;&nbsp; Toledo Edison Co. (The) 6.15%, 5/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 315 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 42431 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Electrical Equipment — 0.0% ^** | **Electrical Equipment — 0.0% ^** | **Electrical Equipment — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Eaton Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.63%, 4/1/2024 | 300 | 311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/2/2032 | 170 | 158 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 469 |
| **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** | **Electronic Equipment, Instruments & Components — 0.1%** |
| &nbsp;&nbsp;&nbsp; Arrow Electronics, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 3/1/2023 | 190 | 189 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 9/8/2024 | 219 | 211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 1/12/2028 | 442 | 406 |
| &nbsp;&nbsp;&nbsp; Corning, Inc. 3.90%, 11/15/2049 | 1043 | 772 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1578 |
| **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** | **Energy Equipment & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Baker Hughes Holdings LLC 5.13%, 9/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 281 |
| &nbsp;&nbsp;&nbsp; Halliburton Co. 4.75%, 8/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 472 |
| &nbsp;&nbsp;&nbsp; Schlumberger Holdings Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/21/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 5/17/2028 (b) | &nbsp;&nbsp;&nbsp; 1126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1063 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1828 |
| **Entertainment — 0.1%** | **Entertainment — 0.1%** | **Entertainment — 0.1%** |
| &nbsp;&nbsp;&nbsp; Activision Blizzard, Inc. 1.35%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 842 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 665 |
| &nbsp;&nbsp;&nbsp; Walt Disney Co. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.88%, 4/26/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 12/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1211 |
| **Equity Real Estate Investment Trusts (REITs) — 1.5%** | **Equity Real Estate Investment Trusts (REITs) — 1.5%** | **Equity Real Estate Investment Trusts (REITs) — 1.5%** |
| &nbsp;&nbsp;&nbsp; Alexandria Real Estate Equities, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 4/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 5/18/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 747 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502 |
| &nbsp;&nbsp;&nbsp; American Tower Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 974 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 312 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 1/31/2028 | &nbsp;&nbsp;&nbsp; 1215 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 6/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 630 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 506 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/2030 | &nbsp;&nbsp;&nbsp; 1090 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 849 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 6/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 1/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 208 |
| &nbsp;&nbsp;&nbsp; Boston Properties LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 1/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 532 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 2/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 483 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 460 |
| &nbsp;&nbsp;&nbsp; Brixmor Operating Partnership LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 840 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 8/16/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 322 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** |
| &nbsp;&nbsp;&nbsp; Corporate Office Properties LP 2.00%, 1/15/2029 | 335 | 259 |
| &nbsp;&nbsp;&nbsp; Crown Castle, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/1/2027 | 264 | 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 4/1/2031 | 2000 | 1586 |
| &nbsp;&nbsp;&nbsp; Digital Realty Trust LP 3.70%, 8/15/2027 | 252 | 235 |
| &nbsp;&nbsp;&nbsp; Equinix, Inc. 2.90%, 11/18/2026 | 1130 | 1033 |
| &nbsp;&nbsp;&nbsp; Essex Portfolio LP 2.65%, 3/15/2032 | 2000 | 1592 |
| &nbsp;&nbsp;&nbsp; Healthcare Realty Holdings LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 2/15/2030 | 1604 | 1346 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 3/15/2031 | 610 | 463 |
| &nbsp;&nbsp;&nbsp; Healthpeak Properties, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 7/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 693 |
| &nbsp;&nbsp;&nbsp; Life Storage LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 6/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 770 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 485 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 374 |
| &nbsp;&nbsp;&nbsp; Mid-America Apartments LP 3.95%, 3/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 863 |
| &nbsp;&nbsp;&nbsp; National Retail Properties, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 783 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 620 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 579 |
| &nbsp;&nbsp;&nbsp; Office Properties Income Trust  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.40%, 2/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 708 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 314 |
| &nbsp;&nbsp;&nbsp; Physicians Realty LP 2.63%, 11/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 505 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 397 |
| &nbsp;&nbsp;&nbsp; Prologis LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 4/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 905 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp; Public Storage  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 11/9/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 615 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 529 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 11/9/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 516 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 417 |
| &nbsp;&nbsp;&nbsp; Realty Income Corp. 1.80%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 386 |
| &nbsp;&nbsp;&nbsp; Regency Centers LP 2.95%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 627 |
| &nbsp;&nbsp;&nbsp; Sabra Health Care LP 3.20%, 12/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp; Safehold Operating Partnership LP 2.80%, 6/15/2031 | &nbsp;&nbsp;&nbsp; 2940 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2281 |
| &nbsp;&nbsp;&nbsp; Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (b) <br> (c)<br>| &nbsp;&nbsp;&nbsp; 1320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1162 |
| &nbsp;&nbsp;&nbsp; SITE Centers Corp. 4.70%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 310 |
| &nbsp;&nbsp;&nbsp; UDR, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 9/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.10%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 475 |
| &nbsp;&nbsp;&nbsp; Ventas Realty LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 270 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** | **Equity Real Estate Investment Trusts (REITs) — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 4/1/2027 | 554 | 522 |
| &nbsp;&nbsp;&nbsp; Welltower, Inc. 6.50%, 3/15/2041 | 350 | 354 |
| &nbsp;&nbsp;&nbsp; WP Carey, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/1/2026 | 350 | 337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 4/1/2033 | 1180 | 872 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 32512 |
| **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** | **Food & Staples Retailing — 0.2%** |
| &nbsp;&nbsp;&nbsp; 7-Eleven, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 2/10/2028 (b) | 565 | 473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 2/10/2041 (b) | 574 | 384 |
| &nbsp;&nbsp;&nbsp; Alimentation Couche-Tard, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.44%, 5/13/2041 (b) | &nbsp;&nbsp;&nbsp; 1275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 5/13/2051 (b) | &nbsp;&nbsp;&nbsp; 1420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 973 |
| &nbsp;&nbsp;&nbsp; CVS Pass-Through Trust  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 1/10/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 728 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013, 4.70%, 1/10/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 573 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 512 |
| &nbsp;&nbsp;&nbsp; Kroger Co. (The) 5.00%, 4/15/2042 | &nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1013 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5004 |
| **Food Products — 0.2%** | **Food Products — 0.2%** | **Food Products — 0.2%** |
| &nbsp;&nbsp;&nbsp; Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | &nbsp;&nbsp;&nbsp; 1565 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1299 |
| &nbsp;&nbsp;&nbsp; Campbell Soup Co. 3.13%, 4/24/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 315 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp; Conagra Brands, Inc. 5.30%, 11/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 220 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 210 |
| &nbsp;&nbsp;&nbsp; Kraft Heinz Foods Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 6/1/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 530 |
| &nbsp;&nbsp;&nbsp; Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp; Smithfield Foods, Inc. 3.00%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1155 |
| &nbsp;&nbsp;&nbsp; Tyson Foods, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 293 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 199 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4814 |
| **Gas Utilities — 0.2%** | **Gas Utilities — 0.2%** | **Gas Utilities — 0.2%** |
| &nbsp;&nbsp;&nbsp; Atmos Energy Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 828 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 10/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp; Boston Gas Co. 4.49%, 2/15/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 308 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 256 |
| &nbsp;&nbsp;&nbsp; Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp; Southern California Gas Co. 6.35%, 11/15/2052 | &nbsp;&nbsp;&nbsp; 1370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1548 |
| &nbsp;&nbsp;&nbsp; Southern Natural Gas Co. LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 3/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 351 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 3/15/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 304 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3632 |
| **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** | **Health Care Equipment & Supplies — 0.1%** |
| &nbsp;&nbsp;&nbsp; Abbott Laboratories 4.75%, 11/30/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Health Care Equipment & Supplies — continued** | **Health Care Equipment & Supplies — continued** | **Health Care Equipment & Supplies — continued** |
| &nbsp;&nbsp;&nbsp; Becton Dickinson and Co. 4.67%, 6/6/2047 | 365 | 328 |
| &nbsp;&nbsp;&nbsp; DH Europe Finance II SARL 3.25%, 11/15/2039 | 1000 | 805 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1515 |
| **Health Care Providers & Services — 0.7%** | **Health Care Providers & Services — 0.7%** | **Health Care Providers & Services — 0.7%** |
| &nbsp;&nbsp;&nbsp; Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | 710 | 587 |
| &nbsp;&nbsp;&nbsp; Aetna, Inc. 6.75%, 12/15/2037 | 440 | 475 |
| &nbsp;&nbsp;&nbsp; Ascension Health Series B, 2.53%, 11/15/2029 | 430 | 372 |
| &nbsp;&nbsp;&nbsp; Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | 800 | 537 |
| &nbsp;&nbsp;&nbsp; Children's Hospital Series 2020, 2.93%, 7/15/2050 | 650 | 411 |
| &nbsp;&nbsp;&nbsp; Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 | 580 | 359 |
| &nbsp;&nbsp;&nbsp; Cigna Corp. 4.50%, 2/25/2026 | 300 | 299 |
| &nbsp;&nbsp;&nbsp; CommonSpirit Health  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 10/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 444 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.91%, 10/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 545 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 398 |
| &nbsp;&nbsp;&nbsp; CVS Health Corp. 4.30%, 3/25/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 166 |
| &nbsp;&nbsp;&nbsp; Elevance Health, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 5/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 456 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 1/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 8/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp; Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | &nbsp;&nbsp;&nbsp; 1430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 980 |
| &nbsp;&nbsp;&nbsp; HCA, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 6/15/2026 | &nbsp;&nbsp;&nbsp; 1680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1667 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 725 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/15/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 593 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 7/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp; Mayo Clinic Series 2016, 4.13%, 11/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp; Memorial Health Services 3.45%, 11/1/2049 | &nbsp;&nbsp;&nbsp; 1340 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 998 |
| &nbsp;&nbsp;&nbsp; Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 165 |
| &nbsp;&nbsp;&nbsp; MyMichigan Health Series 2020, 3.41%, 6/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 216 |
| &nbsp;&nbsp;&nbsp; Quest Diagnostics, Inc. 3.45%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp; Texas Health Resources 4.33%, 11/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254 |
| &nbsp;&nbsp;&nbsp; UnitedHealth Group, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 8/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 675 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/15/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 2/15/2053 | &nbsp;&nbsp;&nbsp;&nbsp; 650 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 719 |
| &nbsp;&nbsp;&nbsp; Universal Health Services, Inc. 2.65%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 117 |
| &nbsp;&nbsp;&nbsp; Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 780 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 473 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 14116 |
| **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** | **Hotels, Restaurants & Leisure — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; McDonald's Corp. 4.70%, 12/9/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 678 |
| **Household Durables — 0.0% ^** | **Household Durables — 0.0% ^** | **Household Durables — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Lennar Corp. 4.50%, 4/30/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 360 |
| &nbsp;&nbsp;&nbsp; MDC Holdings, Inc. 3.97%, 8/6/2061 | &nbsp;&nbsp;&nbsp; 1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 607 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 967 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Independent Power and Renewable Electricity Producers — 0.1%** | **Independent Power and Renewable Electricity Producers — 0.1%** | **Independent Power and Renewable Electricity Producers — 0.1%** |
| &nbsp;&nbsp;&nbsp; Alexander Funding Trust 1.84%, 11/15/2023 (b) | 1000 | 943 |
| &nbsp;&nbsp;&nbsp; Constellation Energy Generation LLC 5.75%, 10/1/2041 | 235 | 229 |
| &nbsp;&nbsp;&nbsp; Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046 | 417 | 320 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1492 |
| **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** | **Industrial Conglomerates — 0.1%** |
| &nbsp;&nbsp;&nbsp; GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | 1936 | 1827 |
| **Insurance — 0.8%** | **Insurance — 0.8%** | **Insurance — 0.8%** |
| &nbsp;&nbsp;&nbsp; AIA Group Ltd. (Hong Kong) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/9/2029 (b) | 445 | 407 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 9/16/2040 (b) | 520 | 372 |
| &nbsp;&nbsp;&nbsp; AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b) | 520 | 559 |
| &nbsp;&nbsp;&nbsp; Assurant, Inc. 4.20%, 9/27/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 491 |
| &nbsp;&nbsp;&nbsp; Athene Global Funding  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 1/14/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 239 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 1/8/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 865 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 11/12/2026 (b) | &nbsp;&nbsp;&nbsp; 3475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3125 |
| &nbsp;&nbsp;&nbsp; Berkshire Hathaway Finance Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 5/15/2042 | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 3/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 845 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 690 |
| &nbsp;&nbsp;&nbsp; Brown & Brown, Inc. 2.38%, 3/15/2031 | &nbsp;&nbsp;&nbsp; 1830 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1407 |
| &nbsp;&nbsp;&nbsp; CNA Financial Corp. 3.95%, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 454 |
| &nbsp;&nbsp;&nbsp; F&G Global Funding 1.75%, 6/30/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 667 |
| &nbsp;&nbsp;&nbsp; Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 208 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 171 |
| &nbsp;&nbsp;&nbsp; Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 388 |
| &nbsp;&nbsp;&nbsp; Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 327 |
| &nbsp;&nbsp;&nbsp; Liberty Mutual Group, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.57%, 2/1/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 900 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 634 |
| &nbsp;&nbsp;&nbsp; Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp; Markel Corp. 3.50%, 11/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp; Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 673 |
| &nbsp;&nbsp;&nbsp; Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp; Prudential Financial, Inc. 3.91%, 12/7/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp; Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | &nbsp;&nbsp;&nbsp; 1750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, <br> 4/2/2049 (b) (c)<br>| &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 533 |
| &nbsp;&nbsp;&nbsp; Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 337 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 16132 |
| **Internet & Direct Marketing Retail — 0.1%** | **Internet & Direct Marketing Retail — 0.1%** | **Internet & Direct Marketing Retail — 0.1%** |
| &nbsp;&nbsp;&nbsp; Amazon.com, Inc. 3.95%, 4/13/2052 | &nbsp;&nbsp;&nbsp; 1760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1504 |
| **IT Services — 0.2%** | **IT Services — 0.2%** | **IT Services — 0.2%** |
| &nbsp;&nbsp;&nbsp; CGI, Inc. (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 9/14/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 9/14/2031 | &nbsp;&nbsp;&nbsp; 1515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1165 |
| &nbsp;&nbsp;&nbsp; Fiserv, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 7/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 395 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 372 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **IT Services — continued** | **IT Services — continued** | **IT Services — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 7/1/2049 | 375 | 309 |
| &nbsp;&nbsp;&nbsp; Global Payments, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 8/15/2029 | 945 | 807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 8/15/2029 | 371 | 359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 5/15/2030 | 273 | 225 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/2031 | 522 | 414 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4394 |
| **Life Sciences Tools & Services — 0.1%** | **Life Sciences Tools & Services — 0.1%** | **Life Sciences Tools & Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031 | 1375 | 1128 |
| **Machinery — 0.1%** | **Machinery — 0.1%** | **Machinery — 0.1%** |
| &nbsp;&nbsp;&nbsp; nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028 | 450 | 416 |
| &nbsp;&nbsp;&nbsp; Otis Worldwide Corp. 2.57%, 2/15/2030 | &nbsp;&nbsp;&nbsp; 1430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1219 |
| &nbsp;&nbsp;&nbsp; Parker-Hannifin Corp. 4.45%, 11/21/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 592 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 514 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2149 |
| **Media — 0.6%** | **Media — 0.6%** | **Media — 0.6%** |
| &nbsp;&nbsp;&nbsp; Charter Communications Operating LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 3/15/2028 | &nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1860 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.38%, 10/23/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 528 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 3/1/2050 | &nbsp;&nbsp;&nbsp; 1475 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 4/1/2051 | &nbsp;&nbsp;&nbsp; 1120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 715 |
| &nbsp;&nbsp;&nbsp; Comcast Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 5/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 443 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 8/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 521 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/1/2039 | &nbsp;&nbsp;&nbsp; 1715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.89%, 11/1/2051 | &nbsp;&nbsp;&nbsp; 1086 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 724 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 11/1/2056 | &nbsp;&nbsp;&nbsp; 1729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 11/1/2063 | &nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp; Cox Communications, Inc. 2.95%, 10/1/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 635 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 389 |
| &nbsp;&nbsp;&nbsp; Discovery Communications LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 9/20/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 135 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/15/2055 | &nbsp;&nbsp;&nbsp;&nbsp; 784 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 503 |
| &nbsp;&nbsp;&nbsp; Grupo Televisa SAB (Mexico) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 1/30/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 1/31/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 |
| &nbsp;&nbsp;&nbsp; Paramount Global  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 785 |
| &nbsp;&nbsp;&nbsp; Time Warner Cable LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.55%, 5/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 9/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 306 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 12738 |
| **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** | **Metals & Mining — 0.2%** |
| &nbsp;&nbsp;&nbsp; Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 295 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 312 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Metals & Mining — continued** | **Metals & Mining — continued** | **Metals & Mining — continued** |
| &nbsp;&nbsp;&nbsp; Glencore Funding LLC (Australia) 4.13%, 5/30/2023 (b) | 454 | 451 |
| &nbsp;&nbsp;&nbsp; Reliance Steel & Aluminum Co. 1.30%, 8/15/2025 | 2500 | 2252 |
| &nbsp;&nbsp;&nbsp; Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | 675 | 588 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3603 |
| **Multiline Retail — 0.0% ^** | **Multiline Retail — 0.0% ^** | **Multiline Retail — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Nordstrom, Inc. 4.25%, 8/1/2031 | 1243 | 965 |
| **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** | **Multi-Utilities — 0.3%** |
| &nbsp;&nbsp;&nbsp; CMS Energy Corp. 3.00%, 5/15/2026 | 475 | 443 |
| &nbsp;&nbsp;&nbsp; Consolidated Edison Co. of New York, Inc. 6.15%, 11/15/2052 | 1090 | 1199 |
| &nbsp;&nbsp;&nbsp; Delmarva Power & Light Co. 4.00%, 6/1/2042 | 235 | 188 |
| &nbsp;&nbsp;&nbsp; Dominion Energy, Inc. Series F, 5.25%, 8/1/2033 | 920 | 899 |
| &nbsp;&nbsp;&nbsp; NiSource, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 2/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 740 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 2/1/2042 | &nbsp;&nbsp;&nbsp; 1256 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1192 |
| &nbsp;&nbsp;&nbsp; San Diego Gas & Electric Co.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 379 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 8/15/2051 | &nbsp;&nbsp;&nbsp; 1050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 730 |
| &nbsp;&nbsp;&nbsp; Southern Co. Gas Capital Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 21A, 3.15%, 9/30/2051 | &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 276 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6323 |
| **Oil, Gas & Consumable Fuels — 1.5%** | **Oil, Gas & Consumable Fuels — 1.5%** | **Oil, Gas & Consumable Fuels — 1.5%** |
| &nbsp;&nbsp;&nbsp; Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438 |
| &nbsp;&nbsp;&nbsp; APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 686 |
| &nbsp;&nbsp;&nbsp; BP Capital Markets America, Inc. 2.94%, 6/4/2051 | &nbsp;&nbsp;&nbsp; 1995 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1363 |
| &nbsp;&nbsp;&nbsp; Buckeye Partners LP 5.85%, 11/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 770 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 582 |
| &nbsp;&nbsp;&nbsp; Cameron LNG LLC 3.70%, 1/15/2039 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 961 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 775 |
| &nbsp;&nbsp;&nbsp; Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | &nbsp;&nbsp;&nbsp; 1490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1497 |
| &nbsp;&nbsp;&nbsp; Coterra Energy, Inc. 3.90%, 5/15/2027 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 882 |
| &nbsp;&nbsp;&nbsp; Devon Energy Corp. 5.25%, 9/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 791 |
| &nbsp;&nbsp;&nbsp; Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 561 |
| &nbsp;&nbsp;&nbsp; Ecopetrol SA (Colombia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 9/18/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 533 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 500 |
| &nbsp;&nbsp;&nbsp; Energy Transfer LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 1/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 917 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 244 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 115 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 9/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 594 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 539 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 2/15/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 373 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 4/1/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 146 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 4/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 757 |
| &nbsp;&nbsp;&nbsp; Eni SpA (Italy) 5.70%, 10/1/2040 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 861 |
| &nbsp;&nbsp;&nbsp; Enterprise Products Operating LLC 3.70%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 506 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 489 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** | **Oil, Gas & Consumable Fuels — continued** |
| &nbsp;&nbsp;&nbsp; Exxon Mobil Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 8/16/2039 | 895 | 701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.57%, 3/6/2045 | 1215 | 990 |
| &nbsp;&nbsp;&nbsp; Flex Intermediate Holdco LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.36%, 6/30/2031 (b) | 1425 | 1137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.32%, 12/30/2039 (b) | 545 | 392 |
| &nbsp;&nbsp;&nbsp; Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b) | 1063 | 848 |
| &nbsp;&nbsp;&nbsp; Gray Oak Pipeline LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 9/15/2023 (b) | 535 | 520 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 10/15/2025 (b) | 2450 | 2223 |
| &nbsp;&nbsp;&nbsp; HF Sinclair Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.63%, 10/1/2023 | &nbsp;&nbsp;&nbsp; 1275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1249 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 4/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 577 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 581 |
| &nbsp;&nbsp;&nbsp; Magellan Midstream Partners LP 3.20%, 3/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 353 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 337 |
| &nbsp;&nbsp;&nbsp; Marathon Petroleum Corp. 4.70%, 5/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp; ONEOK Partners LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 9/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 334 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 334 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 348 |
| &nbsp;&nbsp;&nbsp; Phillips 66 Co. 3.15%, 12/15/2029 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 985 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 872 |
| &nbsp;&nbsp;&nbsp; Pioneer Natural Resources Co. 1.90%, 8/15/2030 | &nbsp;&nbsp;&nbsp; 1050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 839 |
| &nbsp;&nbsp;&nbsp; Plains All American Pipeline LP  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 6/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 610 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 474 |
| &nbsp;&nbsp;&nbsp; Saudi Arabian Oil Co. (Saudi Arabia) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 11/24/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 192 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 11/24/2025 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 254 |
| &nbsp;&nbsp;&nbsp; Spectra Energy Partners LP 4.50%, 3/15/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 414 |
| &nbsp;&nbsp;&nbsp; Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | &nbsp;&nbsp;&nbsp; 1195 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1274 |
| &nbsp;&nbsp;&nbsp; Targa Resources Corp. 4.20%, 2/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 350 |
| &nbsp;&nbsp;&nbsp; Texas Eastern Transmission LP 3.50%, 1/15/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp; TotalEnergies Capital International SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.99%, 6/29/2041 | &nbsp;&nbsp;&nbsp; 1200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 914 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.46%, 7/12/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 815 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 5/29/2050 | &nbsp;&nbsp;&nbsp; 1180 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 852 |
| &nbsp;&nbsp;&nbsp; Valero Energy Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 508 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 4/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 175 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 198 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; 31229 |
| **Personal Products — 0.1%** | **Personal Products — 0.1%** | **Personal Products — 0.1%** |
| &nbsp;&nbsp;&nbsp; Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 | &nbsp;&nbsp;&nbsp; 1880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1632 |
| &nbsp;&nbsp;&nbsp; GSK Consumer Healthcare Capital US LLC 3.38%, 3/24/2029 | &nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 974 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2606 |
| **Pharmaceuticals — 0.4%** | **Pharmaceuticals — 0.4%** | **Pharmaceuticals — 0.4%** |
| &nbsp;&nbsp;&nbsp; AstraZeneca plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.45%, 9/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 9/18/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Pharmaceuticals — continued** | **Pharmaceuticals — continued** | **Pharmaceuticals — continued** |
| &nbsp;&nbsp;&nbsp; Bristol-Myers Squibb Co. 4.13%, 6/15/2039 | 1545 | 1403 |
| &nbsp;&nbsp;&nbsp; Mylan, Inc. 5.40%, 11/29/2043 | 520 | 417 |
| &nbsp;&nbsp;&nbsp; Royalty Pharma plc 1.20%, 9/2/2025 | 353 | 317 |
| &nbsp;&nbsp;&nbsp; Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 1713 | 1614 |
| &nbsp;&nbsp;&nbsp; Takeda Pharmaceutical Co. Ltd. (Japan) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/26/2028 | 895 | 895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 7/9/2040 | 1265 | 946 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 7/9/2050 | 590 | 413 |
| &nbsp;&nbsp;&nbsp; Utah Acquisition Sub, Inc. 3.95%, 6/15/2026 | 300 | 281 |
| &nbsp;&nbsp;&nbsp; Viatris, Inc. 3.85%, 6/22/2040 | 567 | 391 |
| &nbsp;&nbsp;&nbsp; Zoetis, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 11/16/2032 | &nbsp;&nbsp;&nbsp; 1463 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1533 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9390 |
| **Road & Rail — 0.3%** | **Road & Rail — 0.3%** | **Road & Rail — 0.3%** |
| &nbsp;&nbsp;&nbsp; Burlington Northern Santa Fe LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 5/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 453 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 9/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 769 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 771 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 2/15/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 465 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 368 |
| &nbsp;&nbsp;&nbsp; CSX Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 4/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 3/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 11/15/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 9/15/2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp; Kansas City Southern 4.70%, 5/1/2048 | &nbsp;&nbsp;&nbsp; 1712 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1513 |
| &nbsp;&nbsp;&nbsp; Norfolk Southern Corp. 4.05%, 8/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 496 |
| &nbsp;&nbsp;&nbsp; Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (b) | &nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1018 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5896 |
| **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** | **Semiconductors & Semiconductor Equipment — 0.4%** |
| &nbsp;&nbsp;&nbsp; Analog Devices, Inc. 2.80%, 10/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 674 |
| &nbsp;&nbsp;&nbsp; Broadcom, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 2/15/2028 (b) | &nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.14%, 11/15/2035 (b) | &nbsp;&nbsp;&nbsp; 1413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1047 |
| &nbsp;&nbsp;&nbsp; KLA Corp. 3.30%, 3/1/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp; Microchip Technology, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.67%, 9/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.97%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 331 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.98%, 9/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 290 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp; NXP BV (China) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 5/11/2031 | &nbsp;&nbsp;&nbsp; 1405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 5/11/2041 | &nbsp;&nbsp;&nbsp; 1445 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1022 |
| &nbsp;&nbsp;&nbsp; TSMC Arizona Corp. (Taiwan) 4.50%, 4/22/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp; TSMC Global Ltd. (Taiwan) 4.63%, 7/22/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 592 |
| &nbsp;&nbsp;&nbsp; Xilinx, Inc. 2.38%, 6/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 761 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9319 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Software — 0.3%** | **Software — 0.3%** | **Software — 0.3%** |
| &nbsp;&nbsp;&nbsp; Microsoft Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2035 | 291 | 270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.92%, 3/17/2052 | 1118 | 829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.04%, 3/17/2062 | 268 | 195 |
| &nbsp;&nbsp;&nbsp; Oracle Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 4/1/2040 | 1000 | 751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 5/15/2055 | 900 | 684 |
| &nbsp;&nbsp;&nbsp; Roper Technologies, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.40%, 9/15/2027 | 1370 | 1171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 6/30/2030 | 570 | 457 |
| &nbsp;&nbsp;&nbsp; VMware, Inc. 4.65%, 5/15/2027 | 550 | 537 |
| &nbsp;&nbsp;&nbsp; Workday, Inc. 3.50%, 4/1/2027 | &nbsp;&nbsp;&nbsp; 1179 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1115 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6009 |
| **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** | **Specialty Retail — 0.3%** |
| &nbsp;&nbsp;&nbsp; AutoZone, Inc. 1.65%, 1/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 535 |
| &nbsp;&nbsp;&nbsp; Home Depot, Inc. (The)  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 9/15/2032 | &nbsp;&nbsp;&nbsp; 1800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 9/15/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 930 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 920 |
| &nbsp;&nbsp;&nbsp; Lowe's Cos., Inc. 2.63%, 4/1/2031 | &nbsp;&nbsp;&nbsp; 2760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2317 |
| &nbsp;&nbsp;&nbsp; O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 432 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 411 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5971 |
| **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** | **Technology Hardware, Storage & Peripherals — 0.3%** |
| &nbsp;&nbsp;&nbsp; Apple, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/9/2045 | &nbsp;&nbsp;&nbsp; 1130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 934 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 8/4/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/13/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 8/5/2051 | &nbsp;&nbsp;&nbsp; 1855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1283 |
| &nbsp;&nbsp;&nbsp; Dell International LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 6/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.02%, 6/15/2026 | &nbsp;&nbsp;&nbsp; 2132 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 12/15/2051 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp; HP, Inc. 3.00%, 6/17/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 665 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 610 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5861 |
| **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** | **Thrifts & Mortgage Finance — 0.2%** |
| &nbsp;&nbsp;&nbsp; BPCE SA (France) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 7/11/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 777 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 1/20/2026 (b) | &nbsp;&nbsp;&nbsp; 2205 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.52%), 1.65%, 10/6/2026 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 607 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 12/2/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | &nbsp;&nbsp;&nbsp;&nbsp; 730 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 544 |
| &nbsp;&nbsp;&nbsp; Nationwide Building Society (United Kingdom) 1.50%, 10/13/2026 (b) | &nbsp;&nbsp;&nbsp; 1000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 868 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5103 |
| **Tobacco — 0.2%** | **Tobacco — 0.2%** | **Tobacco — 0.2%** |
| &nbsp;&nbsp;&nbsp; Altria Group, Inc. 2.45%, 2/4/2032 | &nbsp;&nbsp;&nbsp; 1700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1289 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Corporate Bonds — continued** | **Corporate Bonds — continued** | **Corporate Bonds — continued** |
| **Tobacco — continued** | **Tobacco — continued** | **Tobacco — continued** |
| &nbsp;&nbsp;&nbsp; BAT Capital Corp. (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.26%, 3/25/2028 | 780 | 654 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 8/15/2037 | 1730 | 1362 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.73%, 9/25/2040 | 520 | 366 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 8/15/2047 | 1086 | 788 |
| &nbsp;&nbsp;&nbsp; Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041 | 100 | 93 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4552 |
| **Trading Companies & Distributors — 0.3%** | **Trading Companies & Distributors — 0.3%** | **Trading Companies & Distributors — 0.3%** |
| &nbsp;&nbsp;&nbsp; Air Lease Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 7/1/2025 | 476 | 449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 1/15/2026 | 1000 | 921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 6/1/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 526 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 8/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 960 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 840 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 710 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/1/2029 | &nbsp;&nbsp;&nbsp; 2080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1762 |
| &nbsp;&nbsp;&nbsp; Aviation Capital Group LLC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 5/1/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 490 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/2024 (b) | &nbsp;&nbsp;&nbsp; 1047 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1025 |
| &nbsp;&nbsp;&nbsp; BOC Aviation Ltd. (Singapore) 3.50%, 10/10/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 297 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6978 |
| **Water Utilities — 0.1%** | **Water Utilities — 0.1%** | **Water Utilities — 0.1%** |
| &nbsp;&nbsp;&nbsp; American Water Capital Corp.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 6/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 795 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 5/1/2050 | &nbsp;&nbsp;&nbsp; 1096 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 815 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1544 |
| **Wireless Telecommunication Services — 0.3%** | **Wireless Telecommunication Services — 0.3%** | **Wireless Telecommunication Services — 0.3%** |
| &nbsp;&nbsp;&nbsp; America Movil SAB de CV (Mexico) 4.38%, 4/22/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 441 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 377 |
| &nbsp;&nbsp;&nbsp; Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 607 |
| &nbsp;&nbsp;&nbsp; T-Mobile USA, Inc.  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 4/15/2030 | &nbsp;&nbsp;&nbsp; 2980 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 11/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 915 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 634 |
| &nbsp;&nbsp;&nbsp; Vodafone Group plc (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 5/30/2048 | &nbsp;&nbsp;&nbsp;&nbsp; 496 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 446 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 6/19/2049 | &nbsp;&nbsp;&nbsp; 1105 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 942 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Corporate Bonds <br>(Cost $560,789)<br>|  | &nbsp;&nbsp;&nbsp; 487101 |
| **Mortgage-Backed Securities — 20.2%** | **Mortgage-Backed Securities — 20.2%** | **Mortgage-Backed Securities — 20.2%** |
| &nbsp;&nbsp;&nbsp; FHLMC  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 846812, ARM, 2.71%, 4/1/2030 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781087, ARM, 2.36%, 12/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1B1665, ARM, 2.83%, 4/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 847356, ARM, 2.69%, 12/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782979, ARM, 2.37%, 1/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0025, ARM, 2.75%, 2/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848431, ARM, 4.19%, 2/1/2036 (e) | 44 | 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1L1286, ARM, 3.25%, 5/1/2036 (e) | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848365, ARM, 3.67%, 7/1/2036 (e) | 49 | 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2539, ARM, 3.85%, 10/1/2036 (e) | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1A1096, ARM, 4.31%, 10/1/2036 (e) | 84 | 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1348, ARM, 4.44%, 10/1/2036 (e) | 61 | 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1G2671, ARM, 2.39%, 11/1/2036 (e) | 77 | 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782760, ARM, 4.31%, 11/1/2036 (e) | 57 | 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1J1634, ARM, 3.00%, 12/1/2036 (e) | 52 | 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 1Q0739, ARM, 4.02%, 3/1/2037 (e) | 48 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 848699, ARM, 3.47%, 7/1/2040 (e) | 99 | 100 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032 | 112 | 110 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C68485, 7.00%, 7/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01448, 7.00%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A13625, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A16107, 6.00%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A17537, 6.00%, 1/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A61572, 5.00%, 9/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 359 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A28796, 6.50%, 11/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G03369, 6.50%, 1/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 134 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A46987, 5.50%, 7/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G01919, 4.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02641, 7.00%, 10/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # C02660, 6.50%, 11/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93383, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 212 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # A93511, 5.00%, 8/1/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 197 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 201 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G06493, 4.50%, 5/1/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 871 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # Z40179, 4.00%, 7/1/2048 | &nbsp;&nbsp; 2159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2080 |
| &nbsp;&nbsp;&nbsp; FHLMC Gold Pools, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P20570, 7.00%, 7/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # G20027, 10.00%, 10/1/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U50105, 4.00%, 1/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 294 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U80254, 3.00%, 3/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 248 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # P20409, 5.50%, 10/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90975, 4.00%, 6/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 899 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U90673, 4.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U99134, 4.00%, 1/1/2046 | &nbsp;&nbsp; 4646 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # U69030, 4.50%, 1/1/2046 | &nbsp;&nbsp; 1636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1628 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035 | &nbsp;&nbsp; 1739 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1703 |
| &nbsp;&nbsp;&nbsp; FHLMC UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # RA6702, 3.00%, 2/1/2052 | &nbsp;&nbsp; 4045 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3602 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # QF0379, 5.00%, 8/1/2052 | &nbsp;&nbsp; 1751 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1744 |
| &nbsp;&nbsp;&nbsp; FNMA  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 54844, ARM, 2.80%, 9/1/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 303532, ARM, 3.97%, 3/1/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 555258, ARM, 2.65%, 1/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 161 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 722421, ARM, 2.66%, 7/1/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 686040, ARM, 3.67%, 7/1/2033 (e) | 94 | 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 722985, ARM, 3.90%, 7/1/2033 (e) | 9 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 746299, ARM, 4.06%, 9/1/2033 (e) | 71 | 72 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 766610, ARM, 3.36%, 1/1/2034 (e) | 27 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 920467, ARM, 4.50%, 2/1/2034 (e) | 69 | 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 770377, ARM, 2.35%, 4/1/2034 (e) | 30 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751531, ARM, 3.34%, 5/1/2034 (e) | 88 | 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 782306, ARM, 4.17%, 7/1/2034 (e) | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735332, ARM, 3.63%, 8/1/2034 (e) | 84 | 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 790235, ARM, 3.86%, 8/1/2034 (e) | 47 | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 791961, ARM, 2.69%, 9/1/2034 (e) | 15 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725902, ARM, 3.90%, 9/1/2034 (e) | 12 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803599, ARM, 3.83%, 10/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 803594, ARM, 3.84%, 10/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 896463, ARM, 4.32%, 10/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 806778, ARM, 3.52%, 11/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 337 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 806776, ARM, 4.86%, 11/1/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 802692, ARM, 2.99%, 1/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 810896, ARM, 4.11%, 1/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 142 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 816597, ARM, 2.05%, 2/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 735539, ARM, 2.70%, 4/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 352 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745862, ARM, 3.28%, 4/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 821378, ARM, 3.04%, 5/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 823660, ARM, 3.16%, 5/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 745766, ARM, 3.46%, 6/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 832801, ARM, 3.90%, 9/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 843026, ARM, 3.94%, 9/1/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 183 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 187 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849251, ARM, 3.61%, 1/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 895141, ARM, 3.57%, 7/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 900197, ARM, 4.33%, 10/1/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 966946, ARM, 2.28%, 1/1/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 15 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889634, 6.00%, 2/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995381, 6.00%, 1/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 995425, 6.00%, 1/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0133, 5.00%, 8/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 20 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 255217, 4.50%, 4/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888656, 6.50%, 4/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1138, 3.50%, 8/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 274 |
| &nbsp;&nbsp;&nbsp; FNMA UMBS, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 50966, 7.00%, 1/1/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 689977, 8.00%, 3/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695533, 8.00%, 6/1/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 756024, 8.00%, 9/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 755973, 8.00%, 11/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 455759, 6.00%, 12/1/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252211, 6.00%, 1/1/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 459097, 7.00%, 1/1/2029 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 889020, 6.50%, 11/1/2029 | 135 | 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 598559, 6.50%, 8/1/2031 | 22 | 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 622542, 5.50%, 9/1/2031 | 122 | 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 788150, 6.00%, 3/1/2032 | 17 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 649734, 7.00%, 6/1/2032 | 8 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 675555, 6.00%, 12/1/2032 | 37 | 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL0045, 6.00%, 12/1/2032 | 170 | 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 674349, 6.00%, 3/1/2033 | 10 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688625, 6.00%, 3/1/2033 | 13 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 688655, 6.00%, 3/1/2033 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 695584, 6.00%, 3/1/2033 | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 702901, 6.00%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 723852, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729296, 5.00%, 7/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 159 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 729379, 6.00%, 8/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 737825, 6.00%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 750977, 4.50%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 725017, 5.50%, 12/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 242 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 751341, 5.50%, 3/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888568, 5.00%, 12/1/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 815426, 4.50%, 2/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0755, 7.00%, 6/1/2035 | &nbsp;&nbsp; 1652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 820347, 5.00%, 9/1/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 833657, 7.50%, 8/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 986648, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888892, 7.50%, 11/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 257510, 7.00%, 12/1/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AD0753, 7.00%, 1/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT5891, 3.00%, 6/1/2043 | &nbsp;&nbsp; 1793 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL7527, 4.50%, 9/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 638 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM3500, 4.00%, 9/1/2047 | &nbsp;&nbsp; 1805 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BJ1778, 4.50%, 10/1/2047 | &nbsp;&nbsp;&nbsp;&nbsp; 666 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 661 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BN9180, 4.00%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 375 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BK8753, 4.50%, 6/1/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO1219, 4.50%, 6/1/2049 | &nbsp;&nbsp; 1986 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1964 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO7077, 3.00%, 9/1/2049 | &nbsp;&nbsp; 2018 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5549, 3.00%, 4/1/2050 | &nbsp;&nbsp; 5038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4517 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA5702, 2.50%, 5/1/2050 | &nbsp;&nbsp; 6209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6079, 2.50%, 6/1/2050 | &nbsp;&nbsp; 3345 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BP6439, 2.50%, 7/1/2050 | &nbsp;&nbsp; 7374 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CA6361, 2.50%, 7/1/2050 | &nbsp;&nbsp; 4602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4005 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BU0070, 2.50%, 10/1/2051 | &nbsp;&nbsp; 4993 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2637, 2.50%, 1/1/2052 | &nbsp;&nbsp; 4182 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3595 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB2670, 3.00%, 1/1/2052 | &nbsp;&nbsp; 3855 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3383, 4.00%, 4/1/2052 | &nbsp;&nbsp; 4631 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4386 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3679, 4.00%, 5/1/2052 | &nbsp;&nbsp; 4227 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3999 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB3913, 4.00%, 5/1/2052 | &nbsp;&nbsp; 1678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1587 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB4124, 4.00%, 6/1/2052 | 2154 | 2038 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW8524, 5.00%, 9/1/2052 | 2841 | 2830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BW9985, 5.00%, 9/1/2052 | 3755 | 3739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6789, 4.00%, 10/1/2052 | 1426 | 1349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BX0091, 5.00%, 10/1/2052 | 2096 | 2087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BV6794, 5.00%, 11/1/2052 | 1768 | 1769 |
| &nbsp;&nbsp;&nbsp; FNMA, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 535183, 8.00%, 6/1/2028 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 252409, 6.50%, 3/1/2029 | 25 | 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 653815, 7.00%, 2/1/2033 | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 752786, 6.00%, 9/1/2033 | 42 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 931717, 6.50%, 8/1/2039 | 168 | 171 |
| &nbsp;&nbsp;&nbsp; FNMA, Other  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM3789, 3.02%, 7/1/2023 | &nbsp;&nbsp;&nbsp; 2083 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4628, 3.69%, 11/1/2023 | &nbsp;&nbsp;&nbsp; 1413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1392 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4668, 3.76%, 11/1/2023 | &nbsp;&nbsp;&nbsp; 1849 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1822 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4716, 3.38%, 12/1/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 470300, 3.64%, 1/1/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 854 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 835 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM3833, 3.25%, 7/1/2025 | &nbsp;&nbsp;&nbsp; 3336 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM4991, 3.97%, 12/1/2025 | &nbsp;&nbsp;&nbsp; 1607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1580 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AL6805, 3.81%, 1/1/2026 (e) | &nbsp;&nbsp;&nbsp; 1773 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1735 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468645, 4.54%, 7/1/2026 | &nbsp;&nbsp;&nbsp; 2413 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM6448, 3.25%, 9/1/2026 | &nbsp;&nbsp;&nbsp; 9250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8871 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7223, 3.11%, 12/1/2026 | &nbsp;&nbsp;&nbsp; 3252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7515, 3.34%, 2/1/2027 | &nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8803, 2.78%, 6/1/2027 | &nbsp;&nbsp;&nbsp; 4623 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4337 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8987, 2.79%, 6/1/2027 | &nbsp;&nbsp;&nbsp; 1713 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9574, 1.00%, 12/1/2027 | &nbsp;&nbsp;&nbsp; 4035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL1040, 3.81%, 12/1/2028 | &nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2917 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4364, 2.24%, 11/1/2029 | &nbsp;&nbsp;&nbsp; 5456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4815 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4333, 2.52%, 11/1/2029 | &nbsp;&nbsp;&nbsp; 5983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7785, 3.17%, 2/1/2030 | &nbsp;&nbsp;&nbsp; 2745 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2547 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM7516, 3.55%, 2/1/2030 | &nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8544, 3.08%, 4/1/2030 | &nbsp;&nbsp;&nbsp; 7327 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8889, 2.92%, 5/1/2030 | &nbsp;&nbsp;&nbsp; 8000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9020, 2.97%, 6/1/2030 | &nbsp;&nbsp;&nbsp; 3679 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7241, 5.05%, 9/1/2030 (f) | &nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5131 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL9251, 1.45%, 10/1/2030 | &nbsp;&nbsp;&nbsp; 4495 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BL4315, 2.39%, 9/1/2031 | &nbsp;&nbsp;&nbsp; 4461 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3869 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5153, 2.53%, 9/1/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 971 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5071, 2.63%, 9/1/2031 | &nbsp;&nbsp;&nbsp; 2994 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2592 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4313, 1.98%, 1/1/2032 | &nbsp;&nbsp;&nbsp; 8350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6845 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM7037, 1.75%, 3/1/2032 (e) | &nbsp;&nbsp;&nbsp; 6749 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5760, 2.43%, 5/1/2032 | &nbsp;&nbsp;&nbsp; 2972 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2564 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AN6149, 3.14%, 7/1/2032 | &nbsp;&nbsp;&nbsp; 3050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2739 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6243, 3.87%, 8/1/2032 | &nbsp;&nbsp;&nbsp; 2172 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS5887, 3.51%, 9/1/2032 | &nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1858 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6597, 3.67%, 9/1/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 820 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 767 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6339, 3.80%, 9/1/2032 | 3844 | 3659 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6505, 3.54%, 10/1/2032 | 3487 | 3260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6822, 3.81%, 10/1/2032 | 5575 | 5311 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6759, 3.97%, 10/1/2032 | 4994 | 4827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP9632, 4.00%, 10/1/2032 | 151 | 145 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AP9762, 4.00%, 10/1/2032 | 223 | 213 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6926, 4.51%, 10/1/2032 | 4000 | 4032 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6928, 4.55%, 10/1/2032 | 2065 | 2090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS6601, 3.54%, 11/1/2032 | 6715 | 6252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7115, 3.81%, 11/1/2032 | 10120 | 9631 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AQ7084, 3.50%, 12/1/2032 | 428 | 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT2703, 3.50%, 5/1/2033 | 712 | 677 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT2954, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT4180, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AT4939, 3.50%, 5/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 388 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 754922, 5.50%, 9/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 61 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 762520, 4.00%, 11/1/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 189 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 183 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4198, 2.16%, 12/1/2033 | &nbsp;&nbsp;&nbsp; 9000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7384 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4237, 2.16%, 12/1/2033 | &nbsp;&nbsp;&nbsp; 4460 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3597 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS7097, 4.67%, 11/1/2034 | &nbsp;&nbsp;&nbsp; 7251 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7256 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM8922, 3.03%, 6/1/2035 | &nbsp;&nbsp;&nbsp; 2428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AM9188, 3.12%, 6/1/2035 | &nbsp;&nbsp;&nbsp; 7000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 849215, 6.50%, 1/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 872740, 6.50%, 6/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 886320, 6.50%, 7/1/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BS4368, 2.29%, 1/1/2037 | &nbsp;&nbsp;&nbsp; 5243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 888796, 6.00%, 9/1/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO7225, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 255 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AO9352, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 367 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1125, 4.00%, 7/1/2042 | &nbsp;&nbsp;&nbsp;&nbsp; 365 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AR1397, 3.00%, 1/1/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 796 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1711, 4.50%, 12/1/2043 | &nbsp;&nbsp;&nbsp; 1411 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1400 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA1828, 4.50%, 3/1/2044 | &nbsp;&nbsp;&nbsp; 1110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1102 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0558, 5.00%, 12/1/2049 | &nbsp;&nbsp;&nbsp; 4053 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0464, 3.50%, 3/1/2060 | &nbsp;&nbsp;&nbsp; 2975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0546, 2.50%, 7/1/2061 | &nbsp;&nbsp;&nbsp; 4023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3364 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0560, 2.50%, 9/1/2061 | &nbsp;&nbsp;&nbsp; 5158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0590, 2.50%, 12/1/2061 | &nbsp;&nbsp;&nbsp; 7873 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0579, 3.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp; 6771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BF0583, 4.00%, 12/1/2061 | &nbsp;&nbsp;&nbsp; 4797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4586 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust , 6.30%, 1/25/2029 (b) (e) | &nbsp;&nbsp;&nbsp; 3397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3155 |
| &nbsp;&nbsp;&nbsp; GNMA I, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 345288, 7.50%, 3/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 554108, 6.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 468149, 8.00%, 8/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486537, 7.50%, 9/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 486631, 6.50%, 10/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 591882, 6.50%, 7/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607645, 6.50%, 2/15/2033 | 26 | 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 607724, 7.00%, 2/15/2033 | 30 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 604209, 6.50%, 4/15/2033 | 33 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 781614, 7.00%, 6/15/2033 | 42 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2141, 5.00%, 7/15/2049 | 495 | 511 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO1916, 5.00%, 9/15/2052 | 2992 | 3032 |
| &nbsp;&nbsp;&nbsp; GNMA II  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5524, ARM, 5.92%, 8/20/2071 (e) | 2617 | 2712 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CE5546, ARM, 5.83%, 10/20/2071 (e) | 4864 | 5021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2783, ARM, 5.79%, 2/20/2072 (e) | 4775 | 4925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2799, ARM, 5.80%, 3/20/2072 (e) | 3910 | 4037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2810, ARM, 5.77%, 4/20/2072 (e) | 4589 | 4733 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CP1819, ARM, 5.92%, 7/20/2072 (e) | &nbsp;&nbsp;&nbsp; 3595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3748 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CG5357, ARM, 5.76%, 8/20/2072 (e) | &nbsp;&nbsp;&nbsp; 2444 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2519 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CP4923, ARM, 6.01%, 8/20/2072 (e) | &nbsp;&nbsp;&nbsp; 5535 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5774 |
| &nbsp;&nbsp;&nbsp; GNMA II, 30 Year  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2006, 8.50%, 5/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2141, 8.00%, 12/20/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2234, 8.00%, 6/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2270, 8.00%, 8/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2285, 8.00%, 9/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2324, 8.00%, 11/20/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2499, 8.00%, 10/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2512, 8.00%, 11/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2525, 8.00%, 12/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2549, 7.50%, 2/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2646, 7.50%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 2647, 8.00%, 9/20/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 3427, 4.50%, 8/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 4245, 6.00%, 9/20/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 385 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # AK8806, 4.25%, 3/20/2045 | &nbsp;&nbsp;&nbsp;&nbsp; 946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM2118, 4.50%, 6/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO0535, 4.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp; 1166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8227, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 887 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 911 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BO8229, 5.00%, 7/20/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 727 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BM9734, 4.00%, 10/20/2049 | &nbsp;&nbsp;&nbsp; 1753 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # BQ4115, 3.00%, 3/20/2050 | &nbsp;&nbsp;&nbsp; 3515 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # 785294, 3.50%, 1/20/2051 | &nbsp;&nbsp;&nbsp; 3951 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CB1543, 3.00%, 2/20/2051 | &nbsp;&nbsp;&nbsp; 2624 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7534, 2.50%, 8/20/2051 | 26273 | &nbsp;&nbsp;&nbsp;&nbsp; 23161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA7649, 2.50%, 10/20/2051 | &nbsp;&nbsp;&nbsp; 4823 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2698, 3.00%, 2/20/2052 | &nbsp;&nbsp;&nbsp; 1414 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1263 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CK2716, 3.50%, 2/20/2052 | &nbsp;&nbsp;&nbsp; 3975 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3650 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2161, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp; 2467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CM2213, 3.00%, 3/20/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 473 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 422 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CN2859, 4.50%, 6/20/2052 | &nbsp;&nbsp;&nbsp; 4124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO4824, 5.00%, 6/20/2052 | &nbsp;&nbsp;&nbsp; 1627 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO4865, 5.00%, 7/20/2052 | &nbsp;&nbsp;&nbsp; 1886 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1890 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** | **Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # MA8200, 4.00%, 8/20/2052 | 9601 | 9169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pool # CO8413, 4.50%, 9/20/2052 | 4988 | 4888 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Mortgage-Backed Securities <br>(Cost $455,842)<br>|  | &nbsp;&nbsp;&nbsp; 427593 |
| **Asset-Backed Securities — 14.4%** | **Asset-Backed Securities — 14.4%** | **Asset-Backed Securities — 14.4%** |
| &nbsp;&nbsp;&nbsp; Academic Loan Funding Trust Series 2013-1A, Class A, 4.82%, 12/26/2044 (b) (e) | 611 | 586 |
| &nbsp;&nbsp;&nbsp; ACC Series 2019-AA, 0.25%, 9/15/2022 ‡ | 3821 | 3801 |
| &nbsp;&nbsp;&nbsp; Air Canada Pass-Through Trust (Canada) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1, Class A, 4.13%, 5/15/2025 (b) | 480 | 435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class AA, 3.75%, 12/15/2027 (b) | 192 | 167 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | 390 | 335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class A, 3.55%, 1/15/2030 (b) | 553 | 445 |
| &nbsp;&nbsp;&nbsp; American Airlines Pass-Through Trust Series 2016-3, Class AA, 3.00%, 10/15/2028 | 160 | 141 |
| &nbsp;&nbsp;&nbsp; American Homes 4 Rent Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b) | &nbsp;&nbsp;&nbsp; 3430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3287 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (b) | &nbsp;&nbsp;&nbsp; 2000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 828 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b) | &nbsp;&nbsp;&nbsp; 2555 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SFR3, Class E, 6.42%, 12/17/2036 (b) | &nbsp;&nbsp;&nbsp; 2380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2348 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b) | &nbsp;&nbsp;&nbsp; 3652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (b) | &nbsp;&nbsp;&nbsp; 1275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1237 |
| &nbsp;&nbsp;&nbsp; American Tower Trust #1, 3.07%, 3/15/2023 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 750 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp; AMSR Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (b) | &nbsp;&nbsp;&nbsp; 1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1345 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 ‡ (b) | &nbsp;&nbsp;&nbsp; 2168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1819 |
| &nbsp;&nbsp;&nbsp; Bridge Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR13.40%, 11/17/2037 (b) | &nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR14.45%, 11/17/2037 (b) | &nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3817 |
| &nbsp;&nbsp;&nbsp; British Airways Pass-Through Trust (United Kingdom) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.80%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 459 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 415 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 4.13%, 9/20/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 737 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 3.30%, 12/15/2032 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 628 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 536 |
| &nbsp;&nbsp;&nbsp; Business Jet Securities LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.98%, 11/15/2035 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 718 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 651 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.16%, 4/15/2036 (b) | &nbsp;&nbsp;&nbsp; 2827 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2461 |
| &nbsp;&nbsp;&nbsp; Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡ | &nbsp;&nbsp;&nbsp; 4676 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4637 |
| &nbsp;&nbsp;&nbsp; Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 797 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702 |
| &nbsp;&nbsp;&nbsp; CFIN Issuer LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 ‡ (b) | &nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4011 |
| &nbsp;&nbsp;&nbsp; Chase Funding Trust Series 2003-6, Class 1A7, 4.88%, 11/25/2034 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp; 245 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 240 |
| &nbsp;&nbsp;&nbsp; Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 881 |
| &nbsp;&nbsp;&nbsp; Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 7.99%, 3/24/2023 (b) (e) | &nbsp;&nbsp;&nbsp; 1314 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1317 |
| &nbsp;&nbsp;&nbsp; Continental Finance Credit Card ABS Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A, 2.24%, 12/15/2028 (b) | &nbsp;&nbsp;&nbsp; 2070 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 6.19%, 10/15/2030 (b) | &nbsp;&nbsp;&nbsp; 4080 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3901 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; CoreVest American Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (b) | 2000 | 1695 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class B, 2.20%, 8/15/2053 ‡ (b) | 3180 | 2442 |
| &nbsp;&nbsp;&nbsp; CPS Auto Receivables Trust Series 2022-D, Class C, 7.69%, 1/16/2029 (b) | 4000 | 4035 |
| &nbsp;&nbsp;&nbsp; Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class C, 1.64%, 6/17/2030 (b) | 7280 | 6532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 8.45%, 2/15/2033 (b) | 4100 | 4136 |
| &nbsp;&nbsp;&nbsp; Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (b) | 1037 | 984 |
| &nbsp;&nbsp;&nbsp; CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 4.94%, 10/25/2034 (e) | 60 | 57 |
| &nbsp;&nbsp;&nbsp; DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b) | 2700 | 2329 |
| &nbsp;&nbsp;&nbsp; Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027 | 229 | 211 |
| &nbsp;&nbsp;&nbsp; Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (b) | 1311 | 1277 |
| &nbsp;&nbsp;&nbsp; Diversified Abs Phase III LLC Series 2022-1, 4.88%, 4/28/2039 ‡ (b) | &nbsp;&nbsp;&nbsp; 5123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4713 |
| &nbsp;&nbsp;&nbsp; Diversified Abs Phase LLC Series VI, Class A, 7.50%, 11/28/2039 ‡ | &nbsp;&nbsp;&nbsp; 3262 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3176 |
| &nbsp;&nbsp;&nbsp; Exeter Automobile Receivables Trust Series 2019-3A, Class D, 3.11%, 8/15/2025 (b) | &nbsp;&nbsp;&nbsp; 2595 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2544 |
| &nbsp;&nbsp;&nbsp; FirstKey Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR34.50%, 7/17/2026 (b) (f) | &nbsp;&nbsp;&nbsp; 3466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3170 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (b) | &nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2634 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (b) | &nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, 7/17/2039 ‡ (b) | &nbsp;&nbsp;&nbsp; 3700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3110 |
| &nbsp;&nbsp;&nbsp; Flagship Credit Auto Trust Series 2022-4, Class C, 7.71%, 10/16/2028 (b) | &nbsp;&nbsp;&nbsp; 5190 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5241 |
| &nbsp;&nbsp;&nbsp; FMC GMSR Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 2/25/2024 (b) (e) | &nbsp;&nbsp;&nbsp; 7325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7006 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4361 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 4300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 3370 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GT1, Class A, 6.19%, 4/25/2027 (b) | &nbsp;&nbsp;&nbsp; 6000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5297 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | &nbsp;&nbsp;&nbsp; 4836 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4544 |
| &nbsp;&nbsp;&nbsp; Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 313 |
| &nbsp;&nbsp;&nbsp; FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 ‡ (b) | &nbsp;&nbsp;&nbsp; 3585 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3525 |
| &nbsp;&nbsp;&nbsp; Freedom Series 2021-SAVF1, 4.90%, 3/25/2023 (e) | &nbsp;&nbsp;&nbsp; 3948 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3874 |
| &nbsp;&nbsp;&nbsp; GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp; GLS Auto Receivables Issuer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class C, 5.34%, 6/15/2028 (b) | &nbsp;&nbsp;&nbsp; 2361 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D, 6.42%, 6/15/2028 (b) | &nbsp;&nbsp;&nbsp; 2500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2375 |
| &nbsp;&nbsp;&nbsp; Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp; Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (b) | &nbsp;&nbsp;&nbsp; 1406 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1210 |
| &nbsp;&nbsp;&nbsp; Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 277 |
| &nbsp;&nbsp;&nbsp; HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 740 |
| &nbsp;&nbsp;&nbsp; HERO Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 807 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 764 |
| &nbsp;&nbsp;&nbsp; HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class B, 5.94%, 4/20/2037 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 1500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1430 |
| &nbsp;&nbsp;&nbsp; Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 |
| &nbsp;&nbsp;&nbsp; Jonah Energy Abs LLC Series 2022-1, Class A1, 7.20%, 12/10/2037 (b) | &nbsp;&nbsp;&nbsp; 2470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2453 |
| &nbsp;&nbsp;&nbsp; KGS-Alpha SBA COOF Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-2, Class A, IO, 0.81%, 8/25/2038 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 1399 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2, Class A, IO, 1.75%, 3/25/2039 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 1470 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-2, Class A, IO, 3.03%, 7/25/2041 ‡ (b) (e) | 500 | 51 |
| &nbsp;&nbsp;&nbsp; Lending Funding Trust Series 2020-2A, 4.30%, 4/21/2031 (b) | 1795 | 1505 |
| &nbsp;&nbsp;&nbsp; Lendingpoint Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class B, 5.99%, 10/15/2029 ‡ (b) | 5237 | 4966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 7.46%, 2/15/2030 ‡ (b) | 4000 | 3977 |
| &nbsp;&nbsp;&nbsp; LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b) | 4867 | 4791 |
| &nbsp;&nbsp;&nbsp; LL ABS Trust Series 2022-1A, Class B, 5.05%, 11/15/2029 ‡ (b) | 2900 | 2766 |
| &nbsp;&nbsp;&nbsp; LP LMS Asset Securitization Trust, 3.23%, 10/15/2028 | 1209 | 1192 |
| &nbsp;&nbsp;&nbsp; Mariner Finance Issuance Trust Series 2022-AA, Class C, 7.90%, 10/20/2037 ‡ (b) | 2033 | 2030 |
| &nbsp;&nbsp;&nbsp; Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (b) | 2330 | 2210 |
| &nbsp;&nbsp;&nbsp; Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (b) | 409 | 395 |
| &nbsp;&nbsp;&nbsp; MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (b) | 1503 | 1406 |
| &nbsp;&nbsp;&nbsp; New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.83%, 11/25/2033 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp; 231 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 215 |
| &nbsp;&nbsp;&nbsp; NRZ Excess Spread-Collateralized Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b) | &nbsp;&nbsp;&nbsp; 1094 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b) | &nbsp;&nbsp;&nbsp; 5375 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4686 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b) | &nbsp;&nbsp;&nbsp; 3106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2735 |
| &nbsp;&nbsp;&nbsp; OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (b) | &nbsp;&nbsp;&nbsp; 3880 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3613 |
| &nbsp;&nbsp;&nbsp; Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b) | &nbsp;&nbsp;&nbsp; 2367 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2301 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027 (b) | &nbsp;&nbsp;&nbsp; 1839 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1804 |
| &nbsp;&nbsp;&nbsp; Pagaya AI Technology in Housing Trust Series 2022-1, Class A, 4.25%, 8/25/2025 (b) | &nbsp;&nbsp;&nbsp; 2667 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2501 |
| &nbsp;&nbsp;&nbsp; Pendoor Proper0.00%, 2/15/2026 ‡ (b) | &nbsp;&nbsp;&nbsp; 4150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3953 |
| &nbsp;&nbsp;&nbsp; PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 7.80%, 5/25/2027 (b) (e) | &nbsp;&nbsp;&nbsp; 3450 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3244 |
| &nbsp;&nbsp;&nbsp; Prestige Auto Receivables Trust Series 2022-1A, Class C, 7.09%, 8/15/2028 (b) | &nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4007 |
| &nbsp;&nbsp;&nbsp; PRET LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (b) (d) | &nbsp;&nbsp;&nbsp; 2799 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN3, Class A1, 1.84%, 9/25/2051 ‡ (b) (d) | &nbsp;&nbsp;&nbsp; 3778 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3397 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (e) | &nbsp;&nbsp;&nbsp; 5684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4988 |
| &nbsp;&nbsp;&nbsp; Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 ‡ (b) (d) | &nbsp;&nbsp;&nbsp; 3331 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3008 |
| &nbsp;&nbsp;&nbsp; Progress Residential Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.55%, 4/17/2027 | &nbsp;&nbsp;&nbsp; 4000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR3, Class C, 1.70%, 10/17/2027 ‡ (b) | &nbsp;&nbsp;&nbsp; 3250 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (b) | &nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4678 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b) | &nbsp;&nbsp;&nbsp; 3446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2837 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 5.60%, 4/17/2039 (b) | &nbsp;&nbsp;&nbsp; 2685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR5, Class E1, 6.62%, 6/17/2039 (b) | &nbsp;&nbsp;&nbsp; 3619 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3309 |
| &nbsp;&nbsp;&nbsp; Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp; 287 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |
| &nbsp;&nbsp;&nbsp; Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 382 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 346 |
| &nbsp;&nbsp;&nbsp; RMIP Series 2019-1B, 4.71%, 8/25/2023 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 488 |
| &nbsp;&nbsp;&nbsp; Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027 | &nbsp;&nbsp;&nbsp; 4829 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4702 |
| &nbsp;&nbsp;&nbsp; Santander Retail Auto Lease Trust Series 2020-A, Class A4, 1.76%, 3/20/2024 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp; SCF Equipment Leasing LLC Series 2022-2A, Class C, 6.50%, 8/20/2032 (b) | &nbsp;&nbsp;&nbsp; 3688 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3595 |
| &nbsp;&nbsp;&nbsp; Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (d) | &nbsp;&nbsp;&nbsp;&nbsp; 153 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp; Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 ‡ (b) | &nbsp;&nbsp;&nbsp;&nbsp; 808 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 751 |
| &nbsp;&nbsp;&nbsp; Sonoran Auto Receivables Trust Series 2018-1, 4.76%, 6/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 792 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 783 |
| &nbsp;&nbsp;&nbsp; Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp; 300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 259 |
| &nbsp;&nbsp;&nbsp; Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp; Tricon Residential Trust Series 2022-SFR1, Class D, 4.75%, 4/17/2039 ‡ (b) | &nbsp;&nbsp;&nbsp; 1837 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1684 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** | **Asset-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp; United Airlines Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class B, 3.65%, 10/7/2025 | 858 | 753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class B, 4.60%, 3/1/2026 | 523 | 475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1, Class A, 3.45%, 7/7/2028 | 578 | 473 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class A, 3.10%, 10/7/2028 | 982 | 769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class AA, 3.50%, 3/1/2030 | 884 | 758 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A, 3.70%, 3/1/2030 | 1371 | 1103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class AA, 4.15%, 8/25/2031 | 866 | 778 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A, 4.55%, 8/25/2031 | 774 | 653 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class AA, 2.70%, 5/1/2032 | 1162 | 944 |
| &nbsp;&nbsp;&nbsp; Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (b) | 1856 | 1844 |
| &nbsp;&nbsp;&nbsp; US Airways Pass-Through Trust Series 2011-1, Class A, 7.13%, 10/22/2023 | 1142 | 1147 |
| &nbsp;&nbsp;&nbsp; US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (b) | &nbsp;&nbsp;&nbsp; 4700 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4446 |
| &nbsp;&nbsp;&nbsp; vMobo, Inc., 7.46%, 7/18/2027 ‡ | &nbsp;&nbsp;&nbsp; 6154 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5785 |
| &nbsp;&nbsp;&nbsp; VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 ‡ (b) (d) | &nbsp;&nbsp;&nbsp; 2012 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1843 |
| &nbsp;&nbsp;&nbsp; VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 ‡ (b) (d) | &nbsp;&nbsp;&nbsp; 4955 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4436 |
| &nbsp;&nbsp;&nbsp; VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (d) | &nbsp;&nbsp;&nbsp; 3468 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3069 |
| &nbsp;&nbsp;&nbsp; VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (d) | &nbsp;&nbsp;&nbsp; 2885 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2567 |
| &nbsp;&nbsp;&nbsp; VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (d) | &nbsp;&nbsp;&nbsp; 2935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2618 |
| &nbsp;&nbsp;&nbsp; Westlake Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D, 3.20%, 11/15/2024 (b) | &nbsp;&nbsp;&nbsp; 1106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, 5.48%, 9/15/2027 (b) | &nbsp;&nbsp;&nbsp; 4910 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4641 |
| &nbsp;&nbsp;&nbsp; WILMA, 7.95%, 3/27/2029 ‡ | &nbsp;&nbsp;&nbsp; 3000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Asset-Backed Securities <br>(Cost $326,824)<br>|  | &nbsp;&nbsp;&nbsp; 305161 |
| **Collateralized Mortgage Obligations — 7.5%** | **Collateralized Mortgage Obligations — 7.5%** | **Collateralized Mortgage Obligations — 7.5%** |
| &nbsp;&nbsp;&nbsp; Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034 | &nbsp;&nbsp;&nbsp; 2883 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1CB, Class 1A6, IF, IO, 3.06%, 3/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 376 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A2, IF, IO, 1.03%, 6/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp; 2893 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-20CB, Class 3A8, IF, IO, 0.71%, 7/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp; 1089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp; 1029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 889 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-37T1, Class A2, IF, IO, 1.01%, 9/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp; 2116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 125 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A2, IF, IO, 0.81%, 11/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp; 1642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-57CB, Class 3A2, IF, IO, 1.06%, 12/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 437 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 321 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26CB, Class A9, 6.50%, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 875 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 498 |
| &nbsp;&nbsp;&nbsp; Banc of America Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 15, PO, 7/25/2019 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A4, 6.00%, 5/25/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 193 |
| &nbsp;&nbsp;&nbsp; Banc of America Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, PO, 3/25/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 30, PO, 9/20/2034 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A7, 5.50%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 30, PO, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class 30, PO, 1/25/2036 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A, Class 3A2, 3.51%, 2/20/2036 (e) | 99 | 87 |
| &nbsp;&nbsp;&nbsp; Banc of America Mortgage Trust Series 2004-A, Class 2A2, 2.63%, 2/25/2034 (e) | 26 | 25 |
| &nbsp;&nbsp;&nbsp; Bear Stearns ARM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-7, Class 3A, 3.48%, 10/25/2033 (e) | 15 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 12A1, 2.99%, 4/25/2034 (e) | 154 | 140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-2, Class 14A, 3.10%, 5/25/2034 (e) | 19 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1, Class A1, 6.80%, 2/25/2036 (e) | 283 | 266 |
| &nbsp;&nbsp;&nbsp; CFMT LLC Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (e) | 1573 | 1520 |
| &nbsp;&nbsp;&nbsp; CHL Mortgage Pass-Through Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 2A1, 4.50%, 6/25/2019 | 2 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB1, Class 2A, 3.33%, 5/20/2034 (e) | 31 | 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB3, Class 2A, 2.72%, 6/20/2034 (e) | 115 | 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 2A1, 3.16%, 6/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-HYB6, Class A3, 3.87%, 11/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 111 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class A23, 5.50%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 198 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22, Class 2A1, 3.45%, 11/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 652 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 505 |
| &nbsp;&nbsp;&nbsp; Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class A, PO, 8/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-8, Class A, PO, 11/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp; Citigroup Global Markets Mortgage Securities VII, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP2, Class 1, PO, 12/25/2018 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-HYB1, Class A, 4.24%, 9/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 241 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp; Citigroup Mortgage Loan Trust, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 3, PO, 9/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-UP3, Class A3, 7.00%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2, PO, 10/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A6, PO, 10/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class 2A5, 5.25%, 10/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-UST1, Class A6, 3.91%, 8/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-1, Class 2A1A, 2.55%, 2/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 146 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A11, 5.50%, 5/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-5, Class 1A2, 4.03%, 8/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp; Credit Suisse First Boston Mortgage Securities Corp. (Switzerland) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-1, Class DB1, 6.66%, 2/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 178 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-21, Class 1A4, 5.25%, 9/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-25, Class 1P, PO, 10/25/2033 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 |
| &nbsp;&nbsp;&nbsp; CSFB Mortgage-Backed Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 3A18, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 486 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 462 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 3A23, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp; 1025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 975 |
| &nbsp;&nbsp;&nbsp; CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (e) | &nbsp;&nbsp;&nbsp; 5418 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5071 |
| &nbsp;&nbsp;&nbsp; FHLMC - GNMA Series 8, Class ZA, 7.00%, 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; FHLMC, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1455, Class WB, IF, 2.97%, 12/15/2022 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1470, Class F, 2.03%, 2/15/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2568, Class KG, 5.50%, 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1466, Class PZ, 7.50%, 2/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1498, Class I, 5.02%, 4/15/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1502, Class PX, 7.00%, 4/15/2023 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1518, Class G, IF, 4.68%, 5/15/2023 (e) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1798, Class F, 5.00%, 5/15/2023 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1505, Class Q, 7.00%, 5/15/2023 | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1541, Class O, 3.13%, 7/15/2023 (e) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2638, Class DS, IF, 4.73%, 7/15/2023 (e) | 1 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1541, Class M, HB, IF, 23.42%, 7/15/2023 (e) | 1 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1570, Class F, 2.79%, 8/15/2023 (e) |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1608, Class L, 6.50%, 9/15/2023 | 21 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1573, Class PZ, 7.00%, 9/15/2023 | 5 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2571, Class SK, IF, 17.80%, 9/15/2023 (e) | 2 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1591, Class PV, 6.25%, 10/15/2023 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1602, Class SA, IF, 11.66%, 10/15/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2710, Class HB, 5.50%, 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1642, Class PJ, 6.00%, 11/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2716, Class UN, 4.50%, 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1638, Class H, 6.50%, 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2283, Class K, 6.50%, 12/15/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1865, Class D, PO, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1760, Class ZD, 3.62%, 2/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1671, Class QC, IF, 10.00%, 2/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1686, Class SH, IF, 11.56%, 2/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1709, Class FA, 3.27%, 3/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1699, Class FC, 4.01%, 3/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1695, Class EB, 7.00%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1706, Class K, 7.00%, 3/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2033, Class SN, HB, IF, 25.62%, 3/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2306, Class K, PO, 5/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2306, Class SE, IF, IO, 6.48%, 5/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1745, Class D, 7.50%, 8/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3720, Class A, 4.50%, 9/15/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3131, Class BK, 5.50%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 130 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 130 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1829, Class ZB, 6.50%, 3/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1863, Class Z, 6.50%, 7/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1890, Class H, 7.50%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1899, Class ZE, 8.00%, 9/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3229, Class HE, 5.00%, 10/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1963, Class Z, 7.50%, 1/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1935, Class FL, 4.57%, 2/15/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1981, Class Z, 6.00%, 5/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1970, Class PG, 7.25%, 7/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1987, Class PE, 7.50%, 9/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019, Class Z, 6.50%, 12/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2038, Class PN, IO, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2040, Class PE, 7.50%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4251, Class KW, 2.50%, 4/15/2028 | &nbsp;&nbsp; 2715 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2043, Class CJ, 6.50%, 4/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2054, Class PV, 7.50%, 5/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PM, 6.25%, 8/15/2028 | 68 | 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2075, Class PH, 6.50%, 8/15/2028 | 60 | 62 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2086, Class GB, 6.00%, 9/15/2028 | 10 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2089, Class PJ, IO, 7.00%, 10/15/2028 | 30 | 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2095, Class PE, 6.00%, 11/15/2028 | 76 | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2125, Class JZ, 6.00%, 2/15/2029 | 28 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2136, Class PG, 6.00%, 3/15/2029 | 31 | 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2132, Class SB, IF, 14.22%, 3/15/2029 (e) | 6 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2141, IO, 7.00%, 4/15/2029 | 8 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2169, Class TB, 7.00%, 6/15/2029 | 96 | 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2163, Class PC, IO, 7.50%, 6/15/2029 | 10 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2172, Class QC, 7.00%, 7/15/2029 | 62 | 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2176, Class OJ, 7.00%, 8/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2201, Class C, 8.00%, 11/15/2029 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2209, Class TC, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2210, Class Z, 8.00%, 1/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2224, Class CB, 8.00%, 3/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2230, Class Z, 8.00%, 4/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2234, Class PZ, 7.50%, 5/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2247, Class Z, 7.50%, 8/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2256, Class MC, 7.25%, 9/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2259, Class ZM, 7.00%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 46 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2262, Class Z, 7.50%, 10/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2271, Class PC, 7.25%, 12/15/2030 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2296, Class PD, 7.00%, 3/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2313, Class LA, 6.50%, 5/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2325, Class PM, 7.00%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2359, Class ZB, 8.50%, 6/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZD, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2344, Class ZJ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2345, Class NE, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2351, Class PZ, 6.50%, 8/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2353, Class AZ, 6.00%, 9/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2367, Class ME, 6.50%, 10/15/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2396, Class FM, 4.32%, 12/15/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class OH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2399, Class TH, 6.50%, 1/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 72 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2464, Class SI, IF, IO, 4.13%, 2/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 142 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QX, IF, IO, 4.78%, 2/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class OE, 6.38%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class NG, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2420, Class XK, 6.50%, 2/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 110 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 114 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2412, Class SP, IF, 8.35%, 2/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2410, Class QS, IF, 9.43%, 2/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2444, Class ES, IF, IO, 4.08%, 3/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class SW, IF, IO, 4.13%, 3/15/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2430, Class WF, 6.50%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MC, 7.00%, 3/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2423, Class MT, 7.00%, 3/15/2032 | 71 | 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2435, Class CJ, 6.50%, 4/15/2032 | 104 | 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2434, Class TC, 7.00%, 4/15/2032 | 79 | 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2436, Class MC, 7.00%, 4/15/2032 | 46 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2455, Class GK, 6.50%, 5/15/2032 | 172 | 176 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2450, Class GZ, 7.00%, 5/15/2032 | 50 | 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2462, Class JG, 6.50%, 6/15/2032 | 74 | 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2466, Class PH, 6.50%, 6/15/2032 | 127 | 132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2474, Class NR, 6.50%, 7/15/2032 | 77 | 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2484, Class LZ, 6.50%, 7/15/2032 | 81 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2500, Class MC, 6.00%, 9/15/2032 | 86 | 89 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2835, Class QO, PO, 12/15/2032 | 11 | 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2543, Class YX, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 156 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2544, Class HC, 6.00%, 12/15/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 102 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2552, Class ME, 6.00%, 1/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 178 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2567, Class QD, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 177 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2575, Class ME, 6.00%, 2/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2596, Class QG, 6.00%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2586, Class WI, IO, 6.50%, 3/15/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2692, Class SC, IF, 5.54%, 7/15/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4240, Class B, 3.00%, 8/15/2033 | &nbsp;&nbsp; 2501 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2342 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3920, Class LP, 5.00%, 1/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 408 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 413 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2744, Class PE, 5.50%, 2/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3611, PO, 7/15/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2990, Class UZ, 5.75%, 6/15/2035 | &nbsp;&nbsp; 1028 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1048 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3004, Class EK, 5.50%, 7/15/2035 | &nbsp;&nbsp; 1233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3014, Class OD, PO, 8/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3085, Class WF, 4.67%, 8/15/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3047, Class OD, 5.50%, 10/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3074, Class BH, 5.00%, 11/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3064, Class MC, 5.50%, 11/15/2035 | &nbsp;&nbsp; 3095 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3140 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3102, Class FB, 4.17%, 1/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3102, Class HS, IF, 10.37%, 1/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class EO, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3117, Class OK, PO, 2/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 85 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3134, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3152, Class MO, PO, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 140 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3122, Class ZB, 6.00%, 3/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3138, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 99 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class BO, PO, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3219, Class DI, IO, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3819, Class ZQ, 6.00%, 4/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 523 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 546 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3149, Class SO, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3233, Class OP, PO, 5/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3171, Class MO, PO, 6/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3179, Class OA, PO, 7/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3194, Class SA, IF, IO, 3.23%, 7/15/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3211, Class SO, PO, 9/15/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 119 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 100 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3218, Class AO, PO, 9/15/2036 | 59 | 46 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3232, Class ST, IF, IO, 2.83%, 10/15/2036 (e) | 138 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3256, PO, 12/15/2036 | 82 | 66 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3261, Class OA, PO, 1/15/2037 | 97 | 79 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3260, Class CS, IF, IO, 2.27%, 1/15/2037 (e) | 153 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3274, Class JO, PO, 2/15/2037 | 23 | 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3275, Class FL, 4.31%, 2/15/2037 (e) | 23 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3290, Class SB, IF, IO, 2.58%, 3/15/2037 (e) | 208 | 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3318, Class AO, PO, 5/15/2037 | 6 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, PO, 5/15/2037 | 123 | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3315, Class HZ, 6.00%, 5/15/2037 | 83 | 84 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3326, Class JO, PO, 6/15/2037 | 7 | 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3331, PO, 6/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3607, Class OP, PO, 7/15/2037 | &nbsp;&nbsp;&nbsp;&nbsp; 280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 227 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4048, Class FJ, 3.31%, 7/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 335 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 325 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3385, Class SN, IF, IO, 2.13%, 11/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3387, Class SA, IF, IO, 2.55%, 11/15/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 122 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3422, Class AI, IO, 0.25%, 1/15/2038 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 701 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3404, Class SC, IF, IO, 2.13%, 1/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3424, Class PI, IF, IO, 2.93%, 4/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 173 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3481, Class SJ, IF, IO, 1.98%, 8/15/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3511, Class SA, IF, IO, 2.13%, 2/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 152 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3549, Class FA, 5.07%, 7/15/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3621, Class BO, PO, 1/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3747, Class PY, 4.00%, 10/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 771 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 743 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3925, Class FL, 4.32%, 1/15/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class QN, IF, 5.50%, 5/15/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3852, Class TP, IF, 5.50%, 5/15/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 237 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3957, Class B, 4.00%, 11/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 3966, Class NA, 4.00%, 12/15/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 4217, Class KY, 3.00%, 6/15/2043 | &nbsp;&nbsp; 2300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2018 |
| &nbsp;&nbsp;&nbsp; FHLMC, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 11, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 38 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 233, Class 13, IO, 5.00%, 9/15/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 270 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 299, Class 300, 3.00%, 1/15/2043 | &nbsp;&nbsp; 1280 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 310, PO, 9/15/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 642 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 323, Class 300, 3.00%, 1/15/2044 | &nbsp;&nbsp;&nbsp;&nbsp; 949 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 872 |
| &nbsp;&nbsp;&nbsp; FHLMC, Structured Pass-Through Certificates, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-41, Class 3A, 4.42%, 7/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 213 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 206 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-76, Class 2A, 2.02%, 10/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 508 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 438 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-51, Class 2A, 7.50%, 8/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 158 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 2A, 6.50%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 874 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 922 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-54, Class 3A, 7.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 242 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-58, Class A, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series T-59, Class 1AP, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp; First Horizon Alternative Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AA4, Class A1, 4.01%, 10/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 89 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 348 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FA4, Class 1A2, IF, IO, 1.61%, 8/25/2037 ‡ (e) | 838 | 84 |
| &nbsp;&nbsp;&nbsp; FNMA Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W1, Class 2A2, 7.00%, 12/25/2033 | 66 | 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W2, Class 2A2, 7.00%, 2/25/2044 | 122 | 128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-W15, Class 2AF, 4.27%, 8/25/2044 (e) | 165 | 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-W3, Class 2AF, 4.24%, 3/25/2045 (e) | 482 | 476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class 1AF1, 4.24%, 2/25/2046 (e) | 159 | 157 |
| &nbsp;&nbsp;&nbsp; FNMA, Grantor Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-T19, Class A2, 7.00%, 7/25/2042 | 413 | 437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-T3, Class 1A3, 7.00%, 2/25/2044 | 218 | 229 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-1, Class KA, 7.90%, 1/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-5, Class Z, 6.50%, 2/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-61, Class ZC, 7.00%, 2/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-14, Class J, 6.50%, 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-25, Class J, 7.50%, 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-21, Class KA, 7.70%, 3/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-4, Class C, PO, 4/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-62, Class SA, IF, 9.36%, 4/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-43, Class SA, IF, IO, 12.43%, 4/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, Class LW, 5.50%, 5/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-41, Class PE, 5.50%, 5/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-27, Class FD, 4.90%, 8/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-14, Class SE, IF, IO, 6.63%, 8/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-83, Class CS, 6.88%, 8/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-205, Class H, PO, 9/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G93-37, Class H, PO, 9/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-165, Class SD, IF, 4.70%, 9/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-179, Class SB, IF, 8.81%, 10/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-52, Class NS, IF, 12.13%, 10/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1995-19, Class Z, 6.50%, 11/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-230, Class FA, 4.19%, 12/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-247, Class FE, 5.02%, 12/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-225, Class UB, 6.50%, 12/25/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1993-247, Class SU, IF, 8.16%, 12/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class UD, IF, 10.44%, 12/25/2023 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-37, Class L, 6.50%, 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-40, Class Z, 6.50%, 3/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 60 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-53, Class NC, 5.50%, 7/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1995-2, Class Z, 8.50%, 1/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series G95-1, Class C, 8.80%, 1/25/2025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-20, IO, 1.84%, 3/25/2027 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-27, Class J, 7.50%, 4/18/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-29, Class J, 7.50%, 4/20/2027 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-39, Class PD, 7.50%, 5/20/2027 | 36 | 37 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-42, Class ZC, 6.50%, 7/18/2027 | 3 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-81, Class PI, IO, 7.00%, 12/18/2027 | 10 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-36, Class ZB, 6.00%, 7/18/2028 | 16 | 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-18, Class Z, 5.50%, 4/18/2029 | 15 | 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-17, Class C, 6.35%, 4/25/2029 | 12 | 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-62, Class PB, 7.50%, 12/18/2029 | 20 | 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-2, Class ZE, 7.50%, 2/25/2030 | 60 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-20, Class SA, IF, IO, 5.08%, 7/25/2030 (e) | 22 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2000-52, IO, 8.50%, 1/25/2031 | 7 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-7, Class PF, 7.00%, 3/25/2031 | 18 | 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-31, Class DB, 3.50%, 4/25/2031 | 905 | 874 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-33, Class ID, IO, 6.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 58 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-30, Class PM, 7.00%, 7/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 52 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-36, Class DE, 7.00%, 8/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-49, Class Z, 6.50%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class MY, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PD, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-44, Class PU, 7.00%, 9/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-52, Class KB, 6.50%, 10/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class SX, IF, 10.90%, 10/25/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-61, Class Z, 7.00%, 11/25/2031 | &nbsp;&nbsp;&nbsp;&nbsp; 194 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-72, Class SX, IF, 8.11%, 12/25/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-1, Class SA, IF, 12.14%, 2/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class LO, PO, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-21, Class PE, 6.50%, 4/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-28, Class PK, 6.50%, 5/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-66, Class CB, 3.00%, 6/25/2032 | &nbsp;&nbsp; 2848 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2691 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-37, Class Z, 6.50%, 6/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 36 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-130, Class GI, IO, 6.50%, 7/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-48, Class GH, 6.50%, 8/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 186 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 195 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-59, Class BG, PO, 12/25/2032 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-77, Class S, IF, 7.12%, 12/25/2032 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-22, Class UD, 4.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 611 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-35, Class UC, 3.75%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-42, Class GB, 4.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class AX, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-34, Class ED, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 535 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-39, IO, 6.00%, 5/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-33, Class IA, IO, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 185 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-97, Class KI, IO, 7.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 339 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-47, Class PE, 5.75%, 6/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-64, Class SX, IF, 4.33%, 7/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 23 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-132, Class OA, PO, 8/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-71, Class DS, IF, 2.44%, 8/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 197 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-74, Class SH, IF, 2.94%, 8/25/2033 (e) | 52 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-72, Class IE, IO, 5.50%, 8/25/2033 | 187 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-91, Class SD, IF, 5.81%, 9/25/2033 (e) | 43 | 42 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class AE, 3.00%, 10/25/2033 | 2963 | 2797 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class E, 3.00%, 10/25/2033 | 2703 | 2551 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-108, Class GU, 3.00%, 10/25/2033 | 3496 | 3296 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-116, Class SB, IF, IO, 3.58%, 11/25/2033 (e) | 257 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class P, PO, 12/25/2033 | 485 | 404 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-130, Class SX, IF, 5.50%, 1/25/2034 (e) | 4 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-25, Class SA, IF, 8.48%, 4/25/2034 (e) | 109 | 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class SK, IF, 5.46%, 5/25/2034 (e) | 201 | 194 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-46, Class QB, IF, 7.94%, 5/25/2034 (e) | 96 | 98 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-36, Class SA, IF, 8.48%, 5/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 247 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 259 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-51, Class SY, IF, 6.21%, 7/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 47 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-74, Class CS, IF, 8.98%, 5/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-56, Class S, IF, IO, 2.69%, 7/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 225 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-66, Class SG, IF, 7.33%, 7/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class PG, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-84, Class XM, 5.75%, 10/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 580 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 587 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-110, Class GL, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp; 1819 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1862 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-46, Class UC, 5.50%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-109, Class PC, 6.00%, 12/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-39, Class WC, 5.50%, 1/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OA, PO, 3/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class AO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 137 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 116 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-23, Class KO, PO, 4/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-44, Class GO, PO, 6/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 191 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-53, Class US, IF, IO, 2.56%, 6/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 151 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 126 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 83 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 69 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class AP, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 166 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class QO, PO, 7/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-56, Class FC, 4.31%, 7/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-58, Class FL, 4.48%, 7/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-60, Class DZ, 6.50%, 7/25/2036 | &nbsp;&nbsp;&nbsp; 3240 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-72, Class TO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-79, Class DO, PO, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 103 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-7, Class SG, IF, IO, 2.48%, 8/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 785 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-77, Class PC, 6.50%, 8/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 299 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-90, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 59 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-42, Class AO, PO, 9/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-19, Class IP, IO, 5.50%, 10/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 521 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-109, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-110, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-111, Class EO, PO, 11/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-124, Class HB, 3.27%, 11/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 357 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-119, PO, 12/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-118, Class A2, 3.23%, 12/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-70, Class CO, PO, 1/25/2037 | 209 | 177 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-128, Class BP, 5.50%, 1/25/2037 | 48 | 48 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class ES, IF, IO, 2.42%, 3/25/2037 (e) | 338 | 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-77, Class FG, 4.52%, 3/25/2037 (e) | 35 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class FC, 4.77%, 3/25/2037 (e) | 46 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class AO, PO, 5/25/2037 | 12 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-48, PO, 5/25/2037 | 57 | 47 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-60, Class AX, IF, IO, 3.13%, 7/25/2037 (e) | 1014 | 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-81, Class GE, 6.00%, 8/25/2037 | 98 | 100 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-88, Class VI, IF, IO, 2.52%, 9/25/2037 (e) | 718 | 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-91, Class ES, IF, IO, 2.44%, 10/25/2037 (e) | 523 | 45 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-116, Class HI, IO, 0.99%, 1/25/2038 (e) | 277 | 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-1, Class BI, IF, IO, 1.89%, 2/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-16, Class IS, IF, IO, 2.18%, 3/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 65 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class XI, IF, IO, 2.21%, 3/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 150 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-27, Class SN, IF, IO, 2.88%, 4/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-44, PO, 5/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-53, Class CI, IF, IO, 3.18%, 7/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-80, Class SA, IF, IO, 1.83%, 9/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 237 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-81, Class SB, IF, IO, 1.83%, 9/25/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class GS, IF, IO, 2.53%, 2/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-62, Class HJ, 6.00%, 5/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-60, Class HT, 6.00%, 8/25/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 217 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-99, Class SC, IF, IO, 2.16%, 12/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 57 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-103, Class MB, 3.32%, 12/25/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 104 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-49, Class SC, IF, 4.63%, 3/25/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 159 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-64, Class DM, 5.00%, 6/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-71, Class HJ, 5.50%, 7/25/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-147, Class SA, IF, IO, 2.51%, 1/25/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 678 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-30, Class LS, IO, 1.56%, 4/25/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 233 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class FA, 4.57%, 8/25/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 68 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-118, Class MT, 7.00%, 11/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 196 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-130, Class CA, 6.00%, 12/25/2041 | &nbsp;&nbsp;&nbsp;&nbsp; 434 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 449 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class TA, 3.00%, 2/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 944 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 906 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-92, PO, 9/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 540 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 410 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-90, Class PM, 3.50%, 9/25/2043 | &nbsp;&nbsp;&nbsp; 1694 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-101, Class DO, PO, 10/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 945 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 702 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-128, PO, 12/25/2043 | &nbsp;&nbsp;&nbsp;&nbsp; 983 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 776 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-2, Class WA, 5.88%, 2/25/2051 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 131 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC Trust, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-W7, Class 1A4, IF, 15.08%, 7/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W4, Class 2A, 5.21%, 10/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 35 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 1A1, 4.84%, 12/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 296 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-W1, Class 2A, 5.31%, 12/25/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 127 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 123 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-W1, Class A, 6.00%, 12/25/2049 | &nbsp;&nbsp;&nbsp;&nbsp; 275 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 280 |
| &nbsp;&nbsp;&nbsp; FNMA, REMIC, Whole Loan |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-101, Class A2, 3.96%, 6/27/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 206 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 203 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-54, Class FA, 4.42%, 6/25/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 112 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 109 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-106, Class A7, 6.24%, 10/25/2037 (e) | 66 | 68 |
| &nbsp;&nbsp;&nbsp; FNMA, STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 218, Class 2, IO, 7.50%, 4/25/2023 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 265, Class 2, 9.00%, 3/25/2024 |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 329, Class 1, PO, 1/25/2033 | 22 | 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 345, Class 6, IO, 5.00%, 12/25/2033 (e) | 33 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 351, Class 7, IO, 5.00%, 4/25/2034 (e) | 106 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 355, Class 11, IO, 6.00%, 7/25/2034 | 91 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 365, Class 8, IO, 5.50%, 5/25/2036 | 134 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 374, Class 5, IO, 5.50%, 8/25/2036 | 76 | 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 393, Class 6, IO, 5.50%, 4/25/2037 | 23 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 32, IO, 6.00%, 1/25/2038 | 34 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 383, Class 33, IO, 6.00%, 1/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp; GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.18%, 6/19/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 397 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 354 |
| &nbsp;&nbsp;&nbsp; GNMA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-4, Class ZB, 6.00%, 2/20/2029 | &nbsp;&nbsp;&nbsp;&nbsp; 136 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-35, Class SA, IF, IO, 4.36%, 8/16/2031 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-52, Class GH, 6.50%, 7/20/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-58, Class BE, 6.50%, 1/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 309 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class SP, IF, IO, 3.76%, 2/20/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-46, Class MG, 6.50%, 5/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp; 243 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 246 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-52, Class AP, PO, 6/16/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 67 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-90, PO, 10/20/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-112, Class SA, IF, IO, 2.66%, 12/16/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 254 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-28, Class S, IF, 8.97%, 4/16/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-90, Class SI, IF, IO, 2.16%, 10/20/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 341 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 18 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class DP, IF, 7.07%, 6/17/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-14, Class CO, PO, 8/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 114 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 519 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-68, Class KI, IF, IO, 2.36%, 9/20/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 743 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 64 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-91, Class PI, IO, 6.00%, 12/20/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 111 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 14 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16, Class OP, PO, 3/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class SW, IF, IO, 2.56%, 6/20/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-38, Class ZK, 6.50%, 8/20/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 609 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-59, Class SD, IF, IO, 2.76%, 10/20/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 169 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-65, Class SA, IF, IO, 2.86%, 11/20/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-22, Class WA, 5.89%, 2/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-57, PO, 3/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 44 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JO, PO, 4/16/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-17, Class JI, IF, IO, 2.92%, 4/16/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 456 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-19, Class SD, IF, IO, 2.26%, 4/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-28, Class BO, PO, 5/20/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-26, Class SC, IF, IO, 2.26%, 5/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 201 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-27, Class SA, IF, IO, 2.26%, 5/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 221 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-36, Class SE, IF, IO, 2.58%, 6/16/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 124 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-47, Class PH, 6.00%, 7/16/2037 | &nbsp;&nbsp; 1946 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-40, Class SB, IF, IO, 2.81%, 7/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 447 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 25 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-42, Class SB, IF, IO, 2.81%, 7/20/2037 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-53, Class SW, IF, 8.39%, 9/20/2037 (e) | 21 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-32, Class PI, IO, 5.50%, 10/16/2037 | 12 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-79, Class OK, PO, 11/16/2037 | 75 | 63 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-73, Class MI, IF, IO, 2.06%, 11/20/2037 (e) | 146 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-76, Class SA, IF, IO, 2.59%, 11/20/2037 (e) | 286 | 13 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-72, Class US, IF, IO, 2.61%, 11/20/2037 (e) | 140 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2007-79, Class SY, IF, IO, 2.61%, 12/20/2037 (e) | 131 | 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class NS, IF, IO, 2.65%, 1/16/2038 (e) | 266 | 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class MS, IF, IO, 3.27%, 1/16/2038 (e) | 80 | 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-10, Class S, IF, IO, 1.89%, 2/20/2038 (e) | 158 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-36, Class SH, IF, IO, 2.36%, 4/20/2038 (e) | 211 | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-40, Class SA, IF, IO, 2.51%, 5/16/2038 (e) | 1328 | 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-55, Class SA, IF, IO, 2.26%, 6/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 120 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-71, Class SC, IF, IO, 2.06%, 8/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-25, Class SE, IF, IO, 3.66%, 9/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-93, Class AS, IF, IO, 1.76%, 12/20/2038 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-6, Class SA, IF, IO, 2.21%, 2/16/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 143 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, Class IE, IO, 5.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 317 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class KI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 144 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-14, Class NI, IO, 6.50%, 3/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 21 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-22, Class SA, IF, IO, 2.33%, 4/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 289 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 15 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class CI, IO, 5.50%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-33, Class TI, IO, 6.00%, 5/20/2039 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 73 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-43, Class SA, IF, IO, 2.01%, 6/20/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 134 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2009-72, Class SM, IF, IO, 2.36%, 8/16/2039 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 302 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 19 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-31, Class NO, PO, 3/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 481 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-75, Class WA, 5.12%, 6/20/2040 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 696 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 704 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-130, Class CP, 7.00%, 10/16/2040 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 87 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 93 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2010-157, Class OP, PO, 12/20/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 517 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-75, Class SM, IF, IO, 2.66%, 5/20/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 425 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-188, Class W, 4.55%, 10/20/2041 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 292 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-141, Class WC, 3.73%, 1/20/2042 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 170 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-54, Class WA, 4.88%, 11/20/2042 (e) | &nbsp;&nbsp;&nbsp; 1065 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1068 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-91, Class WA, 4.46%, 4/20/2043 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 564 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-116, Class JY, 4.00%, 8/16/2043 | &nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1252 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-160, Class PA, 3.50%, 7/20/2046 | &nbsp;&nbsp;&nbsp; 1253 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1218 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H24, Class FG, 3.57%, 4/20/2060 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H03, Class FA, 3.44%, 8/20/2060 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H21, Class CF, 3.84%, 5/20/2061 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H05, Class FB, 3.54%, 2/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H15, Class FA, 3.59%, 5/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H26, Class MA, 3.69%, 7/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H28, Class FA, 3.72%, 9/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H29, Class FA, 3.66%, 10/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 366 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-H31, Class FD, 3.48%, 12/20/2062 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 645 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H01, Class FA, 1.65%, 1/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H04, Class BA, 1.65%, 2/20/2063 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H08, Class FC, 3.59%, 2/20/2063 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 441 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H07, Class HA, 3.55%, 3/20/2063 (e) | 502 | 497 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H09, Class HA, 1.65%, 4/20/2063 | 11 | 10 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-H18, Class JA, 3.74%, 8/20/2063 (e) | 916 | 909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H01, Class FD, 3.79%, 1/20/2064 (e) | 629 | 625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-H09, Class TA, 3.74%, 4/20/2064 (e) | 609 | 605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FD, 3.58%, 6/20/2065 (e) | 1095 | 1080 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H15, Class FJ, 3.58%, 6/20/2065 (e) | 2467 | 2435 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H16, Class FG, 3.58%, 7/20/2065 (e) | 1648 | 1625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H23, Class FB, 3.66%, 9/20/2065 (e) | 1544 | 1524 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-H32, Class FH, 3.80%, 12/20/2065 (e) | 1240 | 1228 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H08, Class XI, IO, 1.90%, 3/20/2067 (e) | 5012 | 263 |
| &nbsp;&nbsp;&nbsp; GSMPS Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 305 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AS, IO, 0.53%, 9/25/2035 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 403 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 1AF, 4.39%, 9/25/2035 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 534 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 455 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP2, Class 1AS2, IF, IO, 2.50%, 4/25/2036 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 1602 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 97 |
| &nbsp;&nbsp;&nbsp; GSR Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6F, Class 3A4, 6.50%, 5/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8F, Class 2A3, 6.00%, 9/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 50 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 49 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13F, Class 3A3, 6.00%, 11/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4F, Class AP, PO, 5/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7F, Class 3A9, 6.00%, 9/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1F, Class 2A4, 6.00%, 2/25/2036 | &nbsp;&nbsp;&nbsp;&nbsp; 697 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 363 |
| &nbsp;&nbsp;&nbsp; Impac CMB Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 1A1, 4.78%, 11/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 328 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 319 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class 2A1, 4.62%, 5/25/2035 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 79 |
| &nbsp;&nbsp;&nbsp; Impac Secured Assets Trust Series 2006-1, Class 2A1, 4.74%, 5/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 51 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 |
| &nbsp;&nbsp;&nbsp; Jonah nov 37 144a, 7.80%, 11/10/2037 ‡ (b) | &nbsp;&nbsp;&nbsp; 2850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2795 |
| &nbsp;&nbsp;&nbsp; JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 5A3, 4.19%, 11/25/2033 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 131 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 124 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A2, Class 4A1, 3.65%, 8/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-A3, Class 6A1, 3.75%, 8/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 29 |
| &nbsp;&nbsp;&nbsp; Lehman Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A1, 5.91%, 4/25/2036 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 210 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 138 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A6, 6.00%, 3/25/2038 | &nbsp;&nbsp;&nbsp;&nbsp; 430 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 149 |
| &nbsp;&nbsp;&nbsp; LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 2075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1955 |
| &nbsp;&nbsp;&nbsp; MASTR Adjustable Rate Mortgages Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 2A1, 4.03%, 4/21/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 80 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 75 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 2A1, 3.60%, 5/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-13, Class 3A7, 3.87%, 11/21/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 174 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 155 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-15, Class 3A1, 3.44%, 12/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 45 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 41 |
| &nbsp;&nbsp;&nbsp; MASTR Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-10, Class 1A1, 4.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-8, Class 6A1, 5.50%, 9/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 10A1, 5.00%, 5/25/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 54 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 53 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-3, Class 1A1, 6.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 81 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-9, Class 8A1, 6.00%, 1/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 171 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 161 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-3, Class 2A1, 6.25%, 4/25/2034 | &nbsp;&nbsp;&nbsp;&nbsp; 107 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 105 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 30, PO, 7/25/2034 ‡ | 93 | 68 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 7A1, 6.00%, 7/25/2034 | 176 | 163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-7, Class 30, PO, 8/25/2034 ‡ | 57 | 42 |
| &nbsp;&nbsp;&nbsp; MASTR Asset Securitization Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-6, Class 15, PO, 7/25/2019 ‡ |  | &nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-12, Class 30, PO, 12/25/2033 ‡ | 7 | 5 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 30, PO, 2/25/2034 ‡ | 7 | 5 |
| &nbsp;&nbsp;&nbsp; MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 4.39%, 5/25/2035 (b) (e) | 1178 | 625 |
| &nbsp;&nbsp;&nbsp; Mastr Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b) | 53 | 32 |
| &nbsp;&nbsp;&nbsp; Merrill Lynch Mortgage Investors Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-E, Class A1, 4.66%, 10/25/2028 (e) | 37 | 34 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-F, Class A1, 4.68%, 10/25/2028 (e) | 287 | 266 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-A, Class A1, 4.50%, 4/25/2029 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 62 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 56 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-1, Class 2A1, 3.01%, 12/25/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 95 |
| &nbsp;&nbsp;&nbsp; MRA Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-EBO7, Class A1X, 2.86%, 2/15/2023 (b) (e) | &nbsp;&nbsp;&nbsp; 3942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3583 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-EBO2, Class A, 4.35%, 4/5/2023 (b) (e) | &nbsp;&nbsp;&nbsp; 4219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4045 |
| &nbsp;&nbsp;&nbsp; NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 162 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 139 |
| &nbsp;&nbsp;&nbsp; Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A5, 7.00%, 4/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 33 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A1, 5.50%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-A1, Class A2, 6.00%, 5/25/2033 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 32 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 31 |
| &nbsp;&nbsp;&nbsp; PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (e) | &nbsp;&nbsp;&nbsp; 2952 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2737 |
| &nbsp;&nbsp;&nbsp; RALI Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2002-QS16, Class A3, IF, 8.22%, 10/25/2017 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS12, Class A2A, IF, IO, 4.01%, 6/25/2018 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡ | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; —(g) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-QA6, Class NB2, 3.32%, 12/26/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 266 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 230 |
| &nbsp;&nbsp;&nbsp; RFMSI Trust Series 2004-S9, Class 2A1, 4.75%, 12/25/2019 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Rillion Capital Iii Frn, 7.25%, 11/15/2024 ‡ | &nbsp;&nbsp;&nbsp; 6738 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6738 |
| &nbsp;&nbsp;&nbsp; SART Series 2017-1, 4.75%, 7/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp; 702 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 687 |
| &nbsp;&nbsp;&nbsp; Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class MT, 3.50%, 7/25/2058 | &nbsp;&nbsp;&nbsp; 2675 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class MB, 3.50%, 10/25/2058 | &nbsp;&nbsp;&nbsp; 1722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class MTU, 3.25%, 11/25/2061 | &nbsp;&nbsp;&nbsp; 3457 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3052 |
| &nbsp;&nbsp;&nbsp; Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 4.60%, 10/19/2034 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 129 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 120 |
| &nbsp;&nbsp;&nbsp; Thornburg Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-4, Class A1, 4.68%, 9/25/2043 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 70 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-4, Class 3A, 2.71%, 12/25/2044 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 168 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 153 |
| &nbsp;&nbsp;&nbsp; Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (e) | &nbsp;&nbsp;&nbsp; 5637 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4551 |
| &nbsp;&nbsp;&nbsp; Two Harbors Series 2019-VF1, Class A, IO, 4.00%, 2/8/2023 (e) | &nbsp;&nbsp;&nbsp; 6600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6600 |
| &nbsp;&nbsp;&nbsp; Vendee Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-1, Class 1, 4.62%, 2/15/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 20 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1994-1, Class 2ZB, 6.50%, 2/15/2024 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 30 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-1, Class 1Z, 6.75%, 2/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 104 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1996-2, Class 1Z, 6.75%, 6/15/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 74 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 76 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1997-1, Class 2Z, 7.50%, 2/15/2027 | &nbsp;&nbsp;&nbsp;&nbsp; 147 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 151 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1998-1, Class 2E, 7.00%, 3/15/2028 | &nbsp;&nbsp;&nbsp;&nbsp; 200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 202 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** | **Collateralized Mortgage Obligations — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 1999-1, Class 2Z, 6.50%, 1/15/2029 | 422 | 423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-2, Class Z, 5.00%, 5/15/2033 | 1831 | 1839 |
| &nbsp;&nbsp;&nbsp; VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 (b) (e) | 4000 | 3769 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033 | 323 | 303 |
| &nbsp;&nbsp;&nbsp; WaMu Mortgage Pass-Through Certificates Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR8, Class A, 4.16%, 8/25/2033 (e) | 25 | 24 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 1A6, 4.13%, 9/25/2033 (e) | 385 | 351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-AR9, Class 2A, 4.17%, 9/25/2033 (e) | 29 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class P, PO, 10/25/2033 ‡ | 10 | 7 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2003-S9, Class A8, 5.25%, 10/25/2033 | 178 | 171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A1, 3.10%, 6/25/2034 (e) | 29 | 26 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2004-AR3, Class A2, 3.10%, 6/25/2034 (e) | 24 | 22 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR10, Class 2P, 3.57%, 9/25/2036 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 42 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR12, Class 2P, 3.32%, 10/25/2036 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 43 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 37 |
| &nbsp;&nbsp;&nbsp; Washington Mutual Mortgage Pass-Through Certificates WMALT Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 2A3, IF, IO, 0.96%, 4/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp;&nbsp; 387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 16 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-2, Class 1A4, IF, IO, 1.01%, 4/25/2035 ‡ (e) | &nbsp;&nbsp;&nbsp; 2049 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 77 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 653 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CB7, 5.50%, 6/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 651 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 584 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡ | &nbsp;&nbsp;&nbsp;&nbsp; 569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A4, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 106 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2005-6, Class 2A9, 5.50%, 8/25/2035 | &nbsp;&nbsp;&nbsp;&nbsp; 677 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 564 |
| &nbsp;&nbsp;&nbsp; Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 98 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 82 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Collateralized Mortgage Obligations <br>(Cost $166,159)<br>|  | &nbsp;&nbsp;&nbsp; 159402 |
| **Commercial Mortgage-Backed Securities — 4.5%** | **Commercial Mortgage-Backed Securities — 4.5%** | **Commercial Mortgage-Backed Securities — 4.5%** |
| &nbsp;&nbsp;&nbsp; BAMLL Commercial Mortgage Securities Trust Series 2014-520M, Class C, 4.35%, 8/15/2046 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 960 |
| &nbsp;&nbsp;&nbsp; BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) | &nbsp;&nbsp;&nbsp; 4400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4085 |
| &nbsp;&nbsp;&nbsp; Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.72%, 6/11/2041 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b) | &nbsp;&nbsp;&nbsp; 3500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3408 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-SFS, Class A2, 3.09%, 4/12/2035 (b) (e) | &nbsp;&nbsp;&nbsp; 1060 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1043 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 5.35%, 7/25/2041 (b) (e) | &nbsp;&nbsp;&nbsp; 6088 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5528 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family Structured Pass-Through Certificates |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K065, Class A2, 3.24%, 4/25/2027 | &nbsp;&nbsp;&nbsp; 2467 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K065, Class AM, 3.33%, 5/25/2027 | &nbsp;&nbsp;&nbsp; 1322 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K070, Class A2, 3.30%, 11/25/2027 (e) | &nbsp;&nbsp;&nbsp; 1748 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1670 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K138, Class AM, 1.89%, 1/25/2032 | &nbsp;&nbsp;&nbsp; 1850 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1494 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-150, Class A2, 3.71%, 9/25/2032 (e) | &nbsp;&nbsp;&nbsp; 4145 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3921 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K-151, Class A2, 3.80%, 10/25/2032 (e) | &nbsp;&nbsp;&nbsp; 5200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series K146, Class A2, 2.92%, 6/25/2054 | &nbsp;&nbsp;&nbsp; 4200 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3729 |
| &nbsp;&nbsp;&nbsp; FHLMC, Multi-Family WI Certificates Series K153, Class A2, 3.82%, 1/25/2033 | &nbsp;&nbsp;&nbsp; 4500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4265 |
| &nbsp;&nbsp;&nbsp; FNMA ACES |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-M3, Class A2, 3.50%, 1/25/2024 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 560 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 549 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M3, Class A2, 2.55%, 12/25/2026 (e) | &nbsp;&nbsp;&nbsp;&nbsp; 896 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2015-M10, Class A2, 3.09%, 4/25/2027 (e) | &nbsp;&nbsp;&nbsp; 6010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5715 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M8, Class A2, 3.06%, 5/25/2027 (e) | &nbsp;&nbsp;&nbsp; 3462 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M8, Class A2, 3.41%, 6/25/2028 (e) | &nbsp;&nbsp;&nbsp; 2344 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2214 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** | **Commercial Mortgage-Backed Securities — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2018-M10, Class A2, 3.47%, 7/25/2028 (e) | 3335 | 3169 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2017-M5, Class A2, 3.20%, 4/25/2029 (e) | 2762 | 2579 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A1, 0.67%, 10/25/2030 | 2118 | 1952 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 1325 | 1144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-M50, Class X1, IO, 2.00%, 10/25/2030 (e) | 20698 | 1557 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M1S, Class A2, 2.15%, 4/25/2032 (e) | 5230 | 4314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M13, Class A2, 2.68%, 6/25/2032 | 6802 | 5839 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2022-M2S, Class A2, 3.75%, 8/25/2032 (e) | 4225 | 3958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 345 | 322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2021-M3, Class X1, IO, 2.06%, 11/25/2033 (e) | 3451 | 313 |
| &nbsp;&nbsp;&nbsp; FREMF Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2014-K39, Class C, 4.28%, 8/25/2047 (b) (e) | 4650 | 4475 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K737, Class B, 3.42%, 1/25/2053 (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502 |
| &nbsp;&nbsp;&nbsp; Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 998 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 896 |
| &nbsp;&nbsp;&nbsp; MRCD MARK Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp; 2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1883 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b) | &nbsp;&nbsp;&nbsp; 2685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2386 |
| &nbsp;&nbsp;&nbsp; P4 SFR Series 2019-STl A7.25%, 10/11/2026 ‡ | &nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2502 |
| &nbsp;&nbsp;&nbsp; RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 664 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 657 |
| &nbsp;&nbsp;&nbsp; SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | &nbsp;&nbsp;&nbsp; 3935 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3174 |
| &nbsp;&nbsp;&nbsp; UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 71 |
| &nbsp;&nbsp;&nbsp; UBS-Barclays Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2013-C6, Class A4, 3.24%, 4/10/2046 | &nbsp;&nbsp;&nbsp;&nbsp; 857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 850 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2012-C2, Class XA, IO, 0.67%, 5/10/2063 ‡ (b) (e) | &nbsp;&nbsp;&nbsp; 1059 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — |
| &nbsp;&nbsp;&nbsp; WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.41%, 3/15/2045 ‡ (b) (e) | &nbsp;&nbsp;&nbsp;&nbsp; 400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Commercial Mortgage-Backed Securities <br>(Cost $99,834)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 94177 |
| **U.S. Government Agency Securities — 0.6%** | **U.S. Government Agency Securities — 0.6%** | **U.S. Government Agency Securities — 0.6%** |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 4/1/2036 | &nbsp;&nbsp;&nbsp; 6839 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 9/15/2060 | &nbsp;&nbsp;&nbsp;&nbsp; 304 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 289 |
| &nbsp;&nbsp;&nbsp; Tennessee Valley Authority STRIPS |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 4.04%, 11/1/2025 (a) | &nbsp;&nbsp;&nbsp; 5000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4416 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DN, 5.39%, 6/15/2035 (a) | &nbsp;&nbsp;&nbsp;&nbsp; 800 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total U.S. Government Agency Securities <br>(Cost $13,969)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp; 12787 |
| **Municipal Bonds — 0.5%** (h) | **Municipal Bonds — 0.5%** (h) | **Municipal Bonds — 0.5%** (h) |
| **California — 0.1%** | **California — 0.1%** | **California — 0.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, Rev., <br> 6.58%, 5/15/2039<br>| &nbsp;&nbsp;&nbsp;&nbsp; 420 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 465 |
| &nbsp;&nbsp;&nbsp; State of California, Various Purpose GO, 7.30%, 10/1/2039 | &nbsp;&nbsp;&nbsp;&nbsp; 350 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 431 |
| &nbsp;&nbsp;&nbsp; Total California |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 896 |
| **New York — 0.2%** | **New York — 0.2%** | **New York — 0.2%** |
| &nbsp;&nbsp;&nbsp; New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040 | &nbsp;&nbsp;&nbsp;&nbsp; 360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 382 |
| &nbsp;&nbsp;&nbsp; Port Authority of New York and New Jersey, Consolidated |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 164, Rev., 5.65%, 11/1/2040 | &nbsp;&nbsp;&nbsp; 1825 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1955 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **PRINCIPAL**<br> **AMOUNT**<br> **($000)**<br>| <br> **VALUE**<br> **($000)**<br>|
| **Municipal Bonds — continued** | **Municipal Bonds — continued** | **Municipal Bonds — continued** |
| **New York — continued** | **New York — continued** | **New York — continued** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 165, Rev., 5.65%, 11/1/2040 | 440 | 471 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 174, Rev., 4.46%, 10/1/2062 | 2060 | 1853 |
| &nbsp;&nbsp;&nbsp; Total New York |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4661 |
| **Ohio — 0.2%** | **Ohio — 0.2%** | **Ohio — 0.2%** |
| &nbsp;&nbsp;&nbsp; American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050 | 1315 | 1586 |
| &nbsp;&nbsp;&nbsp; Ohio State University (The), General Receipts |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2016A, Rev., 4.05%, 12/1/2056 | 325 | 277 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Series 2011-A, Rev., 4.80%, 6/1/2111 | 1563 | 1331 |
| &nbsp;&nbsp;&nbsp; Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 | 200 | 182 |
| &nbsp;&nbsp;&nbsp; Total Ohio |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3376 |
| **Oklahoma — 0.0% ^** | **Oklahoma — 0.0% ^** | **Oklahoma — 0.0% ^** |
| &nbsp;&nbsp;&nbsp; Oklahoma Development Finance Authority, Natural Gas Company Series 2022, Rev., 4.71%, 5/1/2052 | &nbsp;&nbsp;&nbsp;&nbsp; 575 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 533 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Municipal Bonds <br>(Cost $9,685)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9466 |
| **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** | **Foreign Government Securities — 0.4%** |
| &nbsp;&nbsp;&nbsp; Kingdom of Saudi Arabia |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/2/2033 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 622 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 502 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 2/2/2061 (b) | &nbsp;&nbsp;&nbsp;&nbsp; 550 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 394 |
| &nbsp;&nbsp;&nbsp; Province of Quebec 7.36%, 3/6/2026 (d) | &nbsp;&nbsp;&nbsp;&nbsp; 377 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 405 |
| &nbsp;&nbsp;&nbsp; Republic of Chile 2.55%, 1/27/2032 | &nbsp;&nbsp;&nbsp;&nbsp; 497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 416 |
| &nbsp;&nbsp;&nbsp; Republic of Panama 4.50%, 4/16/2050 | &nbsp;&nbsp;&nbsp;&nbsp; 325 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 250 |
| &nbsp;&nbsp;&nbsp; Republic of Peru 5.63%, 11/18/2050 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 88 |
| &nbsp;&nbsp;&nbsp; Republic of South Africa 5.88%, 9/16/2025 | &nbsp;&nbsp;&nbsp;&nbsp; 640 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 644 |
| &nbsp;&nbsp;&nbsp; United Mexican States |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 1/21/2026 | &nbsp;&nbsp;&nbsp;&nbsp; 316 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 1/11/2028 | &nbsp;&nbsp;&nbsp; 1216 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.66%, 5/24/2031 | &nbsp;&nbsp;&nbsp; 1075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 2/12/2034 | &nbsp;&nbsp;&nbsp; 1252 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1044 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 1/23/2046 | &nbsp;&nbsp;&nbsp; 2113 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 5/24/2061 | &nbsp;&nbsp;&nbsp;&nbsp; 772 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Foreign Government Securities <br>(Cost $10,010)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8360 |
| **Loan Assignments — 0.1%** (c) (i) | **Loan Assignments — 0.1%** (c) (i) | **Loan Assignments — 0.1%** (c) (i) |
| **Diversified Financial Services — 0.1%** | **Diversified Financial Services — 0.1%** | **Diversified Financial Services — 0.1%** |
| &nbsp;&nbsp;&nbsp; OneSky, 1st Lien Term Loan (3-MONTH SOFR + 3.88%), 3.88%, 1/15/2031(Cost $3,355) | &nbsp;&nbsp;&nbsp; 3320 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Loan Assignments <br>(Cost $3,355)<br>|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2821 |

---

------

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

---

| | | |
|:---|:---|:---|
| **INVESTMENTS** | **SHARES** <br>**(000)**<br>| <br> **VALUE** <br>**($000)**<br>|
| **Short-Term Investments — 0.5%** | **Short-Term Investments — 0.5%** | **Short-Term Investments — 0.5%** |
| **Investment Companies — 0.5%** | **Investment Companies — 0.5%** | **Investment Companies — 0.5%** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund Class Institutional Shares, 3.94% (j) (k) <br>(Cost $9,226)<br>| 9230 | 9232 |
| **Total Investments — 99.9%** <br>**(Cost $2,342,096)**<br>|  | **2113510** |
| **Other Assets Less Liabilities — 0.1%** |  | **2735** |
| **NET ASSETS — 100.0%** |  | **2116245** |

---

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

---

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

---

| | |
|:---|:---|
| ^ | Amount rounds to less than 0.1% of net assets. |
| ‡ | Value determined using significant unobservable inputs. |
| (a) | The rate shown is the effective yield as of November 30, 2022.  |
| (b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of November 30, 2022. |
| (d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a <br> predetermined trigger. The interest rate shown is the current rate as of November 30, 2022. <br>|
| (e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments <br> on the underlying pool of assets. The interest rate shown is the current rate as of November 30, 2022. <br>|
| (f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (g) | Value is zero. |

---

------

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) The date shown represents the earliest of the prerefunded date, next put date or final maturity date.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.

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

**Futures contracts outstanding as of November 30, 2022 (amounts in thousands, except number of contracts):**

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DESCRIPTION** | &nbsp;&nbsp;&nbsp; **NUMBER OF** <br>**CONTRACTS**<br>| **EXPIRATION DATE** | **TRADING CURRENCY** | &nbsp;&nbsp;&nbsp; **NOTIONAL** <br>**AMOUNT ($)**<br>| &nbsp;&nbsp;&nbsp; **VALUE AND** <br>**UNREALIZED** <br>**APPRECIATION** <br>&nbsp;&nbsp;&nbsp;&nbsp;**(DEPRECIATION) ($)**<br>|
| **Long Contracts** |  |  |  |  |  |
| U.S. Treasury 10 Year Note | 184 | 03/22/2023 | USD | 20939 | 163 |
| U.S. Treasury 2 Year Note | 203 | 03/31/2023 | USD | 41728 | 152 |
| U.S. Treasury 5 Year Note | 160 | 03/31/2023 | USD | 17408 | 140 |
|  |  |  |  |  | 455 |

---

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

---

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

---

------

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

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

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

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

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

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

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

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

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, 2022.

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

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

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

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

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

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

------

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;&nbsp;&nbsp; **Level 1** <br>Quoted prices<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 2** <br>Other significant <br>observable inputs<br>| &nbsp;&nbsp;&nbsp;&nbsp; **Level 3** <br>Significant <br>unobservable inputs<br>| **Total** |
| **Investments in Securities** |  |  |  |  |
| Asset-Backed Securities | $— | $202752 | $102409 | $305161 |
| Collateralized Mortgage Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 148391 | &nbsp;&nbsp;&nbsp;&nbsp; 11011 | &nbsp;&nbsp;&nbsp;&nbsp; 159402 |
| Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 90346 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3831 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 94177 |
| Corporate Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 487101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 487101 |
| Foreign Government Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8360 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8360 |
| Loan Assignments | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2821 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2821 |
| Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 427593 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 427593 |
| Municipal Bonds | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9466 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9466 |
| U.S. Government Agency Securities | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12787 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 12787 |
| U.S. Treasury Obligations | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 597410 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; 597410 |
| Short-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Investment Companies | &nbsp;&nbsp; 9232 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9232 |
| **Total Investments in Securities**  | $9232 | $1987027 | $117251 | $2113510 |
| **Appreciation in Other Financial Instruments** |  |  |  |  |
| Futures Contracts | $455 | $— | $— | $455 |

---

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

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Balance as of** <br>**February 28,** <br>**2022**<br>| **Realized** <br>**gain (loss)**<br>| **Change in net** <br>**unrealized** <br>**appreciation** <br>**(depreciation)**<br>| **Net** <br>**accretion** <br>**(amortization)**<br>| **Purchases**<sup>1</sup> <br>| **Sales**<sup>2</sup> <br>| **Transfers** <br>**into** <br>**Level 3**<br>| **Transfers** <br>**out of** <br>**Level 3**<br>| **Other**<sup>(a)</sup> <br>| **Balance as of** <br>**November 30,** <br>**2022**<br>|
| **Investments in Securities:** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp; Asset-Backed Securities | $59313 | $— | $(5768) | $(83) | $44274 | $(11182) | $19087 | $(5353) | $2121 | $102409 |
| &nbsp;&nbsp;&nbsp; Collateralized Mortgage Obligations | &nbsp;&nbsp; 14123 | &nbsp;&nbsp; (1068) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (97) | &nbsp;&nbsp; (386) | &nbsp;&nbsp;&nbsp;&nbsp; 9936 | &nbsp;&nbsp;&nbsp;&nbsp; (1760) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (5016) | &nbsp;&nbsp; (4721) | &nbsp;&nbsp;&nbsp;&nbsp; 11011 |
| &nbsp;&nbsp;&nbsp; Commercial Mortgage-Backed Securities | &nbsp;&nbsp;&nbsp;&nbsp; 1684 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; (432) | &nbsp;&nbsp;&nbsp;&nbsp; (21) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (2) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp; 2600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3831 |
| **Total** | $75120 | $(1068) | $(6297) | $(490) | $54212 | $(12944) | $19087 | $(10369) | $— | $117251 |

---

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

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

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

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at November 30, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(7,370).

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

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

------

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

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Fair Value at** <br>**November 30, 2022**<br>| **Valuation Technique(s)** | **Unobservable Input** | &nbsp;&nbsp; **Range (Weighted** <br>**Average) (a)** <br>|
|  | $67290 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 30.00% (8.97%) |
|  |  |  | Constant Default Rate | 0.00% - 5.03% (0.04%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.87% - 9.65% (7.32%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed <br>Securities<br>| &nbsp;&nbsp; 67290 |  |  |  |
|  | &nbsp;&nbsp;&nbsp; 1369 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 19.86% (10.91%) |
|  |  |  | Constant Default Rate | 0.00% - 6.69% (1.56%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 5.38% - 20.58% (12.26%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Mortgage <br>Obligations<br>| &nbsp;&nbsp;&nbsp; 1369 |  |  |  |
|  | &nbsp;&nbsp;&nbsp;&nbsp; 1329 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (0.00%) |
|  |  |  | Yield (Discount Rate of Cash Flows) | 6.01% - 81.25% (28.14%) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Commercial Mortgage- <br>Backed Securities<br>| &nbsp;&nbsp;&nbsp;&nbsp; 1329 |  |  |  |
| &nbsp;&nbsp;&nbsp; Total | &nbsp;&nbsp; 69988 |  |  |  |

---

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

# The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At November 30, 2022, the value of these investments was $47,263. 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, which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund's distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the table below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** | **For the period ended November 30, 2022** |
| **Security Description** | **Value at** <br>**February 28,** <br>**2022**<br>| **Purchases at** <br>**Cost**<br>| **Proceeds from** <br>**Sales**<br>| **Net Realized** <br>**Gain (Loss)**<br>| **Change in** <br>**Unrealized** <br>**Appreciation/** <br>**(Depreciation)**<br>| **Value at** <br>**November 30,** <br>**2022**<br>| **Shares at** <br>**November 30,** <br>**2022**<br>| **Dividend** <br>**Income**<br>| **Capital Gain** <br>**Distributions**<br>|
| &nbsp;&nbsp;&nbsp; JPMorgan Prime Money Market Fund <br> Class Institutional Shares, 3.94% (a) (b)<br>| $80987 | $893252 | $964988 | $(20) | $1 | $9232 | 9230 | $1179 | $— |

---

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

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

------

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

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

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2125425943.78

**Total Liabilities:** $9181049.81

**Net Assets:** $2116244893.97

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1109.86811000 | **1-Year:** 56294.33217000 | **5-Year:** 222066.67977000 | **10-Year:** 378971.40313000 | **30-Year:** 122288.38338000

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

- **3-Month:** 258.12975000 | **1-Year:** 5387.10289000 | **5-Year:** 6741.87504000 | **10-Year:** 521.97076000 | **30-Year:** 722.59609000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000020141 | -3.90%               | -1.44%               | 3.21%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-3052523.19             | $-84613079.24                              |
| Month 2  | $-1892665.95             | $-33474933.04                              |
| Month 3  | $-4822361.13             | $65384825.30                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                               | Title                                                                                                                    | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16975000 | PA      | $14534843.75  | 0.69%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810FD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    799000 | PA      | $1624072.15   | 0.08%             | 2028-04-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-93, Class AS                                                                                           | CUSIP: 38375Y2X9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155428 | PA      | $7572.91      | 0.00%             | 2038-12-20      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| BOC Aviation Ltd.                                                  | BOC Aviation Ltd.                                                                                                        | CUSIP: 09681LAJ9<br>LEI: 254900H06V5RMEB3KE72 | Long             | DBT              | CORP              | SG        |    310000 | PA      | $297076.88    | 0.01%             | 2024-10-10      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140M1CG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4992506 | PA      | $4287984.90   | 0.20%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                               | Boston Properties LP                                                                                                     | CUSIP: 10112RAX2<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    483000 | PA      | $459445.06    | 0.02%             | 2026-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                      | UniCredit SpA                                                                                                            | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    905000 | PA      | $796347.30    | 0.04%             | 2026-09-22      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1666670.29   | 0.08%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                | Seasoned Credit Risk Transfer Trust, Series 2019-3, Class MB                                                             | CUSIP: 35563PLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1722182 | PA      | $1488897.62   | 0.07%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-57CB, Class 3A2                                                                      | CUSIP: 12668AYH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436790 | PA      | $38461.87     | 0.00%             | 2035-12-25      | Floating      | 1.06%                 | No            |                  3 | On Loan: No      |
| Potomac Electric Power Co.                                         | Potomac Electric Power Co.                                                                                               | CUSIP: 737679DB3<br>LEI: 549300BXF2DWUNN57U06 | Long             | DBT              | CORP              | US        |   1085000 | PA      | $1195414.98   | 0.06%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023BX2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    840000 | PA      | $747477.84    | 0.04%             | 2028-03-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 11043HAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737271 | PA      | $616635.75    | 0.03%             | 2031-09-20      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHKP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6715000 | PA      | $6251750.01   | 0.30%             | 2032-11-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3852, Class TP                                                                                      | CUSIP: 3137ABB59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    240445 | PA      | $237246.97    | 0.01%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-179, Class SB                                                                                   | CUSIP: 31359EFW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       689 | PA      | $664.85       | 0.00%             | 2023-10-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAU3<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |    815000 | PA      | $628708.84    | 0.03%             | 2049-07-12      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128JRE51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47321 | PA      | $46093.72     | 0.00%             | 2034-12-01      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4460779 | PA      | $3868692.46   | 0.18%             | 2031-09-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-91, Class SD                                                                                    | CUSIP: 31393EQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43025 | PA      | $42028.13     | 0.00%             | 2033-09-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43533 | PA      | $44036.21     | 0.00%             | 2036-02-01      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-53, Class NC                                                                                    | CUSIP: 31394ABD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4086 | PA      | $4069.95      | 0.00%             | 2024-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Cars Net Lease Mortgage Notes                                      | Cars Net Lease Mortgage Notes, Series 2020-1A, Class A3                                                                  | CUSIP: 14576AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    797285 | PA      | $702185.16    | 0.03%             | 2050-12-15      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| Corporate Office Properties LP                                     | Corporate Office Properties LP                                                                                           | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    335000 | PA      | $259261.48    | 0.01%             | 2029-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4251, Class KW                                                                                      | CUSIP: 3137B4KB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2715263 | PA      | $2587492.11   | 0.12%             | 2028-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FAV3<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4416511.45   | 0.21%             | 2025-11-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H04, Class BA                                                                                          | CUSIP: 38375BK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5534 | PA      | $5345.07      | 0.00%             | 2063-02-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-7, Class 2A1                                                                | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     82975 | PA      | $75919.08     | 0.00%             | 2034-06-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406DJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62095 | PA      | $61689.81     | 0.00%             | 2034-11-01      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-17, Class C                                                                                     | CUSIP: 31359VSW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11984 | PA      | $12185.29     | 0.00%             | 2029-04-25      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Biogen, Inc.                                                       | Biogen, Inc.                                                                                                             | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    609000 | PA      | $502398.65    | 0.02%             | 2030-05-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3855437 | PA      | $3414898.18   | 0.16%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-54CB, Class 1A11                                                                     | CUSIP: 12668APD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    652314 | PA      | $507775.34    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Norfolk Southern Corp.                                             | Norfolk Southern Corp.                                                                                                   | CUSIP: 655844BV9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |    600000 | PA      | $495793.02    | 0.02%             | 2052-08-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                         | Microchip Technology, Inc.                                                                                               | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    339000 | PA      | $331518.27    | 0.02%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                                         | Liberty Mutual Group, Inc.                                                                                               | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    900000 | PA      | $634153.62    | 0.03%             | 2050-10-15      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-39, Class WC                                                                                    | CUSIP: 31395DFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71216 | PA      | $70824.17     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1000000 | PA      | $881304.27    | 0.04%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class E                                                                                    | CUSIP: 3136AGA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2703144 | PA      | $2551225.78   | 0.12%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Spirit Airlines Pass-Through Trust                                 | Spirit Airlines Pass-Through Trust, Series 2017-1, Class AA                                                              | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300018 | PA      | $259385.57    | 0.01%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Xilinx, Inc.                                                       | Xilinx, Inc.                                                                                                             | CUSIP: 983919AK7<br>LEI: 6EY4K7ZMF9UX1CU6KC79 | Long             | DBT              | CORP              | US        |    895000 | PA      | $761316.02    | 0.04%             | 2030-06-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                                      | Discover Bank                                                                                                            | CUSIP: 25466AAE1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   1205000 | PA      | $1147853.72   | 0.05%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29064843.60  | 1.37%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38145GAH3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    469000 | PA      | $446102.24    | 0.02%             | 2026-11-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                      | Entergy Corp.                                                                                                            | CUSIP: 29364GAJ2<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |    336000 | PA      | $313669.57    | 0.01%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AY2<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |   1265000 | PA      | $945987.75    | 0.04%             | 2040-07-09      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                                     | Pagaya AI Debt Selection Trust, Series 2021-1, Class A                                                                   | CUSIP: 69547JAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1838493 | PA      | $1803537.31   | 0.09%             | 2027-11-15      | Fixed         | 1.18%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-247, Class SU                                                                                   | CUSIP: 31359FP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       944 | PA      | $938.07       | 0.00%             | 2023-12-25      | Floating      | 8.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2450, Class SW                                                                                      | CUSIP: 31392KMK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43300 | PA      | $4613.48      | 0.00%             | 2032-03-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAA8<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $490956.59    | 0.02%             | 2024-04-02      | Fixed         | 4.44%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCIV LLC                                                      | VOLT XCIV LLC, Series 2021-NPL3, Class A1                                                                                | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3467510 | PA      | $3068764.59   | 0.15%             | 2051-02-27      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-83, Class CS                                                                                    | CUSIP: 31392GKS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11287 | PA      | $11266.36     | 0.00%             | 2023-08-25      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                          | CGI, Inc.                                                                                                                | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |   1515000 | PA      | $1164821.60   | 0.06%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| JPMorgan Prime Money Market Fund                                   | JPMorgan Prime Money Market Fund, Class Institutional                                                                    | CUSIP: 4812A2603<br>LEI: 549300YD7H8SEEU7VG41 | Long             | STIV             | RF                | US        |   9229504 | NS      | $9232273.02   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 225313AN5<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    470000 | PA      | $291038.37    | 0.01%             | 2041-01-11      | Fixed         | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Conagra Brands, Inc.                                               | Conagra Brands, Inc.                                                                                                     | CUSIP: 205887CD2<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    220000 | PA      | $209420.02    | 0.01%             | 2038-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   2010000 | PA      | $1958967.06   | 0.09%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                             | CVS Pass-Through Trust, Series 2013                                                                                      | CUSIP: 12665UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572734 | PA      | $512280.42    | 0.02%             | 2036-01-10      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H08, Class FC                                                                                          | CUSIP: 38375BM82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    445706 | PA      | $440847.43    | 0.02%             | 2063-02-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                                          | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6000000 | PA      | $5297425.20   | 0.25%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-111, Class EO                                                                                   | CUSIP: 31396LSR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29462 | PA      | $24198.60     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                                   | ABN AMRO Bank NV                                                                                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    800000 | PA      | $648491.55    | 0.03%             | 2029-12-13      | Variable      | 2.47%                 | Yes           |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    988000 | PA      | $683936.00    | 0.03%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AS8<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    653000 | PA      | $502097.75    | 0.02%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128HDR92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3614 | PA      | $3524.48      | 0.00%             | 2030-04-01      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N3CX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3755377 | PA      | $3739183.44   | 0.18%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58, Class AP                                                                                    | CUSIP: 31395NE29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166304 | PA      | $138525.22    | 0.01%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-61, Class SK                                                                                    | CUSIP: 31394ATX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22883 | PA      | $23744.32     | 0.00%             | 2032-11-25      | Floating      | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3422, Class AI                                                                                      | CUSIP: 31397RCW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    700661 | PA      | $6219.35      | 0.00%             | 2038-01-15      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404YDK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5768 | PA      | $5642.76      | 0.00%             | 2034-07-01      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Realty Income Corp.                                                | Realty Income Corp.                                                                                                      | CUSIP: 756109BA1<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    530000 | PA      | $385880.29    | 0.02%             | 2033-03-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280BS7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1054000 | PA      | $1041651.23   | 0.05%             | 2024-05-18      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Viatris, Inc.                                                      | Viatris, Inc.                                                                                                            | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |    567000 | PA      | $390571.08    | 0.02%             | 2040-06-22      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JVK92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1986228 | PA      | $1964436.44   | 0.09%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBT1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    520000 | PA      | $366422.10    | 0.02%             | 2040-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LE2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5242906 | PA      | $4148667.75   | 0.20%             | 2037-01-01      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CM9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $471242.11    | 0.02%             | 2027-05-24      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| Union Carbide Corp.                                                | Union Carbide Corp.                                                                                                      | CUSIP: 905581AS3<br>LEI: QE84C8O80MNLK8IFRL44 | Long             | DBT              | CORP              | US        |    850000 | PA      | $961761.54    | 0.05%             | 2096-10-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3611                                                                                                | CUSIP: 31398LSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27212 | PA      | $23125.94     | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-46, Class SK                                                                                    | CUSIP: 31393YT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200554 | PA      | $194020.21    | 0.01%             | 2034-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 329, Class 1                                                                                        | CUSIP: 3136FAWE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21513 | PA      | $18340.56     | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                       | Flex Intermediate Holdco LLC                                                                                             | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |   1425000 | PA      | $1137124.89   | 0.05%             | 2031-06-30      | Fixed         | 3.36%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-55, Class SA                                                                                           | CUSIP: 38375QK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    120313 | PA      | $4237.21      | 0.00%             | 2038-06-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    246000 | PA      | $248523.98    | 0.01%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2434, Class TC                                                                                      | CUSIP: 3133TVTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78954 | PA      | $83493.50     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| John Sevier Combined Cycle Generation LLC                          | John Sevier Combined Cycle Generation LLC                                                                                | CUSIP: 478045AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    696351 | PA      | $666461.78    | 0.03%             | 2042-01-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1075000 | PA      | $891712.50    | 0.04%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4A23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27603 | PA      | $27623.52     | 0.00%             | 2036-02-01      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Activision Blizzard, Inc.                                          | Activision Blizzard, Inc.                                                                                                | CUSIP: 00507VAP4<br>LEI: 549300TPQQDBP9GNOF40 | Long             | DBT              | CORP              | US        |    842000 | PA      | $665443.39    | 0.03%             | 2030-09-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21887200 | PA      | $19497562.29  | 0.92%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2015-2, Class AA                                                                   | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    191881 | PA      | $167124.04    | 0.01%             | 2027-12-15      | Fixed         | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                          | Commercial Mortgage Trust, Series 2013-SFS, Class A2                                                                     | CUSIP: 12625EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $1042651.30   | 0.05%             | 2035-04-12      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1996-14, Class SE                                                                                    | CUSIP: 31359KAJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5763 | PA      | $89.65        | 0.00%             | 2023-08-25      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series G93-27, Class FD                                                                                     | CUSIP: 31359B3C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       213 | PA      | $212.64       | 0.00%             | 2023-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MAF7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    872000 | PA      | $802477.67    | 0.04%             | 2026-07-14      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEV79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4460000 | PA      | $3597182.76   | 0.17%             | 2033-12-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| LendingPoint Asset Securitization Trust                            | LendingPoint Asset Securitization Trust, Series 2020-REV1, Class A                                                       | CUSIP: 52606YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4866581 | PA      | $4790892.34   | 0.23%             | 2028-10-15      | Fixed         | 2.73%                 | Yes           |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833DG2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    150000 | PA      | $128965.04    | 0.01%             | 2047-11-13      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3129413U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196725 | PA      | $200862.00    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2020-SFR2, Class C                                                                                    | CUSIP: 00178UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3165396.15   | 0.15%             | 2037-07-17      | Fixed         | 2.53%                 | Yes           |                  3 | On Loan: No      |
| National Australia Bank Ltd.                                       | National Australia Bank Ltd.                                                                                             | CUSIP: 632525AS0<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   1025000 | PA      | $860577.11    | 0.04%             | 2034-08-02      | Variable      | 3.93%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-38, Class SW                                                                                           | CUSIP: 38374NPR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16709 | PA      | $110.19       | 0.00%             | 2036-06-20      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-66, Class SG                                                                                    | CUSIP: 31394EKR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77451 | PA      | $82903.95     | 0.00%             | 2035-07-25      | Floating      | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPCR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4227175 | PA      | $3999121.09   | 0.19%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                           | PRET LLC, Series 2021-NPL6, Class A1                                                                                     | CUSIP: 69362GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2798788 | PA      | $2586838.76   | 0.12%             | 2051-07-25      | Variable      | 2.49%                 | Yes           |                  3 | On Loan: No      |
| SCF Equipment Leasing LLC                                          | SCF Equipment Leasing LLC, Series 2022-2A, Class C                                                                       | CUSIP: 78397WAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3688000 | PA      | $3594575.58   | 0.17%             | 2032-08-20      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| LP LMS Asset Securitization Trust                                  | LP LMS Asset Securitization Trust                                                                                        | CUSIP: 50214GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1209179 | PA      | $1192250.53   | 0.06%             | 2028-10-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Barrick Gold Corp.                                                 | Barrick Gold Corp.                                                                                                       | CUSIP: 725906AN1<br>LEI: 0O4KBQCJZX82UKGCBV73 | Long             | DBT              | CORP              | CA        |    295000 | PA      | $312125.46    | 0.01%             | 2035-10-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617ULWC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2623910 | PA      | $2370999.45   | 0.11%             | 2051-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $216051.13    | 0.01%             | 2030-05-08      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                                    | Goodgreen Trust, Series 2017-1A, Class A                                                                                 | CUSIP: 38217VAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    299020 | PA      | $277309.12    | 0.01%             | 2052-10-15      | Fixed         | 3.74%                 | Yes           |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                            | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $350806.22    | 0.02%             | 2046-02-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402AF27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9138 | PA      | $8992.80      | 0.00%             | 2033-07-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-23, Class KO                                                                                    | CUSIP: 31395B4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23506 | PA      | $21002.89     | 0.00%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-17, Class JI                                                                                           | CUSIP: 38375JTD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456078 | PA      | $41212.96     | 0.00%             | 2037-04-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                        | Raytheon Technologies Corp.                                                                                              | CUSIP: 75513ECK5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    199000 | PA      | $174121.43    | 0.01%             | 2047-04-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-56, Class S                                                                                     | CUSIP: 31394D6N5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224883 | PA      | $19263.04     | 0.00%             | 2035-07-25      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                   | National Retail Properties, Inc.                                                                                         | CUSIP: 637417AL0<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    620000 | PA      | $578815.14    | 0.03%             | 2028-10-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2006-1, Class A1                                                                          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282483 | PA      | $265630.19    | 0.01%             | 2036-02-25      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| Leidos, Inc.                                                       | Leidos, Inc.                                                                                                             | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |    465000 | PA      | $360051.33    | 0.02%             | 2031-02-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H7EG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4646475 | PA      | $4483701.52   | 0.21%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                              | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31088 | PA      | $28030.84     | 0.00%             | 2034-05-20      | Variable      | 3.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                             | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    490000 | PA      | $412768.36    | 0.02%             | 2026-06-05      | Variable      | 2.19%                 | Yes           |                  2 | On Loan: No      |
| Mead Johnson Nutrition Co.                                         | Mead Johnson Nutrition Co.                                                                                               | CUSIP: 582839AH9<br>LEI: E4BJRFT3MF4GJDY1SC50 | Long             | DBT              | CORP              | US        |    153000 | PA      | $150820.80    | 0.01%             | 2025-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Oklahoma Development Finance Authority                             | Oklahoma Development Finance Authority                                                                                   | CUSIP: 6789084E1<br>LEI: 549300PXGPHUWC32DJ91 | Long             | DBT              | MUN               | US        |    575000 | PA      | $533257.88    | 0.03%             | 2052-05-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2005-16, Class A23                                                               | CUSIP: 12669G3R0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    197656 | PA      | $126946.87    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-47, Class PH                                                                                           | CUSIP: 38375KE99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1946288 | PA      | $2010901.69   | 0.10%             | 2037-07-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAR4<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    770000 | PA      | $727055.53    | 0.03%             | 2026-03-18      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                       | Bridge Trust, Series 2022-SFR1, Class C                                                                                  | CUSIP: 10805VAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $3816629.29   | 0.18%             | 2037-11-17      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31390LY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7630 | PA      | $7622.02      | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                 | HERO Funding Trust, Series 2016-3A, Class A1                                                                             | CUSIP: 42770XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320440 | PA      | $298528.39    | 0.01%             | 2042-09-20      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3387, Class SA                                                                                      | CUSIP: 31397PFM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122381 | PA      | $10314.67     | 0.00%             | 2037-11-15      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-26, Class SC                                                                                           | CUSIP: 38375KBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201367 | PA      | $7452.60      | 0.00%             | 2037-05-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $1781194.35   | 0.08%             | 2032-07-21      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-53, Class US                                                                                    | CUSIP: 31395NJD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278182 | PA      | $25267.47     | 0.00%             | 2036-06-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-61, Class Z                                                                                     | CUSIP: 313921M70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    194048 | PA      | $203905.83    | 0.01%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2544, Class HC                                                                                      | CUSIP: 31393FQX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    102434 | PA      | $107371.39    | 0.01%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VOLT CI LLC                                                        | VOLT CI LLC, Series 2021-NP10, Class A1                                                                                  | CUSIP: 92873EAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2011779 | PA      | $1843259.98   | 0.09%             | 2051-05-25      | Variable      | 1.99%                 | Yes           |                  3 | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                         | BAMLL Commercial Mortgage Securities Trust, Series 2014-520M, Class C                                                    | CUSIP: 05525MAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $960477.44    | 0.05%             | 2046-08-15      | Variable      | 4.35%                 | Yes           |                  3 | On Loan: No      |
| Aetna, Inc.                                                        | Aetna, Inc.                                                                                                              | CUSIP: 00817YAG3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |    440000 | PA      | $475420.00    | 0.02%             | 2037-12-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833CD0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    569000 | PA      | $493365.00    | 0.02%             | 2046-08-04      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3331                                                                                                | CUSIP: 31397J5M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81585 | PA      | $67629.01     | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    585000 | PA      | $446816.25    | 0.02%             | 2032-11-24      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| University of Southern California                                  | University of Southern California, Series A                                                                              | CUSIP: 914886AD8<br>LEI: 0GMCSQ6M60R4T46U5511 | Long             | DBT              | CORP              | US        |    570000 | PA      | $328677.79    | 0.02%             | 2120-10-01      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 312941XL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    211554 | PA      | $216577.91    | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 20 Year                                                                                                | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112356 | PA      | $110143.35    | 0.01%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Toledo Edison Co. (The)                                            | Toledo Edison Co. (The)                                                                                                  | CUSIP: 889175BD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $314658.71    | 0.01%             | 2037-05-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AF                                                                    | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    533671 | PA      | $454683.66    | 0.02%             | 2035-09-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1170605.96   | 0.06%             | 2026-11-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Campbell Soup Co.                                                  | Campbell Soup Co.                                                                                                        | CUSIP: 134429BK4<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |    315000 | PA      | $216379.77    | 0.01%             | 2050-04-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-2                                                                           | CUSIP: 693342AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    640000 | PA      | $598388.24    | 0.03%             | 2036-06-01      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133KNNT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4044884 | PA      | $3601794.01   | 0.17%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L96Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1713022 | PA      | $1605074.15   | 0.08%             | 2027-06-01      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                    | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    460000 | PA      | $377897.57    | 0.02%             | 2042-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fells Point Funding Trust                                          | Fells Point Funding Trust                                                                                                | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2405000 | PA      | $2189431.34   | 0.10%             | 2027-01-31      | Fixed         | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                          | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1343000 | PA      | $1315900.05   | 0.06%             | 2026-09-16      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-116, Class HI                                                                                   | CUSIP: 31396X6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    276896 | PA      | $8237.41      | 0.00%             | 2038-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1994-40, Class Z                                                                                     | CUSIP: 31359G5C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59554 | PA      | $59751.58     | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class DO                                                                                   | CUSIP: 3136AGZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    944803 | PA      | $701891.02    | 0.03%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Otis Worldwide Corp.                                               | Otis Worldwide Corp.                                                                                                     | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $1218560.56   | 0.06%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-22, Class AO                                                                                    | CUSIP: 31395BA52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137378 | PA      | $115736.58    | 0.01%             | 2036-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                            | Lendingpoint Asset Securitization Trust, Series 2022-C, Class B                                                          | CUSIP: 525919AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3977294.80   | 0.19%             | 2030-02-15      | Fixed         | 7.46%                 | Yes           |                  3 | On Loan: No      |
| RMIP                                                               | RMIP                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    499529 | PA      | $488389.12    | 0.02%             | 2023-08-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $750983.04    | 0.04%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Jonah  nov37 144a                                                  | Jonah  nov37 144a                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2850000 | PA      | $2794813.17   | 0.13%             | 2037-11-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| AstraZeneca plc                                                    | AstraZeneca plc                                                                                                          | CUSIP: 046353AG3<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    240000 | PA      | $211808.24    | 0.01%             | 2042-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Becton Dickinson and Co.                                           | Becton Dickinson and Co.                                                                                                 | CUSIP: 075887BX6<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |    365000 | PA      | $328360.02    | 0.02%             | 2047-06-06      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                 | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1585969.04   | 0.07%             | 2031-04-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCY5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1715000 | PA      | $1355044.82   | 0.06%             | 2039-11-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    865992 | PA      | $777781.68    | 0.04%             | 2031-08-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXDC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3909644 | PA      | $4037017.87   | 0.19%             | 2072-03-20      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                              | Dominion Energy, Inc., Series F                                                                                          | CUSIP: 257469AJ5<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    920000 | PA      | $898748.31    | 0.04%             | 2033-08-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31371HKW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24785 | PA      | $25179.32     | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    238000 | PA      | $228387.03    | 0.01%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403K4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87894 | PA      | $86596.04     | 0.00%             | 2034-05-01      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-H09, Class TA                                                                                          | CUSIP: 38375UFZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608546 | PA      | $604784.14    | 0.03%             | 2064-04-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| Diversified Abs Phase III LLC                                      | Diversified Abs Phase III LLC, Series 2022-1                                                                             | CUSIP: 255125AB2<br>LEI: 549300TKTDRB5WEDGC48 | Long             | ABS-O            | CORP              | US        |   5122769 | PA      | $4712947.73   | 0.22%             | 2039-04-28      | Fixed         | 4.88%                 | Yes           |                  3 | On Loan: No      |
| Republic of Chile                                                  | Republic of Chile                                                                                                        | CUSIP: 168863DN5<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    497000 | PA      | $416175.38    | 0.02%             | 2032-01-27      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36210ASU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2856 | PA      | $2950.50      | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2444, Class ES                                                                                      | CUSIP: 31392KUY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54117 | PA      | $5269.12      | 0.00%             | 2032-03-15      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                          | DH Europe Finance II SARL                                                                                                | CUSIP: 23291KAJ4<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |   1000000 | PA      | $804570.56    | 0.04%             | 2039-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12000000 | PA      | $11687812.56  | 0.55%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402DNT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11576 | PA      | $11351.70     | 0.00%             | 2034-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WAX6<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    629000 | PA      | $542338.73    | 0.03%             | 2031-06-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 2A1                                                          | CUSIP: 576433LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28223 | PA      | $25619.06     | 0.00%             | 2034-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2201, Class C                                                                                       | CUSIP: 3133TMGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21848 | PA      | $22765.98     | 0.00%             | 2029-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                             | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    691000 | PA      | $612149.12    | 0.03%             | 2025-09-11      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A4                               | CUSIP: 92922FY44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105910 | PA      | $88204.96     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-99, Class SC                                                                                    | CUSIP: 31398F4S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56485 | PA      | $4058.53      | 0.00%             | 2039-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABP1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    530000 | PA      | $449417.23    | 0.02%             | 2027-10-15      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2003-12, Class 30PO                                                             | CUSIP: 55265K4C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6668 | PA      | $5117.90      | 0.00%             | 2033-12-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| New Century Home Equity Loan Trust                                 | New Century Home Equity Loan Trust, Series 2003-5, Class AI6                                                             | CUSIP: 64352VED9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    230698 | PA      | $215327.36    | 0.01%             | 2033-11-25      | Variable      | 4.83%                 | No            |                  3 | On Loan: No      |
| General Motors Financial Co., Inc.                                 | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    910000 | PA      | $714438.22    | 0.03%             | 2031-06-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| US Auto Funding Trust                                              | US Auto Funding Trust, Series 2022-1A, Class B                                                                           | CUSIP: 90355FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4700000 | PA      | $4445633.18   | 0.21%             | 2025-12-15      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: No      |
| Air Lease Corp.                                                    | Air Lease Corp.                                                                                                          | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    476000 | PA      | $449191.44    | 0.02%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-21, Class KA                                                                                    | CUSIP: 31358T4H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       148 | PA      | $147.80       | 0.00%             | 2023-03-25      | Fixed         | 7.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-39                                                                                              | CUSIP: 31393A5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22249 | PA      | $3326.71      | 0.00%             | 2033-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-130, Class GI                                                                                   | CUSIP: 31396PAS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126561 | PA      | $14290.87     | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9P63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7326585 | PA      | $6753520.80   | 0.32%             | 2030-04-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-62, Class PB                                                                                    | CUSIP: 31359XEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20189 | PA      | $20941.88     | 0.00%             | 2029-12-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     95000 | PA      | $70032.54     | 0.00%             | 2049-09-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    259000 | PA      | $163853.03    | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCA5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1809000 | PA      | $1580433.23   | 0.07%             | 2039-11-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1994-1, Class 2ZB                                                                          | CUSIP: 911760DS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30433 | PA      | $30472.68     | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    975000 | PA      | $943082.33    | 0.04%             | 2027-08-05      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| Arizona Public Service Co.                                         | Arizona Public Service Co.                                                                                               | CUSIP: 040555CM4<br>LEI: YG6VT0TPHRH4TFVAQV64 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176521.80    | 0.01%             | 2041-09-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-130, Class SX                                                                                   | CUSIP: 31393UWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4322 | PA      | $4275.07      | 0.00%             | 2034-01-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                    | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class D                                                                | CUSIP: 92937EAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $368716.52    | 0.02%             | 2045-03-15      | Variable      | 4.41%                 | Yes           |                  3 | On Loan: No      |
| Office Properties Income Trust                                     | Office Properties Income Trust                                                                                           | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    490000 | PA      | $313749.99    | 0.01%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FGLD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1626706 | PA      | $1638301.49   | 0.08%             | 2052-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-36, Class DE                                                                                    | CUSIP: 313920LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52833 | PA      | $55534.98     | 0.00%             | 2031-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                | Exeter Automobile Receivables Trust, Series 2019-3A, Class D                                                             | CUSIP: 30167EAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2595367 | PA      | $2544464.77   | 0.12%             | 2025-08-15      | Fixed         | 3.11%                 | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABN6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    490000 | PA      | $437625.94    | 0.02%             | 2025-10-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140JBZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6748758 | PA      | $5403609.19   | 0.26%             | 2032-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2007-W7, Class 1A4                                                                 | CUSIP: 31396WVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5953 | PA      | $7097.05      | 0.00%             | 2037-07-25      | Floating      | 15.08%                | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1160000 | PA      | $844851.56    | 0.04%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-44                                                                                              | CUSIP: 31397LMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5915 | PA      | $4923.70      | 0.00%             | 2038-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XAD2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    974000 | PA      | $972575.14    | 0.05%             | 2024-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-2, Class WA                                                                                     | CUSIP: 31397QHL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129288 | PA      | $131451.12    | 0.01%             | 2051-02-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2022-2A, Class D                                                           | CUSIP: 96042VAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4910000 | PA      | $4641125.45   | 0.22%             | 2027-09-15      | Fixed         | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAE7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    242000 | PA      | $232187.95    | 0.01%             | 2025-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1745, Class D                                                                                       | CUSIP: 3133T54P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4825 | PA      | $4869.74      | 0.00%             | 2024-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| American Municipal Power, Inc.                                     | American Municipal Power, Inc., Meldahl Hydroelectric Project                                                            | CUSIP: 02765UDV3<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |   1315000 | PA      | $1586420.08   | 0.07%             | 2050-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31373UED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3897 | PA      | $3894.75      | 0.00%             | 2029-03-01      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBD0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    875000 | PA      | $804616.67    | 0.04%             | 2026-05-25      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| Reliance Steel & Aluminum Co.                                      | Reliance Steel & Aluminum Co.                                                                                            | CUSIP: 759509AF9<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2251693.05   | 0.11%             | 2025-08-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2015-SFR1, Class A                                                                   | CUSIP: 02666AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3651537 | PA      | $3471125.06   | 0.16%             | 2052-04-17      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| Hydro-Quebec                                                       | Hydro-Quebec                                                                                                             | CUSIP: 448814EJ8<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |    350000 | PA      | $367562.87    | 0.02%             | 2024-07-07      | Fixed         | 8.05%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A1                                                 | CUSIP: 92922FNH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28504 | PA      | $25913.53     | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2022-3A, Class C                                                               | CUSIP: 22534QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4135609.32   | 0.20%             | 2033-02-15      | Fixed         | 8.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-90, Class AO                                                                                    | CUSIP: 31396KU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68108 | PA      | $59150.15     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19446 | PA      | $19689.72     | 0.00%             | 2028-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810PW2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    447000 | PA      | $479739.26    | 0.02%             | 2038-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1998-43, Class SA                                                                                    | CUSIP: 31359TL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       523 | PA      | $8.78         | 0.00%             | 2023-04-25      | Floating      | 12.43%                | No            |                  2 | On Loan: No      |
| Oportun Funding XIII LLC                                           | Oportun Funding XIII LLC, Series 2019-A, Class A                                                                         | CUSIP: 68377FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2367305 | PA      | $2300803.83   | 0.11%             | 2025-08-08      | Fixed         | 3.08%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2021-SFR6, Class E1                                                                   | CUSIP: 74333HAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3446000 | PA      | $2837511.87   | 0.13%             | 2038-07-17      | Fixed         | 2.42%                 | Yes           |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                        | Rogers Communications, Inc.                                                                                              | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |    745000 | PA      | $606387.94    | 0.03%             | 2052-03-15      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1200000 | PA      | $1088773.16   | 0.05%             | 2026-04-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-72, Class SM                                                                                           | CUSIP: 38373AGM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301699 | PA      | $19199.08     | 0.00%             | 2039-08-16      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    555000 | PA      | $498777.03    | 0.02%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                   | CVS Health Corp.                                                                                                         | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    171000 | PA      | $166231.84    | 0.01%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                             | UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class XA                                                         | CUSIP: 90269CAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1059092 | PA      | $14.62        | 0.00%             | 2063-05-10      | Variable      | 0.67%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M5CE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130464 | PA      | $134473.29    | 0.01%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Utah Acquisition Sub, Inc.                                         | Utah Acquisition Sub, Inc.                                                                                               | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    300000 | PA      | $281155.05    | 0.01%             | 2026-06-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Boston Properties LP                                               | Boston Properties LP                                                                                                     | CUSIP: 10112RAZ7<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    532000 | PA      | $510238.91    | 0.02%             | 2025-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MDV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151286 | PA      | $145395.66    | 0.01%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                 | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AM7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    125000 | PA      | $104099.58    | 0.00%             | 2044-10-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405KZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14522 | PA      | $14106.76     | 0.00%             | 2034-09-01      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.                         | Australia & New Zealand Banking Group Ltd.                                                                               | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |    263000 | PA      | $250773.40    | 0.01%             | 2026-05-19      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Amgen, Inc.                                                        | Amgen, Inc.                                                                                                              | CUSIP: 031162DC1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    845000 | PA      | $561482.45    | 0.03%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-179, Class SC                                                                                   | CUSIP: 31359EFX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       458 | PA      | $462.55       | 0.00%             | 2023-10-25      | Floating      | 10.50%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2012-66, Class CB                                                                                    | CUSIP: 3136A6ZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2848426 | PA      | $2690698.70   | 0.13%             | 2032-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2015-2, Class A                                                                         | CUSIP: 48250BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499464 | PA      | $51508.75     | 0.00%             | 2041-07-25      | Variable      | 3.03%                 | Yes           |                  3 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613AK4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    360000 | PA      | $280865.89    | 0.01%             | 2033-02-11      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMN65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    472783 | PA      | $422495.40    | 0.02%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $807795.09    | 0.04%             | 2032-04-22      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Welltower, Inc.                                                    | Welltower, Inc.                                                                                                          | CUSIP: 42217KAX4<br>LEI: T6IZ0MBEG5ACZDTR7D06 | Long             | DBT              | CORP              | US        |    350000 | PA      | $354021.70    | 0.02%             | 2041-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                     | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    376000 | PA      | $283785.42    | 0.01%             | 2046-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-7, Class 30PO                                                                  | CUSIP: 576434TQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57470 | PA      | $42168.26     | 0.00%             | 2034-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4217, Class KY                                                                                      | CUSIP: 3137B2KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2018091.99   | 0.10%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31371LPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3481 | PA      | $3491.99      | 0.00%             | 2024-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-1, Class UD                                                                                     | CUSIP: 31392BWF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2034 | PA      | $2005.88      | 0.00%             | 2023-12-25      | Floating      | 10.44%                | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                 | Crown Castle, Inc.                                                                                                       | CUSIP: 22822VAE1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    264000 | PA      | $252059.10    | 0.01%             | 2027-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                               | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    510000 | PA      | $440968.40    | 0.02%             | 2027-01-12      | Variable      | 1.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-151, Class A2                                         | CUSIP: 3137H9JG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5200000 | PA      | $4954738.88   | 0.23%             | 2032-10-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Class 1A19                                         | CUSIP: 32051GYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    348175 | PA      | $183792.97    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GMACM Mortgage Loan Trust                                          | GMACM Mortgage Loan Trust, Series 2005-AR3, Class 3A4                                                                    | CUSIP: 36185N7E4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    396564 | PA      | $353969.74    | 0.02%             | 2035-06-19      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                   | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664BU4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $929837.86    | 0.04%             | 2042-05-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1997-1, Class 2Z                                                                           | CUSIP: 911760KE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    147013 | PA      | $150781.90    | 0.01%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ford Foundation (The)                                              | Ford Foundation (The), Series 2020                                                                                       | CUSIP: 34531XAC8<br>LEI: 54930013YZ3DULPNNT44 | Long             | DBT              | CORP              | US        |    365000 | PA      | $215566.37    | 0.01%             | 2070-06-01      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 3A1                                                         | CUSIP: 576433VM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45315 | PA      | $41403.27     | 0.00%             | 2034-12-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H29, Class FA                                                                                          | CUSIP: 38375BZQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365739 | PA      | $362685.04    | 0.02%             | 2062-10-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Kroger Co. (The)                                                   | Kroger Co. (The)                                                                                                         | CUSIP: 501044CR0<br>LEI: 6CPEOKI6OYJ13Q6O7870 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1013130.38   | 0.05%             | 2042-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3149, Class SO                                                                                      | CUSIP: 31396RJA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20224 | PA      | $16013.99     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US Airways Pass-Through Trust                                      | US Airways Pass-Through Trust, Series 2011-1, Class A                                                                    | CUSIP: 903436AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1141961 | PA      | $1147085.62   | 0.05%             | 2023-10-22      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                              | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1095000 | PA      | $843008.41    | 0.04%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| APA Infrastructure Ltd.                                            | APA Infrastructure Ltd.                                                                                                  | CUSIP: 00205GAD9<br>LEI: 261700SS8OEHDOCOUJ33 | Long             | DBT              | CORP              | AU        |    732000 | PA      | $686290.68    | 0.03%             | 2027-07-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2002-52, Class GH                                                                                           | CUSIP: 38373XE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    235573 | PA      | $235030.47    | 0.01%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-30, Class LS                                                                                    | CUSIP: 31397SMD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233159 | PA      | $10816.72     | 0.00%             | 2041-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2296, Class PD                                                                                      | CUSIP: 3133TRUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35328 | PA      | $37172.88     | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05583JAJ1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    730000 | PA      | $544320.96    | 0.03%             | 2032-01-20      | Variable      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                     | Thermo Fisher Scientific, Inc.                                                                                           | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1128040.68   | 0.05%             | 2031-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3122, Class ZB                                                                                      | CUSIP: 31396JMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28969 | PA      | $33062.18     | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                 | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBB2<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |    221000 | PA      | $214480.50    | 0.01%             | 2026-01-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5725000 | PA      | $5366292.97   | 0.25%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-12, Class IE                                                                                           | CUSIP: 38374XPH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    316930 | PA      | $28123.44     | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2567, Class QD                                                                                      | CUSIP: 31393KA39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    176714 | PA      | $183585.46    | 0.01%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   2420000 | PA      | $2390036.87   | 0.11%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 393, Class 6                                                                                        | CUSIP: 3136FGCE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22998 | PA      | $2920.84      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1899, Class ZE                                                                                      | CUSIP: 3133T86T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21221 | PA      | $22035.48     | 0.00%             | 2026-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                   | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAL7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    425000 | PA      | $322095.36    | 0.02%             | 2031-08-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co.                                                                                                         | CUSIP: 641423CA4<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    305000 | PA      | $288857.24    | 0.01%             | 2041-05-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1541, Class O                                                                                       | CUSIP: 3133T0BX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1335 | PA      | $1329.67      | 0.00%             | 2023-07-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36210APW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6052 | PA      | $6114.23      | 0.00%             | 2028-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2033, Class SN                                                                                      | CUSIP: 3133TCX78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1757 | PA      | $90.48        | 0.00%             | 2024-03-15      | Floating      | 25.62%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-165, Class SK                                                                                   | CUSIP: 31359D5S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       810 | PA      | $819.97       | 0.00%             | 2023-09-25      | Floating      | 12.50%                | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class A2                                          | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2467000 | PA      | $2359541.92   | 0.11%             | 2027-04-25      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| OneSky Loan Trust                                                  | OneSky Loan Trust, 1st Lien Term Loan                                                                                    | CUSIP: 68278AAA7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3320120 | PA      | $2820716.01   | 0.13%             | 2031-01-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3920, Class LP                                                                                      | CUSIP: 3137AF3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    408469 | PA      | $412968.93    | 0.02%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                        | Raytheon Technologies Corp.                                                                                              | CUSIP: 913017CA5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    543000 | PA      | $464278.27    | 0.02%             | 2045-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3757000 | PA      | $3244962.00   | 0.15%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-14, Class NI                                                                                           | CUSIP: 38374XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138696 | PA      | $20701.35     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K138, Class AM                                          | CUSIP: 3137H5XV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1850000 | PA      | $1494152.69   | 0.07%             | 2032-01-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Regency Centers LP                                                 | Regency Centers LP                                                                                                       | CUSIP: 75884RAZ6<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |    745000 | PA      | $626684.48    | 0.03%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAU2<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    230000 | PA      | $210860.68    | 0.01%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class A                                                               | CUSIP: 90931VAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1371448 | PA      | $1103186.10   | 0.05%             | 2030-03-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                      | Healthcare Realty Holdings LP                                                                                            | CUSIP: 42225UAH7<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    610000 | PA      | $463342.99    | 0.02%             | 2031-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-58, Class APO                                          | CUSIP: 31394JY76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71159 | PA      | $50695.06     | 0.00%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-110, Class GL                                                                                   | CUSIP: 31394US60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1818939 | PA      | $1862346.05   | 0.09%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                                          | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4361276.50   | 0.21%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31409JS50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41448 | PA      | $41710.54     | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-91, Class PI                                                                                           | CUSIP: 38374MSK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111471 | PA      | $14390.71     | 0.00%             | 2035-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Magellan Midstream Partners LP                                     | Magellan Midstream Partners LP                                                                                           | CUSIP: 559080AH9<br>LEI: MZF5TI8NFVZZNUSKDL39 | Long             | DBT              | CORP              | US        |    353000 | PA      | $337014.97    | 0.02%             | 2025-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    780000 | PA      | $653863.03    | 0.03%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                         | Microchip Technology, Inc.                                                                                               | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    350000 | PA      | $331159.91    | 0.02%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-1, Class SA                                                                                     | CUSIP: 31392BVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10082 | PA      | $11694.84     | 0.00%             | 2032-02-25      | Floating      | 12.14%                | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2262, Class Z                                                                                       | CUSIP: 3133TQ5B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6160 | PA      | $6610.69      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119CB3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    414000 | PA      | $279798.84    | 0.01%             | 2051-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9800000 | PA      | $8591843.75   | 0.41%             | 2028-03-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Pioneer Natural Resources Co.                                      | Pioneer Natural Resources Co.                                                                                            | CUSIP: 723787AQ0<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $839012.22    | 0.04%             | 2030-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-116, Class JY                                                                                          | CUSIP: 38378VB61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1300000 | PA      | $1251501.94   | 0.06%             | 2043-08-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 299, Class 300                                                                                     | CUSIP: 3132HTJV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1280170 | PA      | $1168206.48   | 0.06%             | 2043-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3747, Class PY                                                                                      | CUSIP: 31398QUH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    771059 | PA      | $742783.40    | 0.04%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-38, Class ZK                                                                                           | CUSIP: 38374NQB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    608839 | PA      | $618828.69    | 0.03%             | 2036-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    355000 | PA      | $337776.95    | 0.02%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-13, Class ST                                                                                    | CUSIP: 31392B5S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1976 | PA      | $2129.81      | 0.00%             | 2032-03-25      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAN5<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $342689.14    | 0.02%             | 2027-09-14      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| S&P Global, Inc.                                                   | S&P Global, Inc.                                                                                                         | CUSIP: 78409VBC7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |   1791000 | PA      | $1543285.27   | 0.07%             | 2032-03-01      | Fixed         | 2.90%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1299 | PA      | $1329.08      | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                              | Banque Federative du Credit Mutuel SA                                                                                    | CUSIP: 06675FAT4<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |    813000 | PA      | $767548.30    | 0.04%             | 2024-11-21      | Fixed         | 2.38%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    960000 | PA      | $950685.71    | 0.04%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  53850000 | PA      | $52205050.51  | 2.47%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-28CB, Class 1A4                                                                      | CUSIP: 12667GWT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1028893 | PA      | $888907.74    | 0.04%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2000-20, Class SA                                                                                    | CUSIP: 31359X4V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22009 | PA      | $634.43       | 0.00%             | 2030-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30400000 | PA      | $28808750.00  | 1.36%             | 2029-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-59, Class BG                                                                                    | CUSIP: 31394AVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63678 | PA      | $53942.75     | 0.00%             | 2032-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1935, Class FL                                                                                      | CUSIP: 3133T8Z83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1273 | PA      | $1271.65      | 0.00%             | 2027-02-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2247, Class Z                                                                                       | CUSIP: 3133TPGX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27964 | PA      | $29526.65     | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series G95-1, Class C                                                                                       | CUSIP: 31359LMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4499 | PA      | $4600.26      | 0.00%             | 2025-01-25      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349UJY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80789 | PA      | $81355.31     | 0.00%             | 2035-01-01      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402CPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231309 | PA      | $242023.89    | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LUY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99272 | PA      | $100061.47    | 0.00%             | 2040-07-01      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp., Series N                                                                                          | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    590000 | PA      | $522797.59    | 0.02%             | 2027-03-11      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128M8RN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    871156 | PA      | $874311.57    | 0.04%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967NE7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    885000 | PA      | $695417.48    | 0.03%             | 2032-11-03      | Variable      | 2.52%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-6F, Class 3A4                                                                       | CUSIP: 36228F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94394 | PA      | $93520.37     | 0.00%             | 2034-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brixmor Operating Partnership LP                                   | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAK9<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    840000 | PA      | $695223.93    | 0.03%             | 2028-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                      | UniCredit SpA                                                                                                            | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $174152.25    | 0.01%             | 2032-06-19      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Impac Secured Assets Trust                                         | Impac Secured Assets Trust, Series 2006-1, Class 2A1                                                                     | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50913 | PA      | $42768.39     | 0.00%             | 2036-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners LP                                                | Buckeye Partners LP                                                                                                      | CUSIP: 118230AM3<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |    770000 | PA      | $582139.25    | 0.03%             | 2043-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A6                                                            | CUSIP: 17307GBJ6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      7531 | PA      | $6087.09      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| International Flavors & Fragrances, Inc.                           | International Flavors & Fragrances, Inc.                                                                                 | CUSIP: 459506AL5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    365000 | PA      | $314382.81    | 0.01%             | 2048-09-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2003-9, Class 8A1                                                                   | CUSIP: 576434LD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171062 | PA      | $161328.74    | 0.01%             | 2034-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-41, Class PE                                                                                    | CUSIP: 31393BE50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2493 | PA      | $2484.95      | 0.00%             | 2023-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-32, Class PI                                                                                           | CUSIP: 383742YT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11816 | PA      | $120.49       | 0.00%             | 2037-10-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    114000 | PA      | $110217.05    | 0.01%             | 2026-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-112, Class SA                                                                                          | CUSIP: 38374EZ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    254351 | PA      | $6212.70      | 0.00%             | 2033-12-16      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                     | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAH2<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $872151.06    | 0.04%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAL4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    382000 | PA      | $350663.31    | 0.02%             | 2026-09-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3211, Class SO                                                                                      | CUSIP: 31397BAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119249 | PA      | $100364.80    | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31405FTF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17255 | PA      | $17654.84     | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2586, Class WI                                                                                      | CUSIP: 31393MWB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48213 | PA      | $8281.12      | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    775000 | PA      | $668780.48    | 0.03%             | 2026-06-15      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    945000 | PA      | $807480.84    | 0.04%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H07, Class HA                                                                                          | CUSIP: 38375BQ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    502404 | PA      | $496780.18    | 0.02%             | 2063-03-20      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-6, Class 7A1                                                                   | CUSIP: 576434SK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176334 | PA      | $163238.37    | 0.01%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FPDJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    294205 | PA      | $280245.82    | 0.01%             | 2032-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1829, Class ZB                                                                                      | CUSIP: 3133T6J36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1775 | PA      | $1780.51      | 0.00%             | 2026-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCJ2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    920000 | PA      | $704250.80    | 0.03%             | 2032-11-02      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Shell International Finance BV                                     | Shell International Finance BV                                                                                           | CUSIP: 822582CD2<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |   2280000 | PA      | $1998929.24   | 0.09%             | 2029-11-07      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| GTP Acquisition Partners I LLC                                     | GTP Acquisition Partners I LLC                                                                                           | CUSIP: 36246MAU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1436000 | PA      | $1354748.25   | 0.06%             | 2025-06-16      | Fixed         | 3.48%                 | Yes           |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                     | Alimentation Couche-Tard, Inc.                                                                                           | CUSIP: 01626PAQ9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   1420000 | PA      | $973250.89    | 0.05%             | 2051-05-13      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3819, Class ZQ                                                                                      | CUSIP: 3137A8N20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    522895 | PA      | $546009.68    | 0.03%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31283HTD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34351 | PA      | $35593.64     | 0.00%             | 2032-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WRUE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427669 | PA      | $406367.10    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-31, Class NO                                                                                           | CUSIP: 38376XM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480742 | PA      | $400620.82    | 0.02%             | 2040-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Phillips 66 Co.                                                    | Phillips 66 Co.                                                                                                          | CUSIP: 718547AJ1<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |    985000 | PA      | $871634.16    | 0.04%             | 2029-12-15      | Fixed         | 3.15%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2500, Class MC                                                                                      | CUSIP: 31392UXE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86476 | PA      | $89427.04     | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-52, Class NS                                                                                    | CUSIP: 31359W5E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1279 | PA      | $1283.75      | 0.00%             | 2023-10-25      | Floating      | 12.13%                | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                           | MRCD MARK Mortgage Trust, Series 2019-PARK, Class A                                                                      | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $1883033.24   | 0.09%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1746000 | PA      | $1416355.95   | 0.07%             | 2029-09-15      | Variable      | 2.16%                 | Yes           |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                        | Raytheon Technologies Corp.                                                                                              | CUSIP: 75513ECG4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    350000 | PA      | $343619.80    | 0.02%             | 2024-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2043, Class CJ                                                                                      | CUSIP: 3133TDML7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5794 | PA      | $5944.26      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-109, Class PC                                                                                   | CUSIP: 31394UZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181216 | PA      | $183704.21    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAJ6<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    292000 | PA      | $270373.03    | 0.01%             | 2026-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Gold Key Resorts LLC                                               | Gold Key Resorts LLC, Series 2014-A, Class A                                                                             | CUSIP: 38061LAA7<br>LEI: 549300MORAF4RGEXUA95 | Long             | ABS-O            | CORP              | US        |     41733 | PA      | $40882.05     | 0.00%             | 2031-03-17      | Fixed         | 3.22%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3621, Class BO                                                                                      | CUSIP: 31398LZP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81443 | PA      | $68144.01     | 0.00%             | 2040-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                    | BAE Systems plc                                                                                                          | CUSIP: 05523RAE7<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    502000 | PA      | $336415.14    | 0.02%             | 2050-09-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Flex Intermediate Holdco LLC                                       | Flex Intermediate Holdco LLC                                                                                             | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    545000 | PA      | $392520.87    | 0.02%             | 2039-12-30      | Fixed         | 4.32%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBD1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    496000 | PA      | $327816.26    | 0.02%             | 2050-06-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3102, Class FB                                                                                      | CUSIP: 31396H5M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55186 | PA      | $54872.83     | 0.00%             | 2036-01-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    560000 | PA      | $492405.42    | 0.02%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                       | Discovery Communications LLC                                                                                             | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    175000 | PA      | $135342.29    | 0.01%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class B                                                               | CUSIP: 90932NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    523296 | PA      | $475443.58    | 0.02%             | 2026-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JA25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12583 | PA      | $12877.66     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2359, Class ZB                                                                                      | CUSIP: 3133TV5T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83206 | PA      | $90636.10     | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    250000 | PA      | $214616.30    | 0.01%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                                             | CVS Pass-Through Trust                                                                                                   | CUSIP: 126650BY5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    737475 | PA      | $728202.35    | 0.03%             | 2034-01-10      | Fixed         | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Smithfield Foods, Inc.                                             | Smithfield Foods, Inc.                                                                                                   | CUSIP: 832248BC1<br>LEI: CVTIPZRZJC0JQEZLL598 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1155072.50   | 0.05%             | 2030-10-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31414HWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30287 | PA      | $29697.85     | 0.00%             | 2038-01-01      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403R2E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52233 | PA      | $54006.82     | 0.00%             | 2028-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27100000 | PA      | $23335640.63  | 1.10%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-71, Class SC                                                                                           | CUSIP: 38375XML5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53833 | PA      | $1750.90      | 0.00%             | 2038-08-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2014-SFR2, Class D                                                                   | CUSIP: 02665UAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1925781.80   | 0.09%             | 2036-10-17      | Fixed         | 5.15%                 | Yes           |                  3 | On Loan: No      |
| FREMF 2019-KBF3 Mortgage Trust                                     | FREMF Mortgage Trust, Series 2019-KBF3, Class B                                                                          | CUSIP: 30311TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3397393 | PA      | $3155449.13   | 0.15%             | 2029-01-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05583JAH5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    690000 | PA      | $607364.39    | 0.03%             | 2026-10-06      | Variable      | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Holdings Finance Co. LLC                                | Blackstone Holdings Finance Co. LLC                                                                                      | CUSIP: 09256BAH0<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |    429000 | PA      | $358022.07    | 0.02%             | 2045-07-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 86765BAK5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    400000 | PA      | $373328.07    | 0.02%             | 2042-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9500000 | PA      | $8145878.93   | 0.38%             | 2028-07-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                 | MRA Issuance Trust, Series 2021-EBO2, Class A                                                                            | CUSIP: 55351BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4218801 | PA      | $4044986.10   | 0.19%             | 2023-04-05      | Floating      | 4.35%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                           | PRET LLC, Series 2021-RN3, Class A1                                                                                      | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3778081 | PA      | $3396818.55   | 0.16%             | 2051-09-25      | Variable      | 1.84%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CRE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1364 | PA      | $1396.12      | 0.00%             | 2026-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR3, Class E1                                                                                   | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2168000 | PA      | $1818674.06   | 0.09%             | 2038-10-17      | Fixed         | 2.33%                 | Yes           |                  3 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 26442UAM6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    820000 | PA      | $544603.34    | 0.03%             | 2051-08-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58                                                                                              | CUSIP: 31395ND20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83128 | PA      | $69373.22     | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fomento Economico Mexicano SAB de CV                               | Fomento Economico Mexicano SAB de CV                                                                                     | CUSIP: 344419AC0<br>LEI: 549300A8MDWDJNMLV153 | Long             | DBT              | CORP              | MX        |   1060000 | PA      | $752600.00    | 0.04%             | 2050-01-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5157589 | PA      | $4312803.89   | 0.20%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406N4K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       558 | PA      | $554.69       | 0.00%             | 2035-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| America Movil SAB de CV                                            | America Movil SAB de CV                                                                                                  | CUSIP: 02364WBG9<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |    441000 | PA      | $377354.88    | 0.02%             | 2049-04-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-81, Class GE                                                                                    | CUSIP: 31396XAU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98446 | PA      | $100413.85    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                        | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AG6<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |     13000 | PA      | $12650.29     | 0.00%             | 2025-12-21      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6152000 | PA      | $3431662.50   | 0.16%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR10, Class 2P                                                | CUSIP: 93363EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41709 | PA      | $39561.97     | 0.00%             | 2036-09-25      | Variable      | 3.57%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1387371.87   | 0.07%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31410KLP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       180 | PA      | $179.26       | 0.00%             | 2023-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613AA6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    965000 | PA      | $821219.88    | 0.04%             | 2030-08-13      | Variable      | 3.13%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1998-36, Class ZB                                                                                    | CUSIP: 31359T5E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15732 | PA      | $16016.67     | 0.00%             | 2028-07-18      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31384VRC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2774 | PA      | $2770.60      | 0.00%             | 2028-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CFMT LLC                                                           | CFMT LLC, Series 2020-HB4, Class A                                                                                       | CUSIP: 12529LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1572899 | PA      | $1519624.92   | 0.07%             | 2030-12-26      | Variable      | 0.95%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co., Series B                                                                                 | CUSIP: 842400GJ6<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    400000 | PA      | $373718.74    | 0.02%             | 2028-03-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2000-2, Class ZE                                                                                     | CUSIP: 31359XSV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59807 | PA      | $62933.80     | 0.00%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K070, Class A2                                          | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1748000 | PA      | $1669725.26   | 0.08%             | 2027-11-25      | Variable      | 3.30%                 | No            |                  2 | On Loan: No      |
| Packaging Corp. of America                                         | Packaging Corp. of America                                                                                               | CUSIP: 695156AV1<br>LEI: 549300XZP8MFZFY8TJ84 | Long             | DBT              | CORP              | US        |    845000 | PA      | $659004.92    | 0.03%             | 2049-12-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 164                                                      | CUSIP: 73358WCW2<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   1825000 | PA      | $1955145.50   | 0.09%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1583555.90   | 0.07%             | 2028-04-24      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-73, Class MI                                                                                           | CUSIP: 38375LD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    145626 | PA      | $3219.04      | 0.00%             | 2037-11-20      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2014-SFR2, Class E                                                                   | CUSIP: 02665UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    850000 | PA      | $828471.63    | 0.04%             | 2036-10-17      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-6, Class 30PO                                                                  | CUSIP: 576434SQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92760 | PA      | $68230.08     | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36200MGS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32538 | PA      | $33615.43     | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    130000 | PA      | $122260.94    | 0.01%             | 2029-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2256, Class MC                                                                                      | CUSIP: 3133TPS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27861 | PA      | $29607.95     | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2210, Class Z                                                                                       | CUSIP: 3133TNDG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53666 | PA      | $57451.32     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-88, Class VI                                                                                    | CUSIP: 31396XUU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    717681 | PA      | $69511.87     | 0.00%             | 2037-09-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VAY3<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    500000 | PA      | $455920.51    | 0.02%             | 2042-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                         | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAK2<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    493000 | PA      | $473422.29    | 0.02%             | 2024-10-01      | Fixed         | 3.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2294 | PA      | $2332.85      | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-103, Class MB                                                                                   | CUSIP: 31398GJB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103647 | PA      | $103723.36    | 0.00%             | 2039-12-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| GE Capital Mortgage Services, Inc. Trust                           | GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M                                                       | CUSIP: 36157RD93<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42460 | PA      | $34576.93     | 0.00%             | 2029-04-25      | Variable      | 6.71%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-49, Class SC                                                                                    | CUSIP: 31398P5R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159274 | PA      | $154899.20    | 0.01%             | 2040-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2022-SFR2, Class E1                                                                   | CUSIP: 74332VAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3436100.80   | 0.16%             | 2027-04-17      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LH3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7251000 | PA      | $7255762.24   | 0.34%             | 2034-11-01      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| Raytheon Technologies Corp.                                        | Raytheon Technologies Corp.                                                                                              | CUSIP: 913017BT5<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |   2799000 | PA      | $2586532.95   | 0.12%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                    | Oncor Electric Delivery Co. LLC                                                                                          | CUSIP: 68233JBK9<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    110000 | PA      | $114929.69    | 0.01%             | 2029-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1787000 | PA      | $1434478.21   | 0.07%             | 2032-03-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2020-M50, Class A1                                                                                     | CUSIP: 3136BCGR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2117598 | PA      | $1952160.42   | 0.09%             | 2030-10-25      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4240, Class B                                                                                       | CUSIP: 3137B3TZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2500650 | PA      | $2342368.86   | 0.11%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-20CB, Class 3A8                                                                      | CUSIP: 12667GQN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1089342 | PA      | $42051.75     | 0.00%             | 2035-07-25      | Floating      | 0.71%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2430, Class WF                                                                                      | CUSIP: 31339NW36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144210 | PA      | $151285.03    | 0.01%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967NF4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    298000 | PA      | $209183.18    | 0.01%             | 2042-11-03      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2021-M3, Class 1A1                                                                                     | CUSIP: 3136BDXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    344991 | PA      | $321586.50    | 0.02%             | 2033-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1863, Class Z                                                                                       | CUSIP: 3133T7DV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2212 | PA      | $2218.46      | 0.00%             | 2026-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXCU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4774946 | PA      | $4924800.08   | 0.23%             | 2072-02-20      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H24, Class FG                                                                                          | CUSIP: 38375BXB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8626 | PA      | $8446.84      | 0.00%             | 2060-04-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-68, Class PG                                                                                    | CUSIP: 31394E7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218884 | PA      | $221731.45    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617F2E86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4123937 | PA      | $4123016.68   | 0.19%             | 2052-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Office Properties Income Trust                                     | Office Properties Income Trust                                                                                           | CUSIP: 67623CAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    980000 | PA      | $708157.82    | 0.03%             | 2027-02-01      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140JSFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390186 | PA      | $374654.90    | 0.02%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                        | Masco Corp.                                                                                                              | CUSIP: 574599BP0<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    340000 | PA      | $266712.98    | 0.01%             | 2030-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31407WSP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    183105 | PA      | $186547.79    | 0.01%             | 2035-09-01      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2571, Class SK                                                                                      | CUSIP: 31393LAX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2038 | PA      | $2030.83      | 0.00%             | 2023-09-15      | Floating      | 17.80%                | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402Q4R9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83660 | PA      | $83241.24     | 0.00%             | 2034-08-01      | Variable      | 3.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617XXDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4589170 | PA      | $4732915.70   | 0.22%             | 2072-04-20      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| ANZ New Zealand Int'l Ltd.                                         | ANZ New Zealand Int'l Ltd.                                                                                               | CUSIP: 00182EBM0<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | NZ        |    778000 | PA      | $647410.91    | 0.03%             | 2030-02-13      | Fixed         | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    244000 | PA      | $230312.38    | 0.01%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Cameron LNG LLC                                                    | Cameron LNG LLC                                                                                                          | CUSIP: 133434AD2<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |    961000 | PA      | $775380.19    | 0.04%             | 2039-01-15      | Fixed         | 3.70%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-74, Class SH                                                                                    | CUSIP: 31393EBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52155 | PA      | $48264.40     | 0.00%             | 2033-08-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2420, Class XK                                                                                      | CUSIP: 31339DMW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    109907 | PA      | $114485.12    | 0.01%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVY73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5982991 | PA      | $5348823.92   | 0.25%             | 2029-11-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-5, Class APO                             | CUSIP: 1729732E8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27291 | PA      | $18698.81     | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAM3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    620000 | PA      | $530684.74    | 0.03%             | 2026-02-21      | Fixed         | 2.12%                 | Yes           |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    884361 | PA      | $757623.90    | 0.04%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    960000 | PA      | $852929.43    | 0.04%             | 2028-01-21      | Variable      | 2.48%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61747YDY8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    485000 | PA      | $417690.88    | 0.02%             | 2045-01-27      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-77, Class FG                                                                                    | CUSIP: 31396XJE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34882 | PA      | $34453.76     | 0.00%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-47, Class PE                                                                                    | CUSIP: 31393CRH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     98306 | PA      | $101423.43    | 0.00%             | 2033-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAE0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1216000 | PA      | $1164320.00   | 0.06%             | 2028-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  16100000 | PA      | $10941711.02  | 0.52%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-79, Class DO                                                                                    | CUSIP: 31396KYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103405 | PA      | $90677.12     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WP Carey, Inc.                                                     | WP Carey, Inc.                                                                                                           | CUSIP: 92936UAE9<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    350000 | PA      | $336798.96    | 0.02%             | 2026-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC Multi-Family Structured Credit Risk                          | FHLMC, Multi-Family Structured Credit Risk, Series 2021-MN2, Class M1                                                    | CUSIP: 35563JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6087857 | PA      | $5527857.03   | 0.26%             | 2041-07-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3720, Class A                                                                                       | CUSIP: 3137A1XL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30290 | PA      | $30015.52     | 0.00%             | 2025-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Swedbank AB                                                        | Swedbank AB                                                                                                              | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |   1800000 | PA      | $1784076.91   | 0.08%             | 2027-09-20      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-65, Class SA                                                                                           | CUSIP: 38374N3Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    272249 | PA      | $6382.48      | 0.00%             | 2036-11-20      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| Guardian Life Insurance Co. of America (The)                       | Guardian Life Insurance Co. of America (The)                                                                             | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |    208000 | PA      | $170956.38    | 0.01%             | 2077-01-24      | Fixed         | 4.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2306, Class SE                                                                                      | CUSIP: 3133TSK69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5313 | PA      | $205.08       | 0.00%             | 2024-05-15      | Floating      | 6.48%                 | No            |                  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        |     14493 | PA      | $13096.21     | 0.00%             | 2033-10-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-150, Class A2                                         | CUSIP: 3137H9C98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4145000 | PA      | $3920787.42   | 0.19%             | 2032-09-25      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                                       | Park Aerospace Holdings Ltd.                                                                                             | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   2385000 | PA      | $2373135.77   | 0.11%             | 2023-03-15      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31407KGJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29494 | PA      | $29074.10     | 0.00%             | 2035-09-01      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296NA23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125925 | PA      | $131890.15    | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JY4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    690000 | PA      | $661643.88    | 0.03%             | 2023-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Texas Health Resources                                             | Texas Health Resources                                                                                                   | CUSIP: 882484AA6<br>LEI: 54930008C10TUBW7Z611 | Long             | DBT              | CORP              | US        |    300000 | PA      | $253747.70    | 0.01%             | 2055-11-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    600000 | PA      | $567890.66    | 0.03%             | 2024-08-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13469500 | PA      | $11740563.33  | 0.55%             | 2028-06-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408GU1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153072.41    | 0.01%             | 2041-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K146, Class A2                                          | CUSIP: 3137H7ZB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4200000 | PA      | $3728828.88   | 0.18%             | 2054-06-25      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29273RBG3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    917000 | PA      | $899816.84    | 0.04%             | 2026-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H3XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225918 | PA      | $217932.06    | 0.01%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3229, Class HE                                                                                      | CUSIP: 31397BRQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139420 | PA      | $138050.87    | 0.01%             | 2026-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607, Class OP                                                                                      | CUSIP: 31398LQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279554 | PA      | $226562.94    | 0.01%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1215000 | PA      | $1008313.75   | 0.05%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2972052 | PA      | $2564367.65   | 0.12%             | 2032-05-01      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2089, Class PJ                                                                                      | CUSIP: 3133TGKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30122 | PA      | $2475.24      | 0.00%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corp.                                   | Berkshire Hathaway Finance Corp.                                                                                         | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |    845000 | PA      | $689943.30    | 0.03%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1300000 | PA      | $1091401.38   | 0.05%             | 2028-01-07      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| NiSource, Inc.                                                     | NiSource, Inc.                                                                                                           | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    740000 | PA      | $570299.92    | 0.03%             | 2031-02-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Sumitomo Mitsui Financial Group, Inc.                              | Sumitomo Mitsui Financial Group, Inc.                                                                                    | CUSIP: 86562MBP4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1315000 | PA      | $1144392.86   | 0.05%             | 2029-07-16      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Altria Group, Inc.                                                 | Altria Group, Inc.                                                                                                       | CUSIP: 02209SBL6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |   1700000 | PA      | $1288810.68   | 0.06%             | 2032-02-04      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2005-22, Class 2A1                                                               | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    652051 | PA      | $505389.04    | 0.02%             | 2035-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31416BXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3216 | PA      | $3199.84      | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1120000 | PA      | $715396.77    | 0.03%             | 2051-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-H01, Class FD                                                                                          | CUSIP: 38375UCP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    629026 | PA      | $625349.15    | 0.03%             | 2064-01-20      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QH4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11000000 | PA      | $11718007.84  | 0.55%             | 2040-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  26273397 | PA      | $23160967.47  | 1.09%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1115000 | PA      | $1106586.66   | 0.05%             | 2023-02-04      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                              | Walt Disney Co. (The)                                                                                                    | CUSIP: 254687DZ6<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    100000 | PA      | $109293.05    | 0.01%             | 2034-12-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class QX                                                                                      | CUSIP: 31339NHV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31340 | PA      | $2594.14      | 0.00%             | 2032-02-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-10, Class S                                                                                            | CUSIP: 38375PYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158035 | PA      | $5466.26      | 0.00%             | 2038-02-20      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    800000 | PA      | $756538.98    | 0.04%             | 2049-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    895000 | PA      | $773161.14    | 0.04%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                              | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2222757.75   | 0.11%             | 2025-10-15      | Fixed         | 2.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2259, Class ZM                                                                                      | CUSIP: 3133TQC54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45701 | PA      | $48166.13     | 0.00%             | 2030-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Airbus SE                                                          | Airbus SE                                                                                                                | CUSIP: 009279AC4<br>LEI: MINO79WLOO247M1IL051 | Long             | DBT              | CORP              | NL        |    150000 | PA      | $122098.44    | 0.01%             | 2047-04-10      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Tri-State Generation and Transmission Association, Inc.            | Tri-State Generation and Transmission Association, Inc.                                                                  | CUSIP: 89566EAK4<br>LEI: 549300VDHNFNPADSSV98 | Long             | DBT              | CORP              | US        |    417000 | PA      | $320258.07    | 0.02%             | 2046-06-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11555000 | PA      | $7394297.32   | 0.35%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-5                                                                           | CUSIP: 693342AK3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    795000 | PA      | $766203.21    | 0.04%             | 2052-06-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-56, Class FC                                                                                    | CUSIP: 31395NXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272317 | PA      | $268427.50    | 0.01%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1573000 | PA      | $1456524.59   | 0.07%             | 2028-07-24      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H09, Class HA                                                                                          | CUSIP: 38375BR95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10777 | PA      | $10068.34     | 0.00%             | 2063-04-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RAW2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    235000 | PA      | $188303.35    | 0.01%             | 2030-01-22      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2004-UST1, Class A6                                                          | CUSIP: 17307GLD8<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     10909 | PA      | $9676.98      | 0.00%             | 2034-08-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Prudential Financial, Inc.                                         | Prudential Financial, Inc.                                                                                               | CUSIP: 744320AY8<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    300000 | PA      | $240233.14    | 0.01%             | 2047-12-07      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEYK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8350000 | PA      | $6844946.65   | 0.32%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1130000 | PA      | $1012850.78   | 0.05%             | 2026-04-30      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H05, Class FB                                                                                          | CUSIP: 38375BL75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9411 | PA      | $9172.56      | 0.00%             | 2062-02-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2464, Class SI                                                                                      | CUSIP: 31392MWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141952 | PA      | $10829.80     | 0.00%             | 2032-02-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-68, Class KI                                                                                           | CUSIP: 38374L3B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    742736 | PA      | $63903.40     | 0.00%             | 2035-09-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                          | Consolidated Edison Co. of New York, Inc.                                                                                | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $1198661.00   | 0.06%             | 2052-11-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4, Class 1A2                                          | CUSIP: 32052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    837856 | PA      | $83598.30     | 0.00%             | 2037-08-25      | Floating      | 1.61%                 | No            |                  3 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority                                                                                               | CUSIP: 880591CS9<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   6839000 | PA      | $7631765.60   | 0.36%             | 2036-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                            | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAW9<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    550000 | PA      | $393696.88    | 0.02%             | 2061-02-02      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3152, Class MO                                                                                      | CUSIP: 31396R2P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    139902 | PA      | $117996.52    | 0.01%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-60, Class HT                                                                                    | CUSIP: 31396QPL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210118 | PA      | $217149.74    | 0.01%             | 2039-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5391 | PA      | $5559.30      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2022-3A, Class D                                                               | CUSIP: 38014QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2374804.00   | 0.11%             | 2028-06-15      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 2A11                                                           | CUSIP: 17307GRM2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    101910 | PA      | $97164.36     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2344, Class ZD                                                                                      | CUSIP: 313399C47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    289342 | PA      | $299470.45    | 0.01%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31415RBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77391 | PA      | $81198.72     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13625000 | PA      | $9839272.50   | 0.46%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404EVB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26583 | PA      | $26000.18     | 0.00%             | 2034-01-01      | Variable      | 3.36%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Trust                                       | Hilton Grand Vacations Trust, Series 2017-AA, Class A                                                                    | CUSIP: 43283AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63151 | PA      | $61971.10     | 0.00%             | 2028-12-26      | Fixed         | 2.66%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAF0<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    550000 | PA      | $443761.80    | 0.02%             | 2030-10-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                 | Delta Air Lines Pass-Through Trust, Series 2015-1, Class AA                                                              | CUSIP: 24736XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229446 | PA      | $210604.86    | 0.01%             | 2027-07-30      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-58, Class BE                                                                                           | CUSIP: 38374BNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308566 | PA      | $308618.00    | 0.01%             | 2033-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Upstart Structured Pass-Through Trust                              | Upstart Structured Pass-Through Trust, Series 2022-4A, Class A                                                           | CUSIP: 91680YBD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1856330 | PA      | $1843627.84   | 0.09%             | 2030-11-15      | Fixed         | 7.01%                 | Yes           |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2006-RP2, Class 1AS2                                                                   | CUSIP: 36298XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1601777 | PA      | $97335.20     | 0.00%             | 2036-04-25      | Variable      | 2.50%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-14, Class ES                                                                                    | CUSIP: 31396PC33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338053 | PA      | $29846.83     | 0.00%             | 2037-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-46, Class QB                                                                                    | CUSIP: 31393YT96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96349 | PA      | $98144.08     | 0.00%             | 2034-05-25      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| NACC Reperforming Loan REMIC Trust                                 | NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1                                                             | CUSIP: 62951MAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162229 | PA      | $139112.52    | 0.01%             | 2034-10-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K065, Class AM                                          | CUSIP: 3137F1G51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1322000 | PA      | $1262041.35   | 0.06%             | 2027-05-25      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2125, Class JZ                                                                                      | CUSIP: 3133TJHS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28416 | PA      | $28567.68     | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    980000 | PA      | $747235.48    | 0.04%             | 2032-05-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Alexander Funding Trust                                            | Alexander Funding Trust                                                                                                  | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $942881.96    | 0.04%             | 2023-11-15      | Fixed         | 1.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-97, Class KI                                                                                    | CUSIP: 31396XB94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338673 | PA      | $30794.57     | 0.00%             | 2033-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H18, Class JA                                                                                          | CUSIP: 38375B7P1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    915535 | PA      | $908526.83    | 0.04%             | 2063-08-20      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91086QBG2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    316000 | PA      | $309206.00    | 0.01%             | 2026-01-21      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                              | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAP4<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1094000 | PA      | $1034308.30   | 0.05%             | 2025-01-16      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3925, Class FL                                                                                      | CUSIP: 3137AFGG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74222 | PA      | $73865.16     | 0.00%             | 2041-01-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31407LE60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23788 | PA      | $24651.20     | 0.00%             | 2036-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371PAK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76188 | PA      | $84104.92     | 0.00%             | 2038-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-37, Class Z                                                                                     | CUSIP: 31392DCF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35286 | PA      | $36234.08     | 0.00%             | 2032-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR12, Class 2P                                                | CUSIP: 93363NAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42637 | PA      | $36601.67     | 0.00%             | 2036-10-25      | Variable      | 3.32%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1608, Class L                                                                                       | CUSIP: 3133T1W81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21381 | PA      | $21453.09     | 0.00%             | 2023-09-15      | Fixed         | 6.50%                 | 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        |    111543 | PA      | $109410.58    | 0.01%             | 2037-06-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Quanta Services, Inc.                                              | Quanta Services, Inc.                                                                                                    | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |   1440000 | PA      | $1196959.00   | 0.06%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 1999-4, Class ZB                                                                                            | CUSIP: 3837H1U90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136457 | PA      | $136140.83    | 0.01%             | 2029-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAB2<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    629000 | PA      | $530160.25    | 0.03%             | 2046-06-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 912828YX2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9368900 | PA      | $8609872.76   | 0.41%             | 2026-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGE4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   1180000 | PA      | $1022633.58   | 0.05%             | 2044-11-04      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-8F, Class 2A3                                                                       | CUSIP: 36242DCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49835 | PA      | $48911.91     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QS6G6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77200 | PA      | $75499.60     | 0.00%             | 2036-11-01      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury 10 Year Note                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       184 | NC      | $163488.60    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Evergy Metro, Inc.                                                 | Evergy Metro, Inc.                                                                                                       | CUSIP: 485134BM1<br>LEI: 1128SIJQ26096WL7IO82 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1346289.85   | 0.06%             | 2041-10-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3957, Class B                                                                                       | CUSIP: 3137AHAX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101441 | PA      | $98241.18     | 0.00%             | 2041-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1475000 | PA      | $1106690.14   | 0.05%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    795000 | PA      | $680310.30    | 0.03%             | 2027-12-02      | Fixed         | 2.45%                 | Yes           |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2019-1, Class AA                                                              | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    627937 | PA      | $536190.52    | 0.03%             | 2032-12-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2163, Class PC                                                                                      | CUSIP: 3133TLFS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10284 | PA      | $895.73       | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2176, Class OJ                                                                                      | CUSIP: 3133TLTY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50671 | PA      | $53462.85     | 0.00%             | 2029-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                                       | BB-UBS Trust, Series 2012-SHOW, Class A                                                                                  | CUSIP: 05538UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4400000 | PA      | $4084600.52   | 0.19%             | 2036-11-05      | Fixed         | 3.43%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-53, Class SW                                                                                           | CUSIP: 38375LGF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21421 | PA      | $22189.75     | 0.00%             | 2037-09-20      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                     | Public Storage                                                                                                           | CUSIP: 74460DAH2<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    615000 | PA      | $529146.11    | 0.03%             | 2028-11-09      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-28CB, Class 3A5                                                                      | CUSIP: 12667GYN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50688 | PA      | $24349.31     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2006-W2, Class 1AF1                                                                       | CUSIP: 31395N5A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159159 | PA      | $156872.61    | 0.01%             | 2046-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 30 Year                                                                                                      | CUSIP: 3133BMM44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1751474 | PA      | $1743947.35   | 0.08%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3014, Class OD                                                                                      | CUSIP: 31395XBJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27494 | PA      | $22570.40     | 0.00%             | 2035-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freedom Frn                                                        | Freedom Frn                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3948000 | PA      | $3874172.40   | 0.18%             | 2023-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2399, Class TH                                                                                      | CUSIP: 31339MWA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72155 | PA      | $75143.02     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-20                                                                                              | CUSIP: 31359N4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3506 | PA      | $28.45        | 0.00%             | 2027-03-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-2, Class A                                                               | CUSIP: 90932DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    982146 | PA      | $769448.52    | 0.04%             | 2028-10-07      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2423, Class MC                                                                                      | CUSIP: 31339WBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81025 | PA      | $85533.28     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-90, Class PM                                                                                    | CUSIP: 3136AF6A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1694000 | PA      | $1570325.97   | 0.07%             | 2043-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                 | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDM5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    470000 | PA      | $433774.76    | 0.02%             | 2024-10-15      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    560000 | PA      | $410932.50    | 0.02%             | 2051-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H15, Class FJ                                                                                          | CUSIP: 38376RDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2466982 | PA      | $2434805.89   | 0.12%             | 2065-06-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2017-H08, Class XI                                                                                          | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5012200 | PA      | $263140.52    | 0.01%             | 2067-03-20      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2020-M50, Class X1                                                                                     | CUSIP: 3136BCGU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  20698071 | PA      | $1556697.78   | 0.07%             | 2030-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H01, Class FA                                                                                          | CUSIP: 38375BE73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       831 | PA      | $749.04       | 0.00%             | 2063-01-20      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3622AAXX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3951155 | PA      | $3631903.66   | 0.17%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BH6<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    275000 | PA      | $286448.09    | 0.01%             | 2026-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-4, Class 10A1                                                                  | CUSIP: 576434QG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54314 | PA      | $52623.15     | 0.00%             | 2024-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-247, Class FE                                                                                   | CUSIP: 31359FP77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2034 | PA      | $2037.27      | 0.00%             | 2023-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                     | Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1                                               | CUSIP: 86359LDX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129081 | PA      | $119553.54    | 0.01%             | 2034-10-19      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                           | PRPM LLC, Series 2021-1, Class A1                                                                                        | CUSIP: 693577AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2951740 | PA      | $2736703.23   | 0.13%             | 2026-01-25      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-101, Class AE                                                                                   | CUSIP: 3136AGC26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2963007 | PA      | $2796706.91   | 0.13%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners I LLC                             | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1                                                       | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3330873 | PA      | $3007744.11   | 0.14%             | 2060-09-27      | Variable      | 2.24%                 | Yes           |                  3 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    860000 | PA      | $758745.84    | 0.04%             | 2026-01-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1466, Class PZ                                                                                      | CUSIP: 312914MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       602 | PA      | $601.13       | 0.00%             | 2023-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05971KAL3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $447041.54    | 0.02%             | 2032-11-22      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2021-SFR3, Class C                                                                                    | CUSIP: 00180UAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1344552.80   | 0.06%             | 2038-10-17      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                          | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AH1<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    357000 | PA      | $310143.75    | 0.01%             | 2030-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 365, Class 8                                                                                        | CUSIP: 3136FCZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134355 | PA      | $29196.07     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140J73J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1805471 | PA      | $1776075.78   | 0.08%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    167000 | PA      | $107651.95    | 0.01%             | 2051-12-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-13, Class SJ                                                                                    | CUSIP: 31392A7G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143601 | PA      | $4047.58      | 0.00%             | 2032-03-25      | Floating      | 1.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403DTT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50306 | PA      | $49735.42     | 0.00%             | 2035-04-01      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBJ8<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1003521.68   | 0.05%             | 2028-01-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd.                                                   | HGI CRE CLO Ltd., Series 2022-FL3, Class B                                                                               | CUSIP: 403950AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1500000 | PA      | $1429569.00   | 0.07%             | 2037-04-20      | Floating      | 5.94%                 | Yes           |                  3 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2021-SAT1                                                                                  | CUSIP: 30259RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7325000 | PA      | $7006362.50   | 0.33%             | 2024-02-25      | Variable      | 3.65%                 | Yes           |                  2 | On Loan: No      |
| Duquesne Light Holdings, Inc.                                      | Duquesne Light Holdings, Inc.                                                                                            | CUSIP: 266233AG0<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |    750000 | PA      | $676501.83    | 0.03%             | 2027-08-01      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3117, Class OK                                                                                      | CUSIP: 31396HVU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101317 | PA      | $84683.30     | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $439072.73    | 0.02%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                               | LHOME Mortgage Trust, Series 2021-RTL1, Class A1                                                                         | CUSIP: 501894AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2075000 | PA      | $1955456.76   | 0.09%             | 2026-09-25      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EQLH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    637513 | PA      | $639126.06    | 0.03%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tyson Foods, Inc.                                                  | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494AZ6<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    300000 | PA      | $292492.82    | 0.01%             | 2034-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                                                | FNMA, Grantor Trust, Series 2017-T1, Class A                                                                             | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |   4835536 | PA      | $4543939.57   | 0.21%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1699, Class FC                                                                                      | CUSIP: 3133T4J72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       655 | PA      | $655.16       | 0.00%             | 2024-03-15      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp., Series 21A                                                                               | CUSIP: 8426EPAE8<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    420000 | PA      | $276275.50    | 0.01%             | 2051-09-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBF1<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1086000 | PA      | $787930.35    | 0.04%             | 2047-08-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                 | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XBT2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    430000 | PA      | $409997.42    | 0.02%             | 2027-01-17      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Graphic Packaging International LLC                                | Graphic Packaging International LLC                                                                                      | CUSIP: 38869PAP9<br>LEI: SO75N4VY5NXGQSK8YQ65 | Long             | DBT              | CORP              | US        |   1246000 | PA      | $1083462.65   | 0.05%             | 2026-04-15      | Fixed         | 1.51%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MDZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    223121 | PA      | $213473.13    | 0.01%             | 2032-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-6, Class 2A7                                                                  | CUSIP: 05946XP23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143226 | PA      | $117976.85    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    815000 | PA      | $674697.70    | 0.03%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE Capital International Funding Co. Unlimited Co.                 | GE Capital International Funding Co. Unlimited Co.                                                                       | CUSIP: 36164QNA2<br>LEI: 549300G6UZOB126GBY72 | Long             | DBT              | CORP              | IE        |   1936000 | PA      | $1827298.69   | 0.09%             | 2035-11-15      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                  | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAC7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    350000 | PA      | $348526.10    | 0.02%             | 2036-10-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JU2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    695000 | PA      | $527665.23    | 0.02%             | 2041-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABT3<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    805000 | PA      | $657773.47    | 0.03%             | 2028-01-10      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| China Southern Power Grid International Finance BVI Co. Ltd.       | China Southern Power Grid International Finance BVI Co. Ltd.                                                             | CUSIP: 16892DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |   1234000 | PA      | $1176125.40   | 0.06%             | 2027-05-08      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHGP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3486793 | PA      | $3259818.43   | 0.15%             | 2032-10-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| CPS Auto Receivables Trust                                         | CPS Auto Receivables Trust, Series 2022-D, Class C                                                                       | CUSIP: 12663UAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4035301.60   | 0.19%             | 2029-01-16      | Fixed         | 7.69%                 | Yes           |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2017-1, Class A                                                                    | CUSIP: 00908PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    552664 | PA      | $444872.69    | 0.02%             | 2030-01-15      | Fixed         | 3.55%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBK7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    755000 | PA      | $512155.13    | 0.02%             | 2043-01-21      | Variable      | 4.03%                 | Yes           |                  2 | On Loan: No      |
| Blackstone Secured Lending Fund                                    | Blackstone Secured Lending Fund                                                                                          | CUSIP: 09261LAD0<br>LEI: 549300KM7KWQHVBNH962 | Long             | DBT              | CORP              | US        |    795000 | PA      | $785758.16    | 0.04%             | 2023-07-14      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31410GH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2357 | PA      | $2427.31      | 0.00%             | 2025-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WILMA 7.951 27MAR29                                                | WILMA 7.951 27MAR29                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.14%             | 2029-03-27      | Fixed         | 7.95%                 | No            |                  3 | On Loan: No      |
| Ecopetrol SA                                                       | Ecopetrol SA                                                                                                             | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    226000 | PA      | $223175.00    | 0.01%             | 2023-09-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31408EN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18247 | PA      | $18030.18     | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-46, Class UC                                                                                    | CUSIP: 31395D5M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104049 | PA      | $103887.42    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                           | Bristol-Myers Squibb Co.                                                                                                 | CUSIP: 110122CQ9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1402764.30   | 0.07%             | 2039-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAN8<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    455000 | PA      | $399035.71    | 0.02%             | 2035-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                              | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    359000 | PA      | $305600.63    | 0.01%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCH2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    443000 | PA      | $419864.48    | 0.02%             | 2028-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Brooklyn Union Gas Co. (The)                                       | Brooklyn Union Gas Co. (The)                                                                                             | CUSIP: 114259AQ7<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    440000 | PA      | $330821.77    | 0.02%             | 2048-03-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2075, Class PM                                                                                      | CUSIP: 3133TGCK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67525 | PA      | $68504.38     | 0.00%             | 2028-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 355, Class 11                                                                                       | CUSIP: 3136FCNL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91063 | PA      | $14209.37     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2795000 | PA      | $2301180.27   | 0.11%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CGP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1074 | PA      | $1076.49      | 0.00%             | 2025-05-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $457571.83    | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    425000 | PA      | $453286.81    | 0.02%             | 2040-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1994-37, Class L                                                                                     | CUSIP: 31359GP34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8512 | PA      | $8524.64      | 0.00%             | 2024-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    371000 | PA      | $359306.59    | 0.02%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-10, Class 1A1                                                                  | CUSIP: 576434VU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1602 | PA      | $1505.60      | 0.00%             | 2019-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1798, Class F                                                                                       | CUSIP: 3133T6MS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3402 | PA      | $3388.47      | 0.00%             | 2023-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHVW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2065000 | PA      | $2090367.91   | 0.10%             | 2032-10-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Oklahoma                                     | Public Service Co. of Oklahoma, Series G                                                                                 | CUSIP: 744533BJ8<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |   2490000 | PA      | $2683356.52   | 0.13%             | 2037-11-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3195000 | PA      | $2864142.77   | 0.14%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H23, Class FB                                                                                          | CUSIP: 38376RHF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1543637 | PA      | $1524225.86   | 0.07%             | 2065-09-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28566 | PA      | $29001.29     | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-52, Class AP                                                                                           | CUSIP: 38373QR86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74259 | PA      | $66759.39     | 0.00%             | 2033-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                              | Westlake Automobile Receivables Trust, Series 2019-2A, Class D                                                           | CUSIP: 96041LAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1105755 | PA      | $1102917.80   | 0.05%             | 2024-11-15      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    255000 | PA      | $219117.65    | 0.01%             | 2027-08-10      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    560000 | PA      | $533662.50    | 0.03%             | 2026-02-28      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138MN2S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    427589 | PA      | $406007.25    | 0.02%             | 2032-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 29278NAN3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    115000 | PA      | $114796.13    | 0.01%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128Q3NB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8086 | PA      | $8205.15      | 0.00%             | 2036-05-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30023 | PA      | $30803.82     | 0.00%             | 2033-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WQAD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712034 | PA      | $677418.91    | 0.03%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                       | Zoetis, Inc.                                                                                                             | CUSIP: 98978VAV5<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   1463000 | PA      | $1533310.61   | 0.07%             | 2032-11-16      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-52, Class KB                                                                                    | CUSIP: 313921KW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17768 | PA      | $18202.41     | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class 2A5                                                            | CUSIP: 17307GBH0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     14386 | PA      | $13672.53     | 0.00%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2230, Class Z                                                                                       | CUSIP: 3133TNSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32517 | PA      | $34553.21     | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    701000 | PA      | $648909.90    | 0.03%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-21, Class LO                                                                                    | CUSIP: 31392CNN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5052 | PA      | $4502.14      | 0.00%             | 2032-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                              | Nissan Motor Co. Ltd.                                                                                                    | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   1102000 | PA      | $956761.71    | 0.05%             | 2030-09-17      | Fixed         | 4.81%                 | Yes           |                  2 | On Loan: No      |
| VOLT XCVI LLC                                                      | VOLT XCVI LLC, Series 2021-NPL5, Class A1                                                                                | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2885106 | PA      | $2567285.03   | 0.12%             | 2051-03-27      | Variable      | 2.12%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAW9<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    190000 | PA      | $167593.86    | 0.01%             | 2046-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences, Inc.                                              | Gilead Sciences, Inc.                                                                                                    | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $875525.46    | 0.04%             | 2040-10-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                 | Republic of Panama                                                                                                       | CUSIP: 698299BH6<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |    325000 | PA      | $250412.50    | 0.01%             | 2050-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M1S, Class A2                                                                                     | CUSIP: 3136BNET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5230000 | PA      | $4313715.51   | 0.20%             | 2032-04-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31412BTY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68745 | PA      | $67443.97     | 0.00%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H21, Class CF                                                                                          | CUSIP: 38375BWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9339 | PA      | $9224.87      | 0.00%             | 2061-05-20      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                               | Anheuser-Busch InBev Worldwide, Inc.                                                                                     | CUSIP: 03523TBT4<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |    780000 | PA      | $684974.31    | 0.03%             | 2048-10-06      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    980000 | PA      | $844470.84    | 0.04%             | 2027-05-11      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABG1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    355000 | PA      | $315260.50    | 0.01%             | 2027-02-10      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Grantor Trust, Whole Loan, Series 2004-T3, Class 1A3                                                               | CUSIP: 31393YU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218258 | PA      | $229196.11    | 0.01%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                       | Southern Natural Gas Co. LLC                                                                                             | CUSIP: 843452AZ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    351000 | PA      | $386770.94    | 0.02%             | 2032-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    127000 | PA      | $127074.36    | 0.01%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   3947000 | PA      | $3413259.74   | 0.16%             | 2026-12-14      | Variable      | 1.49%                 | Yes           |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1075000 | PA      | $1086032.96   | 0.05%             | 2026-11-21      | Variable      | 6.83%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                                  | ONEOK Partners LP                                                                                                        | CUSIP: 68268NAL7<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |    334000 | PA      | $333999.54    | 0.02%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                              | Kraft Heinz Foods Co.                                                                                                    | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |    850000 | PA      | $761078.94    | 0.04%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABY0<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    915000 | PA      | $634200.23    | 0.03%             | 2060-11-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                         | RALI Trust, Series 2004-QA6, Class NB2                                                                                   | CUSIP: 76110HH44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265920 | PA      | $230201.84    | 0.01%             | 2034-12-26      | Variable      | 3.32%                 | No            |                  2 | On Loan: No      |
| Lending Funding Trust                                              | Lending Funding Trust, Series 2020-2A, Class C                                                                           | CUSIP: 51507KAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1795000 | PA      | $1504974.13   | 0.07%             | 2031-04-21      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H26, Class MA                                                                                          | CUSIP: 38375BYQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2929 | PA      | $2877.67      | 0.00%             | 2062-07-20      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                        | Prologis LP                                                                                                              | CUSIP: 74340XBP5<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    905000 | PA      | $618830.46    | 0.03%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                 | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AQ8<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |    440000 | PA      | $373736.60    | 0.02%             | 2030-05-14      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    555000 | PA      | $521471.21    | 0.02%             | 2034-08-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2283, Class K                                                                                       | CUSIP: 3133TRJM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5656 | PA      | $5663.35      | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    950000 | PA      | $934230.56    | 0.04%             | 2026-08-09      | Variable      | 5.30%                 | No            |                  2 | On Loan: No      |
| Children's Hospital                                                | Children's Hospital, Series 2020                                                                                         | CUSIP: 16876DAA6<br>LEI: 549300C1PQZDYQ6KZS51 | Long             | DBT              | CORP              | US        |    650000 | PA      | $411294.07    | 0.02%             | 2050-07-15      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                       | FirstEnergy Transmission LLC                                                                                             | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |    240000 | PA      | $195548.35    | 0.01%             | 2049-04-01      | Fixed         | 4.55%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GXR0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    880000 | PA      | $679403.12    | 0.03%             | 2032-01-27      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGC2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1045000 | PA      | $750396.90    | 0.04%             | 2061-03-22      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2234, Class PZ                                                                                      | CUSIP: 3133TNXB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26169 | PA      | $27913.91     | 0.00%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBD3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    915000 | PA      | $703818.27    | 0.03%             | 2032-06-09      | Variable      | 2.89%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LG5D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2172000 | PA      | $2081716.45   | 0.10%             | 2032-08-01      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W4, Class 2A                                                                  | CUSIP: 31393AP68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34533 | PA      | $34899.32     | 0.00%             | 2042-10-25      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                        | WRKCo, Inc.                                                                                                              | CUSIP: 96145DAF2<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    400000 | PA      | $385614.64    | 0.02%             | 2025-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| OGE Energy Corp.                                                   | OGE Energy Corp.                                                                                                         | CUSIP: 670837AC7<br>LEI: CE5OG6JPOZMDSA0LAQ19 | Long             | DBT              | CORP              | US        |    560000 | PA      | $548308.82    | 0.03%             | 2023-05-26      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12700000 | PA      | $11364019.56  | 0.54%             | 2029-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Rillion Capital Iii Frn                                            | Rillion Capital Iii Frn                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6737643 | PA      | $6737643.00   | 0.32%             | 2024-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Children's Hospital Corp. (The)                                    | Children's Hospital Corp. (The), Series 2020                                                                             | CUSIP: 16876BAB8<br>LEI: 549300NXFO6BISJLOS32 | Long             | DBT              | CORP              | US        |    580000 | PA      | $359044.09    | 0.02%             | 2050-02-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AZ9<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    590000 | PA      | $413066.49    | 0.02%             | 2050-07-09      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBP3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1057000 | PA      | $914351.46    | 0.04%             | 2027-05-22      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| McDonald's Corp.                                                   | McDonald's Corp.                                                                                                         | CUSIP: 58013MEZ3<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    700000 | PA      | $678309.76    | 0.03%             | 2035-12-09      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1651775 | PA      | $1762317.01   | 0.08%             | 2035-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-21, Class PE                                                                                    | CUSIP: 31392CPT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48129 | PA      | $50092.96     | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                   | Continental Finance Credit Card ABS Master Trust, Series 2020-1A, Class A                                                | CUSIP: 66981PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2070000 | PA      | $1935708.96   | 0.09%             | 2028-12-15      | Fixed         | 2.24%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31418MZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56449 | PA      | $62568.39     | 0.00%             | 2039-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2436, Class MC                                                                                      | CUSIP: 3133TVR99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46041 | PA      | $47621.88     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1890, Class H                                                                                       | CUSIP: 3133T85L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5818 | PA      | $5936.87      | 0.00%             | 2026-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO3                                                            | CUSIP: 17307GCA4<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      9813 | PA      | $6717.09      | 0.00%             | 2033-09-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Life Storage LP                                                    | Life Storage LP                                                                                                          | CUSIP: 53227JAB0<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    859000 | PA      | $770257.14    | 0.04%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410S5Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60056 | PA      | $60647.30     | 0.00%             | 2034-10-01      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A3, Class 6A1                                                                       | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30731 | PA      | $29117.61     | 0.00%             | 2034-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410XDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52037 | PA      | $52465.82     | 0.00%             | 2036-10-01      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| Baxalta, Inc.                                                      | Baxalta, Inc.                                                                                                            | CUSIP: 07177MAN3<br>LEI: 5493000JW8DCO3T45R55 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47548.36     | 0.00%             | 2045-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-101, Class A2                                                                       | CUSIP: 31396XC69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206139 | PA      | $203171.21    | 0.01%             | 2036-06-27      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-29, Class J                                                                                     | CUSIP: 31359PFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7195 | PA      | $7420.02      | 0.00%             | 2027-04-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1638, Class H                                                                                       | CUSIP: 3133T2W48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16007 | PA      | $16063.52     | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                    | Nordea Bank Abp                                                                                                          | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    865000 | PA      | $868336.12    | 0.04%             | 2027-09-22      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class QS                                                                                      | CUSIP: 31339NJ23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58009 | PA      | $63082.57     | 0.00%             | 2032-02-15      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 86765BAP4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    170000 | PA      | $145531.04    | 0.01%             | 2044-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust                   | Continental Finance Credit Card ABS Master Trust, Series 2022-A, Class A                                                 | CUSIP: 66981PAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4080000 | PA      | $3901517.54   | 0.18%             | 2030-10-15      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                             | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    840000 | PA      | $572260.65    | 0.03%             | 2032-05-14      | Variable      | 3.09%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613AE8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1480000 | PA      | $1120536.36   | 0.05%             | 2032-02-11      | Variable      | 2.09%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    325000 | PA      | $313029.68    | 0.01%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406VQ74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36905 | PA      | $35897.16     | 0.00%             | 2035-05-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YBA6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    720000 | PA      | $604787.90    | 0.03%             | 2030-09-13      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                                                                  | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126869 | PA      | $123462.36    | 0.01%             | 2042-12-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MLRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1425590 | PA      | $1348817.19   | 0.06%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                         | CSMC Trust, Series 2021-RPL1, Class A1                                                                                   | CUSIP: 12660KAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5418063 | PA      | $5071200.90   | 0.24%             | 2060-09-27      | Variable      | 1.67%                 | Yes           |                  2 | On Loan: No      |
| UBS-BAMLL Trust                                                    | UBS-BAMLL Trust, Series 2012-WRM, Class A                                                                                | CUSIP: 90269PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70859 | PA      | $70764.03     | 0.00%             | 2030-06-10      | Fixed         | 3.66%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31403MJ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41617 | PA      | $41638.42     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                            | Arrow Electronics, Inc.                                                                                                  | CUSIP: 042735BC3<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    190000 | PA      | $189343.73    | 0.01%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AR0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    475000 | PA      | $446348.41    | 0.02%             | 2028-03-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                      | UniCredit SpA                                                                                                            | CUSIP: 904678AQ2<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    300000 | PA      | $270199.85    | 0.01%             | 2034-04-02      | Variable      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RV24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8522 | PA      | $8684.32      | 0.00%             | 2027-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HJY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13613 | PA      | $13934.92     | 0.00%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2835, Class QO                                                                                      | CUSIP: 31395FEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11075 | PA      | $9417.86      | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2001-2, Class A                                                                        | CUSIP: 36228FEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305259 | PA      | $278749.63    | 0.01%             | 2032-06-19      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    904000 | PA      | $828472.53    | 0.04%             | 2028-03-13      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-80, Class SA                                                                                    | CUSIP: 31397MRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236606 | PA      | $17299.08     | 0.00%             | 2038-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| CRH America, Inc.                                                  | CRH America, Inc.                                                                                                        | CUSIP: 12626PAM5<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    417000 | PA      | $403291.54    | 0.02%             | 2025-05-18      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 313615TX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       231 | PA      | $231.51       | 0.00%             | 2024-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3047, Class OD                                                                                      | CUSIP: 31396CJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447142 | PA      | $449521.39    | 0.02%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                     | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAH8<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    445000 | PA      | $407175.00    | 0.02%             | 2029-04-09      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAN0<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    772000 | PA      | $522065.00    | 0.02%             | 2061-05-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAH0<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1500000 | PA      | $1307164.62   | 0.06%             | 2027-01-26      | Variable      | 1.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-51, Class SY                                                                                    | CUSIP: 31393Y4T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47454 | PA      | $44257.55     | 0.00%             | 2034-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61746BEF9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2347065.51   | 0.11%             | 2027-01-20      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WQH88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    460335 | PA      | $436418.72    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H15, Class FD                                                                                          | CUSIP: 38376RDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1095248 | PA      | $1079986.33   | 0.05%             | 2065-06-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36225BYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42447 | PA      | $45192.61     | 0.00%             | 2033-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                                    | Universal Health Services, Inc.                                                                                          | CUSIP: 913903AV2<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |    146000 | PA      | $116725.55    | 0.01%             | 2030-10-15      | Fixed         | 2.65%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR8, Class A                                                  | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25386 | PA      | $23831.03     | 0.00%             | 2033-08-25      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                           | Foundation Finance Trust, Series 2019-1A, Class A                                                                        | CUSIP: 35041JAA3<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |    319718 | PA      | $312521.82    | 0.01%             | 2034-11-15      | Fixed         | 3.86%                 | Yes           |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co., Series 08-A                                                                              | CUSIP: 842400FH1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203360.11    | 0.01%             | 2038-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607                                                                                                | CUSIP: 31398LQT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123197 | PA      | $99844.28     | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Florida LLC                                            | Duke Energy Florida LLC                                                                                                  | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |   1414000 | PA      | $1555662.54   | 0.07%             | 2052-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3260, Class CS                                                                                      | CUSIP: 31397ELL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152531 | PA      | $14083.48     | 0.00%             | 2037-01-15      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 383, Class 32                                                                                       | CUSIP: 3136FFPD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33594 | PA      | $6776.05      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2018-M8, Class A2                                                                                      | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2344334 | PA      | $2214431.12   | 0.10%             | 2028-06-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659T2B6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   1200000 | PA      | $873098.00    | 0.04%             | 2035-08-12      | Variable      | 2.59%                 | Yes           |                  2 | On Loan: No      |
| Microchip Technology, Inc.                                         | Microchip Technology, Inc.                                                                                               | CUSIP: 595017BC7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |    290000 | PA      | $268134.85    | 0.01%             | 2024-09-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2020-K737, Class B                                                                          | CUSIP: 30300SAS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    550000 | PA      | $501617.99    | 0.02%             | 2053-01-25      | Variable      | 3.42%                 | Yes           |                  2 | On Loan: No      |
| Ohio State University (The)                                        | Ohio State University (The), General Receipts, Series 2011-A                                                             | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |   1563000 | PA      | $1331080.34   | 0.06%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2716, Class UN                                                                                      | CUSIP: 31394MNE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18420 | PA      | $18308.79     | 0.00%             | 2023-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-165, Class SD                                                                                   | CUSIP: 31359D4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       372 | PA      | $363.39       | 0.00%             | 2023-09-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254BJ8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $397085.49    | 0.02%             | 2024-03-15      | Variable      | 3.89%                 | Yes           |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust               | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A2                                           | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32187 | PA      | $30508.78     | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                    | Microsoft Corp.                                                                                                          | CUSIP: 594918BC7<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    291000 | PA      | $270519.66    | 0.01%             | 2035-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    545000 | PA      | $477542.63    | 0.02%             | 2027-07-22      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline LP                                    | Plains All American Pipeline LP                                                                                          | CUSIP: 72650RBE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    610000 | PA      | $473598.17    | 0.02%             | 2044-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LH3Z1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10120000 | PA      | $9631204.91   | 0.46%             | 2032-11-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| SART                                                               | SART                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    791835 | PA      | $782808.34    | 0.04%             | 2025-06-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series G93-37, Class H                                                                                      | CUSIP: 31359E2U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        42 | PA      | $41.51        | 0.00%             | 2023-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1987, Class PE                                                                                      | CUSIP: 3133TBEZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11740 | PA      | $12091.95     | 0.00%             | 2027-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2021-M3, Class X1                                                                                      | CUSIP: 3136BDXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3451153 | PA      | $313126.25    | 0.01%             | 2033-11-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                                 | HERO Funding Trust, Series 2017-1A, Class A2                                                                             | CUSIP: 42771XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    806883 | PA      | $764376.11    | 0.04%             | 2047-09-20      | Fixed         | 4.46%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1995-2, Class Z                                                                                      | CUSIP: 31359LMW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3443 | PA      | $3503.10      | 0.00%             | 2025-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2004-1, Class 12A1                                                                        | CUSIP: 07384MG48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153780 | PA      | $139992.32    | 0.01%             | 2034-04-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3385, Class SN                                                                                      | CUSIP: 31397PAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27583 | PA      | $1875.18      | 0.00%             | 2037-11-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 218, Class 2                                                                                        | CUSIP: 31364HVN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        82 | PA      | $0.67         | 0.00%             | 2023-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LYA31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    254500 | PA      | $245868.91    | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Suncor Energy, Inc.                                                | Suncor Energy, Inc.                                                                                                      | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   1195000 | PA      | $1274479.89   | 0.06%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| GSK Consumer Healthcare Capital US LLC                             | GSK Consumer Healthcare Capital US LLC                                                                                   | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1075000 | PA      | $973906.32    | 0.05%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MVW LLC                                                            | MVW LLC, Series 2019-2A, Class B                                                                                         | CUSIP: 55400DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1503185 | PA      | $1405616.85   | 0.07%             | 2038-10-20      | Fixed         | 2.44%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-16, Class OA                                                                                    | CUSIP: 31394V4X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76883 | PA      | $64983.54     | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 61744YAR9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1265000 | PA      | $1125084.16   | 0.05%             | 2039-04-22      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405H4U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46806 | PA      | $45978.58     | 0.00%             | 2034-08-01      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| LL ABS Trust                                                       | LL ABS Trust, Series 2022-1A, Class B                                                                                    | CUSIP: 50203YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2765876.16   | 0.13%             | 2029-11-15      | Fixed         | 5.05%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2306, Class K                                                                                       | CUSIP: 3133TSJA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2250 | PA      | $2187.29      | 0.00%             | 2024-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                    | BAE Systems plc                                                                                                          | CUSIP: 05523RAF4<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |   1007000 | PA      | $788987.98    | 0.04%             | 2031-02-15      | Fixed         | 1.90%                 | Yes           |                  2 | On Loan: No      |
| Prudential Insurance Co. of America (The)                          | Prudential Insurance Co. of America (The)                                                                                | CUSIP: 743917AH9<br>LEI: X574KRZ6V5A7UBU45C31 | Long             | DBT              | CORP              | US        |   1750000 | PA      | $1860071.85   | 0.09%             | 2025-07-01      | Fixed         | 8.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140MLRQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1768450 | PA      | $1769141.03   | 0.08%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7                                                         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174293 | PA      | $155406.16    | 0.01%             | 2034-11-21      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400JBY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3391 | PA      | $3466.84      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NatWest Markets plc                                                | NatWest Markets plc                                                                                                      | CUSIP: 63906YAD0<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    435000 | PA      | $376660.11    | 0.02%             | 2026-09-29      | Fixed         | 1.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M3, Class A2                                                                                      | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896016 | PA      | $830533.30    | 0.04%             | 2026-12-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L9X98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4622976 | PA      | $4336803.05   | 0.20%             | 2027-06-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| Lendingpoint Asset Securitization Trust                            | Lendingpoint Asset Securitization Trust, Series 2022-B, Class B                                                          | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5237000 | PA      | $4965968.49   | 0.23%             | 2029-10-15      | Fixed         | 5.99%                 | Yes           |                  3 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    685000 | PA      | $734139.65    | 0.03%             | 2037-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4500000 | PA      | $3854003.90   | 0.18%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDKQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6208762 | PA      | $5378640.23   | 0.25%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                 | Energy Transfer LP                                                                                                       | CUSIP: 292480AM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    594000 | PA      | $538940.95    | 0.03%             | 2029-09-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LAF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7000000 | PA      | $5999980.98   | 0.28%             | 2035-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Mayo Clinic                                                        | Mayo Clinic, Series 2016                                                                                                 | CUSIP: 578454AD2<br>LEI: 5493001OHMD58DCY4635 | Long             | DBT              | CORP              | US        |    225000 | PA      | $191619.75    | 0.01%             | 2052-11-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18355000 | PA      | $14103953.37  | 0.67%             | 2041-05-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2568, Class KG                                                                                      | CUSIP: 31393KKC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1916 | PA      | $1912.27      | 0.00%             | 2023-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W15, Class 2AF                                                                       | CUSIP: 31394B2B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164809 | PA      | $162949.77    | 0.01%             | 2044-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1981, Class Z                                                                                       | CUSIP: 3133TAUE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22592 | PA      | $22656.13     | 0.00%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738AT5<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    395000 | PA      | $371838.40    | 0.02%             | 2026-07-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB6, Class A3                                                              | CUSIP: 12669GBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121797 | PA      | $111174.20    | 0.01%             | 2034-11-20      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| Lear Corp.                                                         | Lear Corp.                                                                                                               | CUSIP: 521865BC8<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |    445000 | PA      | $341678.14    | 0.02%             | 2032-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3607, Class BO                                                                                      | CUSIP: 31398LQM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56999 | PA      | $48095.68     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31401YSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7650 | PA      | $7469.25      | 0.00%             | 2033-07-01      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co. Ltd.                                              | Nissan Motor Co. Ltd.                                                                                                    | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |   2393000 | PA      | $2156034.13   | 0.10%             | 2027-09-17      | Fixed         | 4.34%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                                        | Healthpeak Properties, Inc.                                                                                              | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    772000 | PA      | $692462.02    | 0.03%             | 2029-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                             | Banc of America Alternative Loan Trust, Series 2006-4, Class 1A4                                                         | CUSIP: 05950AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243099 | PA      | $193441.71    | 0.01%             | 2046-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 310                                                                                                | CUSIP: 3132HTSS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    642090 | PA      | $509855.06    | 0.02%             | 2043-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                            | Arrow Electronics, Inc.                                                                                                  | CUSIP: 042735BF6<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    442000 | PA      | $406276.60    | 0.02%             | 2028-01-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AIA Group Ltd.                                                     | AIA Group Ltd.                                                                                                           | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    520000 | PA      | $371888.40    | 0.02%             | 2040-09-16      | Fixed         | 3.20%                 | Yes           |                  2 | On Loan: No      |
| Life Storage LP                                                    | Life Storage LP                                                                                                          | CUSIP: 53227JAD6<br>LEI: X0MIGH67XZCB7HL1A534 | Long             | DBT              | CORP              | US        |    485000 | PA      | $374331.78    | 0.02%             | 2031-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                                       | MASTR Resecuritization Trust, Series 2005-PO, Class 3PO                                                                  | CUSIP: 576435BB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53162 | PA      | $32437.97     | 0.00%             | 2035-05-28      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| Brixmor Operating Partnership LP                                   | Brixmor Operating Partnership LP                                                                                         | CUSIP: 11120VAA1<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |    400000 | PA      | $383707.02    | 0.02%             | 2025-02-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                         | FHLMC UMBS, 20 Year                                                                                                      | CUSIP: 3132D9DH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1739011 | PA      | $1702883.44   | 0.08%             | 2035-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $527212.28    | 0.02%             | 2026-01-30      | Variable      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-19, Class IP                                                                                    | CUSIP: 31397NUK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    520646 | PA      | $111915.21    | 0.01%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05578QAC7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    800000 | PA      | $776992.00    | 0.04%             | 2024-07-11      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                     | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A23                                                | CUSIP: 225458QV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1024762 | PA      | $974538.18    | 0.05%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                           | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AN6<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1170896.20   | 0.06%             | 2027-09-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M2S, Class A2                                                                                     | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4225000 | PA      | $3958444.75   | 0.19%             | 2032-08-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381BJC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6235 | PA      | $6374.83      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 2                                              | Scentre Group Trust 2                                                                                                    | CUSIP: 76025LAA2<br>LEI: 549300VRF0U0JH8TBJ74 | Long             | DBT              | CORP              | AU        |   1320000 | PA      | $1162161.29   | 0.05%             | 2080-09-24      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-27, Class J                                                                                     | CUSIP: 31359NR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2975 | PA      | $3082.83      | 0.00%             | 2027-04-18      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2466, Class PH                                                                                      | CUSIP: 31392MN99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    126814 | PA      | $132174.12    | 0.01%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2022-SFR3, Class C                                                                          | CUSIP: 33768EAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3466000 | PA      | $3170496.99   | 0.15%             | 2026-07-17      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                                  | Santander Retail Auto Lease Trust, Series 2020-A, Class A4                                                               | CUSIP: 80286KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     80347 | PA      | $80226.63     | 0.00%             | 2024-03-20      | Fixed         | 1.76%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36183SYB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    945499 | PA      | $921821.29    | 0.04%             | 2045-03-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-79, Class SY                                                                                           | CUSIP: 383742AS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    131444 | PA      | $4335.87      | 0.00%             | 2037-12-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                           | Republic of South Africa                                                                                                 | CUSIP: 836205AR5<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    640000 | PA      | $643520.00    | 0.03%             | 2025-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-76, Class 2A                                           | CUSIP: 31397KYA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    507981 | PA      | $437573.69    | 0.02%             | 2037-10-25      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2543, Class YX                                                                                      | CUSIP: 31393HGW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    155556 | PA      | $159584.34    | 0.01%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    832000 | PA      | $764083.00    | 0.04%             | 2026-06-09      | Variable      | 2.22%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31389DS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    121602 | PA      | $124863.44    | 0.01%             | 2031-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-54CB, Class 1A2                                                                      | CUSIP: 12668ANU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1642041 | PA      | $73735.20     | 0.00%             | 2035-11-25      | Floating      | 0.81%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series G93-1, Class KA                                                                                      | CUSIP: 31358R6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        12 | PA      | $11.76        | 0.00%             | 2023-01-25      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| Entergy Louisiana LLC                                              | Entergy Louisiana LLC                                                                                                    | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |    490000 | PA      | $321850.32    | 0.02%             | 2051-03-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Inflation Indexed Bonds                                                                                    | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $430963.72    | 0.02%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5329000 | PA      | $3640164.97   | 0.17%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    630000 | PA      | $649830.07    | 0.03%             | 2025-11-16      | Variable      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                  | Time Warner Cable Enterprises LLC                                                                                        | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $785459.80    | 0.04%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Discovery Communications LLC                                       | Discovery Communications LLC                                                                                             | CUSIP: 25470DBL2<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |    784000 | PA      | $502570.02    | 0.02%             | 2055-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2014-188, Class W                                                                                           | CUSIP: 38379HTQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    291545 | PA      | $288468.66    | 0.01%             | 2041-10-20      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3424, Class PI                                                                                      | CUSIP: 31397T4Y5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    173200 | PA      | $18921.24     | 0.00%             | 2038-04-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1470, Class F                                                                                       | CUSIP: 312914LG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         7 | PA      | $6.57         | 0.00%             | 2023-02-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LAAW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3679367 | PA      | $3363596.22   | 0.16%             | 2030-06-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BK6<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1480000 | PA      | $1440088.69   | 0.07%             | 2025-03-22      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                   | Bank of Montreal                                                                                                         | CUSIP: 06367WB85<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    950000 | PA      | $887778.52    | 0.04%             | 2025-05-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-77, Class S                                                                                     | CUSIP: 31392F6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28140 | PA      | $29024.42     | 0.00%             | 2032-12-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31410GNM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47247 | PA      | $47718.65     | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Spectra Energy Partners LP                                         | Spectra Energy Partners LP                                                                                               | CUSIP: 84756NAG4<br>LEI: 2HKVXE7U4NF5B6UGSU72 | Long             | DBT              | CORP              | US        |    495000 | PA      | $414056.64    | 0.02%             | 2045-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHQM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4994213 | PA      | $4827059.29   | 0.23%             | 2032-10-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage-Backed Securities Trust                       | Wells Fargo Mortgage-Backed Securities Trust, Series 2007-7, Class A7                                                    | CUSIP: 94985JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98022 | PA      | $81532.78     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-75, Class WA                                                                                           | CUSIP: 38378J4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    696002 | PA      | $703629.45    | 0.03%             | 2040-06-20      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HSEN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2916706.02   | 0.14%             | 2028-12-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128S4ZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47597 | PA      | $48463.30     | 0.00%             | 2037-03-01      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31404J2J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30013 | PA      | $29474.13     | 0.00%             | 2034-04-01      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| CGI, Inc.                                                          | CGI, Inc.                                                                                                                | CUSIP: 12532HAC8<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    843000 | PA      | $742738.07    | 0.04%             | 2026-09-14      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2575, Class ME                                                                                      | CUSIP: 31393KSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    434346 | PA      | $447775.42    | 0.02%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1047000 | PA      | $1025080.54   | 0.05%             | 2024-12-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| MDC Holdings, Inc.                                                 | MDC Holdings, Inc.                                                                                                       | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $607267.51    | 0.03%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Evergy, Inc.                                                       | Evergy, Inc.                                                                                                             | CUSIP: 30034WAB2<br>LEI: 549300PGTHDQY6PSUI61 | Long             | DBT              | CORP              | US        |    985000 | PA      | $850296.65    | 0.04%             | 2029-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Scentre Group Trust 1                                              | Scentre Group Trust 1                                                                                                    | CUSIP: 806213AB0<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |    420000 | PA      | $401448.51    | 0.02%             | 2025-02-12      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617FUPG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5534586 | PA      | $5774336.09   | 0.27%             | 2072-08-20      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                       | Zoetis, Inc.                                                                                                             | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    760000 | PA      | $626145.07    | 0.03%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7873105 | PA      | $6612809.56   | 0.31%             | 2061-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAT5<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |    175000 | PA      | $165612.35    | 0.01%             | 2029-04-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05971KAE9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   2000000 | PA      | $1879523.74   | 0.09%             | 2025-05-28      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2435, Class CJ                                                                                      | CUSIP: 31392K2Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104138 | PA      | $108368.16    | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-35, Class UC                                                                                    | CUSIP: 31393BL86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4832 | PA      | $4710.92      | 0.00%             | 2033-05-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391SQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37152 | PA      | $38064.98     | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Sabra Health Care LP                                               | Sabra Health Care LP                                                                                                     | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    825000 | PA      | $618618.67    | 0.03%             | 2031-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-74, Class CS                                                                                    | CUSIP: 31394FDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54782 | PA      | $53496.18     | 0.00%             | 2035-05-25      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1591, Class PV                                                                                      | CUSIP: 3133T1WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3198 | PA      | $3184.60      | 0.00%             | 2023-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617JSK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151872 | PA      | $149076.60    | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4022781 | PA      | $3363884.82   | 0.16%             | 2061-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2638, Class DS                                                                                      | CUSIP: 31393WXE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       813 | PA      | $798.94       | 0.00%             | 2023-07-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  23462000 | PA      | $23263481.68  | 1.10%             | 2023-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                            | Hyundai Capital America                                                                                                  | CUSIP: 44891ABS5<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    425000 | PA      | $369520.50    | 0.02%             | 2026-01-08      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617VUET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4864092 | PA      | $5020697.59   | 0.24%             | 2071-10-20      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-141, Class WC                                                                                          | CUSIP: 38378GPG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169550 | PA      | $163792.94    | 0.01%             | 2042-01-20      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| American Tower Trust #1                                            | American Tower Trust #1                                                                                                  | CUSIP: 03027WAJ1<br>LEI: 5493004YGM0MQZJOEJ36 | Long             | ABS-O            | CORP              | US        |    750000 | PA      | $743458.05    | 0.04%             | 2023-03-15      | Fixed         | 3.07%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-6, Class GS                                                                                     | CUSIP: 31397M5Z6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218912 | PA      | $22212.25     | 0.00%             | 2039-02-25      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-1, Class A                                                               | CUSIP: 90931MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    577896 | PA      | $473371.80    | 0.02%             | 2028-07-07      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Southwestern Public Service Co.                                    | Southwestern Public Service Co.                                                                                          | CUSIP: 845743BN2<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |    200000 | PA      | $177274.98    | 0.01%             | 2041-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2086, Class GB                                                                                      | CUSIP: 3133TGE96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10383 | PA      | $10570.67     | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-42, Class GB                                                                                    | CUSIP: 31393BUX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47682 | PA      | $46669.87     | 0.00%             | 2033-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2004-13F, Class 3A3                                                                      | CUSIP: 36242DLW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79902 | PA      | $75584.65     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-61, Class ZC                                                                                    | CUSIP: 31359QPC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1203 | PA      | $1200.06      | 0.00%             | 2023-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                               | FREMF Mortgage Trust, Series 2014-K39, Class C                                                                           | CUSIP: 30292GAQ1<br>LEI: 549300XDUXW4MOV3QH87 | Long             | ABS-MBS          | USGSE             | US        |   4650000 | PA      | $4475239.98   | 0.21%             | 2047-08-25      | Variable      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBB2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    535000 | PA      | $494186.99    | 0.02%             | 2043-01-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    795000 | PA      | $752363.91    | 0.04%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W1, Class 2A2                                                                        | CUSIP: 31393U4Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66047 | PA      | $69586.22     | 0.00%             | 2033-12-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138WTRM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1793340 | PA      | $1645628.24   | 0.08%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  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        |      1353 | PA      | $1293.41      | 0.00%             | 2019-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                    | Air Lease Corp.                                                                                                          | CUSIP: 00914AAM4<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    960000 | PA      | $839389.01    | 0.04%             | 2026-08-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3274, Class JO                                                                                      | CUSIP: 31397F6H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22656 | PA      | $19741.96     | 0.00%             | 2037-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MRA Issuance Trust                                                 | MRA Issuance Trust, Series 2021-EBO7, Class A1X                                                                          | CUSIP: 55349H106<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3942220 | PA      | $3582547.34   | 0.17%             | 2023-02-15      | Floating      | 2.86%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2020-SFR3, Class C                                                                    | CUSIP: 74333AAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3250000 | PA      | $2894345.68   | 0.14%             | 2027-10-17      | Fixed         | 1.70%                 | Yes           |                  3 | On Loan: No      |
| Macquarie Group Ltd.                                               | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JAP3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    700000 | PA      | $660461.63    | 0.03%             | 2030-01-15      | Variable      | 5.03%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                   | Republic of Peru                                                                                                         | CUSIP: 715638BM3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     88000 | PA      | $88220.00     | 0.00%             | 2050-11-18      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1120000 | PA      | $891801.72    | 0.04%             | 2032-10-20      | Variable      | 2.57%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                             | Home Depot, Inc. (The)                                                                                                   | CUSIP: 437076CT7<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    930000 | PA      | $920326.62    | 0.04%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A                                           | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    874195 | PA      | $922113.41    | 0.04%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                              | Nomura Holdings, Inc.                                                                                                    | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $559740.38    | 0.03%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                 | Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2                                                             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287132 | PA      | $86224.90     | 0.00%             | 2037-06-25      | Variable      | 5.68%                 | No            |                  3 | On Loan: No      |
| Anheuser-Busch InBev Finance, Inc.                                 | Anheuser-Busch InBev Finance, Inc.                                                                                       | CUSIP: 03524BAF3<br>LEI: 5493000EYEKDT0FBSQ91 | Long             | DBT              | CORP              | US        |     70000 | PA      | $63856.32     | 0.00%             | 2044-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-14, Class CO                                                                                           | CUSIP: 38376WBS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    113727 | PA      | $97197.01     | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust               | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A5                                           | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33338 | PA      | $32269.09     | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8K60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1911361.14   | 0.09%             | 2030-02-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    780000 | PA      | $682845.93    | 0.03%             | 2027-10-21      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                              | Lehman Mortgage Trust, Series 2006-2, Class 1A1                                                                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209724 | PA      | $137925.23    | 0.01%             | 2036-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2016-2, Class B                                                               | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    857639 | PA      | $752824.02    | 0.04%             | 2025-10-07      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    273000 | PA      | $224983.64    | 0.01%             | 2030-05-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-81, Class SB                                                                                    | CUSIP: 31397MUL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    272235 | PA      | $17254.93     | 0.00%             | 2038-09-25      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Mid-America Apartments LP                                          | Mid-America Apartments LP                                                                                                | CUSIP: 59523UAQ0<br>LEI: 549300FXWGE3QSYCUJ38 | Long             | DBT              | CORP              | US        |    920000 | PA      | $863435.70    | 0.04%             | 2029-03-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                 | Vodafone Group plc                                                                                                       | CUSIP: 92857WBS8<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |   1105000 | PA      | $942185.94    | 0.04%             | 2049-06-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Triton Container International Ltd.                                | Triton Container International Ltd.                                                                                      | CUSIP: 89680YAB1<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   1105000 | PA      | $1018188.44   | 0.05%             | 2024-06-07      | Fixed         | 1.15%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XXAR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3974769 | PA      | $3650006.42   | 0.17%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                 | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDU7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    685000 | PA      | $661953.92    | 0.03%             | 2025-04-07      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CN0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    710000 | PA      | $635932.82    | 0.03%             | 2025-12-02      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                | Thornburg Mortgage Securities Trust, Series 2004-4, Class 3A                                                             | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    167554 | PA      | $153289.04    | 0.01%             | 2044-12-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                    | Prestige Auto Receivables Trust, Series 2022-1A, Class C                                                                 | CUSIP: 74113RAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4007303.60   | 0.19%             | 2028-08-15      | Fixed         | 7.09%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-108, Class GU                                                                                   | CUSIP: 3136AGMM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3495654 | PA      | $3296278.02   | 0.16%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 3617JSLW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494724 | PA      | $511524.16    | 0.02%             | 2049-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3117, Class EO                                                                                      | CUSIP: 31396HUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    169610 | PA      | $142783.36    | 0.01%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1460000 | PA      | $1524725.36   | 0.07%             | 2026-11-03      | Variable      | 7.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400RXM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3604 | PA      | $3685.38      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Healthcare Realty Holdings LP                                      | Healthcare Realty Holdings LP                                                                                            | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |   1604000 | PA      | $1346142.47   | 0.06%             | 2030-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Estee Lauder Cos., Inc. (The)                                      | Estee Lauder Cos., Inc. (The)                                                                                            | CUSIP: 29736RAQ3<br>LEI: 549300VFZ8XJ9NUPU221 | Long             | DBT              | CORP              | US        |   1880000 | PA      | $1632076.80   | 0.08%             | 2030-04-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                          | Commercial Mortgage Trust, Series 2013-300P, Class A1                                                                    | CUSIP: 12625XAA5<br>LEI: 549300NMFC2YLCA2NF13 | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3408097.35   | 0.16%             | 2030-08-10      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A                                                        | CUSIP: 65246QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3106110 | PA      | $2735210.78   | 0.13%             | 2026-11-25      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3004, Class EK                                                                                      | CUSIP: 31395VXP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1233143 | PA      | $1263520.31   | 0.06%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| University of Miami                                                | University of Miami, Series 2022                                                                                         | CUSIP: 914453AA3<br>LEI: 5493008ZSVWUNRYQE312 | Long             | DBT              | CORP              | US        |    480000 | PA      | $398920.36    | 0.02%             | 2052-04-01      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| Sierra Timeshare Receivables Funding LLC                           | Sierra Timeshare Receivables Funding LLC, Series 2019-2A, Class C                                                        | CUSIP: 82652MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    807916 | PA      | $750593.10    | 0.04%             | 2036-05-20      | Fixed         | 3.12%                 | Yes           |                  3 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408GY3<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    190000 | PA      | $162721.75    | 0.01%             | 2044-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-21, Class 1A4                                          | CUSIP: 22541QPB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48322 | PA      | $44891.20     | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Mid-State Capital Corp. Trust                                      | Mid-State Capital Corp. Trust, Series 2006-1, Class M1                                                                   | CUSIP: 59548PAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    409318 | PA      | $394812.81    | 0.02%             | 2040-10-15      | Fixed         | 6.08%                 | Yes           |                  3 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 1A2                                                            | CUSIP: 17307GXU7<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    173142 | PA      | $124286.68    | 0.01%             | 2035-08-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                 | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDE3<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    520000 | PA      | $401625.05    | 0.02%             | 2031-01-08      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DB1<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    273000 | PA      | $231047.91    | 0.01%             | 2042-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                            | Eni SpA                                                                                                                  | CUSIP: 26874RAC2<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    925000 | PA      | $860768.96    | 0.04%             | 2040-10-01      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2021-GT2, Class A                                                                          | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3370000 | PA      | $2710459.66   | 0.13%             | 2026-10-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAB8<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |     88000 | PA      | $71121.38     | 0.00%             | 2047-09-20      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M8, Class A2                                                                                      | CUSIP: 3136AW7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3461414 | PA      | $3277501.02   | 0.15%             | 2027-05-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                  | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAY8<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |    895000 | PA      | $701158.85    | 0.03%             | 2039-08-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |   1225000 | PA      | $1175267.28   | 0.06%             | 2024-09-18      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| Liberty Mutual Group, Inc.                                         | Liberty Mutual Group, Inc.                                                                                               | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    408000 | PA      | $379195.93    | 0.02%             | 2029-02-01      | Fixed         | 4.57%                 | Yes           |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119BY4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    725000 | PA      | $646215.46    | 0.03%             | 2039-06-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1252000 | PA      | $1043542.00   | 0.05%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1963, Class Z                                                                                       | CUSIP: 3133TAA28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17382 | PA      | $17948.40     | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    435000 | PA      | $355557.86    | 0.02%             | 2033-02-04      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| Ohio State University (The)                                        | Ohio State University (The), General Receipts, Series 2016A                                                              | CUSIP: 677632G96<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |    325000 | PA      | $277318.18    | 0.01%             | 2056-12-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group, Inc.                                           | UnitedHealth Group, Inc.                                                                                                 | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    650000 | PA      | $719317.75    | 0.03%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| American Water Capital Corp.                                       | American Water Capital Corp.                                                                                             | CUSIP: 03040WAX3<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |   1096000 | PA      | $815282.47    | 0.04%             | 2050-05-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NFGD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84327 | PA      | $85332.33     | 0.00%             | 2036-10-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                                | Valero Energy Corp.                                                                                                      | CUSIP: 91913YAE0<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    175000 | PA      | $198339.61    | 0.01%             | 2032-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3102, Class HS                                                                                      | CUSIP: 31396H5V7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19733 | PA      | $19880.08     | 0.00%             | 2036-01-15      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAC0<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    783000 | PA      | $760914.13    | 0.04%             | 2025-08-04      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L94G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2428193 | PA      | $2246115.60   | 0.11%             | 2035-06-01      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3085, Class WF                                                                                      | CUSIP: 31396FSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67237 | PA      | $67372.20     | 0.00%             | 2035-08-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138NXRT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    795867 | PA      | $717017.71    | 0.03%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                             | Santander Drive Auto Receivables Trust, Series 2022-4, Class A3                                                          | CUSIP: 80286FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4829000 | PA      | $4701578.14   | 0.22%             | 2027-02-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    790000 | PA      | $705627.20    | 0.03%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3776000 | PA      | $3531452.31   | 0.17%             | 2028-06-05      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283LA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2471 | PA      | $2530.62      | 0.00%             | 2030-10-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 3617FDDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2992493 | PA      | $3032435.49   | 0.14%             | 2052-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HP, Inc.                                                           | HP, Inc.                                                                                                                 | CUSIP: 40434LAB1<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |    665000 | PA      | $610306.51    | 0.03%             | 2027-06-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $229455.03    | 0.01%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-16, Class FC                                                                                    | CUSIP: 31396PXY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45558 | PA      | $45366.17     | 0.00%             | 2037-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2095, Class PE                                                                                      | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76055 | PA      | $77337.79     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-31, Class DB                                                                                    | CUSIP: 31397SHK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    905354 | PA      | $873618.49    | 0.04%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1995-19, Class Z                                                                                     | CUSIP: 31359LZB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9082 | PA      | $9068.82      | 0.00%             | 2023-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12000000 | PA      | $11389218.72  | 0.54%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1502, Class PX                                                                                      | CUSIP: 312915HW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2960 | PA      | $2959.06      | 0.00%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2004-2, Class 30PO                                                                 | CUSIP: 06051GCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74021 | PA      | $53360.75     | 0.00%             | 2034-09-20      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Edison International                                               | Edison International                                                                                                     | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1020000 | PA      | $1068842.34   | 0.05%             | 2029-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Schlumberger Holdings Corp.                                        | Schlumberger Holdings Corp.                                                                                              | CUSIP: 806851AK7<br>LEI: 529900IKZG65COT1D505 | Long             | DBT              | CORP              | US        |   1126000 | PA      | $1062888.25   | 0.05%             | 2028-05-17      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Mortgage Trust                                     | Banc of America Mortgage Trust, Series 2004-A, Class 2A2                                                                 | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26071 | PA      | $25077.56     | 0.00%             | 2034-02-25      | Variable      | 2.63%                 | No            |                  2 | On Loan: No      |
| Stellantis Finance US, Inc.                                        | Stellantis Finance US, Inc.                                                                                              | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    785000 | PA      | $606242.16    | 0.03%             | 2031-09-15      | Fixed         | 2.69%                 | Yes           |                  2 | On Loan: No      |
| Oklahoma Gas and Electric Co.                                      | Oklahoma Gas and Electric Co.                                                                                            | CUSIP: 678858BW0<br>LEI: 549300VJ8YXGPO8EV472 | Long             | DBT              | CORP              | US        |    675000 | PA      | $660564.42    | 0.03%             | 2023-05-26      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-2, Class MS                                                                                            | CUSIP: 38374DPT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79737 | PA      | $2850.07      | 0.00%             | 2038-01-16      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1686, Class SH                                                                                      | CUSIP: 3133T4EV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       390 | PA      | $385.24       | 0.00%             | 2024-02-15      | Floating      | 11.56%                | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2013-2, Class A                                                                         | CUSIP: 48248XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1469895 | PA      | $51610.95     | 0.00%             | 2039-03-25      | Variable      | 2.00%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H15, Class FA                                                                                          | CUSIP: 38375BUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $25.01        | 0.00%             | 2062-05-20      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-110                                                                                             | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224474 | PA      | $186434.01    | 0.01%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    308000 | PA      | $210492.13    | 0.01%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ITC Holdings Corp.                                                 | ITC Holdings Corp.                                                                                                       | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1554502.78   | 0.07%             | 2027-09-22      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| vMobo, Inc.                                                        | vMobo, Inc.                                                                                                              | CUSIP: 91834VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6154147 | PA      | $5784898.27   | 0.27%             | 2027-07-18      | Fixed         | 7.46%                 | No            |                  3 | On Loan: No      |
| Renew                                                              | Renew, Series 2017-1A, Class A                                                                                           | CUSIP: 75973LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    382346 | PA      | $345980.46    | 0.02%             | 2052-09-20      | Fixed         | 3.67%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132H4CL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    898513 | PA      | $868983.85    | 0.04%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 383, Class 33                                                                                       | CUSIP: 3136FFPE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87406 | PA      | $17871.59     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    525000 | PA      | $382523.30    | 0.02%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    971000 | PA      | $839377.86    | 0.04%             | 2031-09-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 345, Class 6                                                                                        | CUSIP: 3136FCCH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32682 | PA      | $4579.62      | 0.00%             | 2033-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBG4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |   1090000 | PA      | $849145.70    | 0.04%             | 2030-10-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-130, Class CP                                                                                          | CUSIP: 38377LK72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86776 | PA      | $92793.56     | 0.00%             | 2040-10-16      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2141                                                                                                | CUSIP: 3133TKGP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8335 | PA      | $644.68       | 0.00%             | 2029-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1498, Class I                                                                                       | CUSIP: 312915RW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2038 | PA      | $2039.32      | 0.00%             | 2023-04-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Dell International LLC                                             | Dell International LLC                                                                                                   | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2132000 | PA      | $2177316.28   | 0.10%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                           | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                                         | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1399425 | PA      | $20410.61     | 0.00%             | 2038-08-25      | Variable      | 0.81%                 | Yes           |                  3 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8965000 | PA      | $6513282.64   | 0.31%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    630000 | PA      | $506077.75    | 0.02%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1729000 | PA      | $1120725.70   | 0.05%             | 2056-11-01      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-132, Class OA                                                                                   | CUSIP: 31393UVB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6977 | PA      | $6428.53      | 0.00%             | 2033-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                                  | GLS Auto Receivables Issuer Trust, Series 2022-3A, Class C                                                               | CUSIP: 38014QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2361000 | PA      | $2291026.10   | 0.11%             | 2028-06-15      | Fixed         | 5.34%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2399, Class OH                                                                                      | CUSIP: 31339MTG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63704 | PA      | $65609.90     | 0.00%             | 2032-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-72, Class TO                                                                                    | CUSIP: 31396KHT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22006 | PA      | $18285.89     | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 3136195D6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6682 | PA      | $6545.57      | 0.00%             | 2027-09-01      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140HVZ64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5456000 | PA      | $4815003.91   | 0.23%             | 2029-11-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FLK20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4987533 | PA      | $4887694.20   | 0.23%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CX40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2570 | PA      | $2629.82      | 0.00%             | 2027-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  26895000 | PA      | $20922419.01  | 0.99%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822BK9<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    760000 | PA      | $621082.71    | 0.03%             | 2039-07-18      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17110000 | PA      | $14973255.12  | 0.71%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets America, Inc.                                   | BP Capital Markets America, Inc.                                                                                         | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |   1995000 | PA      | $1362707.83   | 0.06%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| VOLT XCIII LLC                                                     | VOLT XCIII LLC, Series 2021-NPL2, Class A1                                                                               | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4954827 | PA      | $4435971.71   | 0.21%             | 2051-02-27      | Variable      | 1.89%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-62, Class SA                                                                                    | CUSIP: 31358UVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       238 | PA      | $236.04       | 0.00%             | 2023-04-25      | Floating      | 9.36%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-19, Class SD                                                                                           | CUSIP: 38375JTV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248768 | PA      | $5637.48      | 0.00%             | 2037-04-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2038, Class PN                                                                                      | CUSIP: 3133TDA22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19539 | PA      | $2122.50      | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    865000 | PA      | $850704.68    | 0.04%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                              | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                                          | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4300000 | PA      | $3502082.11   | 0.17%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-91, Class WA                                                                                           | CUSIP: 38378TTL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564364 | PA      | $550191.09    | 0.03%             | 2043-04-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400HS5<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |   1695000 | PA      | $1750689.19   | 0.08%             | 2027-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31404ADZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189328 | PA      | $183313.87    | 0.01%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HAU2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1445000 | PA      | $1021795.63   | 0.05%             | 2041-05-11      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CX                                | CUSIP: 9393367B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    568970 | PA      | $90297.89     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31390RK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5871 | PA      | $5905.96      | 0.00%             | 2033-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Martin Marietta Materials, Inc.                                    | Martin Marietta Materials, Inc.                                                                                          | CUSIP: 573284AQ9<br>LEI: 5299005MZ4WZECVATV08 | Long             | DBT              | CORP              | US        |    770000 | PA      | $715550.74    | 0.03%             | 2027-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-7, Class PF                                                                                     | CUSIP: 31359SDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17731 | PA      | $18827.62     | 0.00%             | 2031-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RFMSI Trust                                                        | RFMSI Trust, Series 2004-S9, Class 2A1                                                                                   | CUSIP: 76111XRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13 | PA      | $14.05        | 0.00%             | 2019-12-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    565000 | PA      | $325846.09    | 0.02%             | 2050-08-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31300LJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49048 | PA      | $49706.38     | 0.00%             | 2036-07-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402TVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23628 | PA      | $24332.43     | 0.00%             | 2033-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                    | CoreVest American Finance Trust, Series 2020-3, Class B                                                                  | CUSIP: 21873CAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3180000 | PA      | $2441947.44   | 0.12%             | 2053-08-15      | Fixed         | 2.20%                 | Yes           |                  3 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 2A                                                 | CUSIP: 92922FBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29304 | PA      | $26042.24     | 0.00%             | 2033-09-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                     | Takeda Pharmaceutical Co. Ltd.                                                                                           | CUSIP: 874060AW6<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    895000 | PA      | $895245.69    | 0.04%             | 2028-11-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   7294000 | PA      | $5899715.43   | 0.28%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406QGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15068 | PA      | $14718.78     | 0.00%             | 2035-02-01      | Variable      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-43, Class SA                                                                                           | CUSIP: 38374UF97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133998 | PA      | $5021.60      | 0.00%             | 2039-06-20      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3256                                                                                                | CUSIP: 31397EBP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81545 | PA      | $65527.49     | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A1                                                          | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61947 | PA      | $55903.06     | 0.00%             | 2029-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31381E7J6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3219 | PA      | $3212.33      | 0.00%             | 2029-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Masco Corp.                                                        | Masco Corp.                                                                                                              | CUSIP: 574599AY2<br>LEI: 5GCSNMQXHEYA1JO8QN11 | Long             | DBT              | CORP              | US        |    600000 | PA      | $620483.23    | 0.03%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-225, Class UB                                                                                   | CUSIP: 31359GDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2505 | PA      | $2509.78      | 0.00%             | 2023-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                   | Paramount Global                                                                                                         | CUSIP: 124857AJ2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    140000 | PA      | $105558.05    | 0.00%             | 2042-07-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-27, Class SA                                                                                           | CUSIP: 38375JJ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    221096 | PA      | $10134.63     | 0.00%             | 2037-05-20      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3315, Class HZ                                                                                      | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83172 | PA      | $84494.03     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2014-SFR3, Class E                                                                   | CUSIP: 02665XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2380000 | PA      | $2347800.03   | 0.11%             | 2036-12-17      | Fixed         | 6.42%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18386400 | PA      | $12123532.50  | 0.57%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H28, Class FA                                                                                          | CUSIP: 38375BYE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3329 | PA      | $3280.36      | 0.00%             | 2062-09-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8K52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1911564.04   | 0.09%             | 2027-02-01      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Hanover Insurance Group, Inc. (The)                                | Hanover Insurance Group, Inc. (The)                                                                                      | CUSIP: 410867AG0<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |    500000 | PA      | $388124.98    | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7225000 | PA      | $4751284.20   | 0.22%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132G7H73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    248250 | PA      | $227086.01    | 0.01%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-109                                                                                             | CUSIP: 31396LQW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42875 | PA      | $35066.38     | 0.00%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer                                                    | DataBank Issuer, Series 2021-1A, Class A2                                                                                | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2700000 | PA      | $2328643.08   | 0.11%             | 2051-02-27      | Fixed         | 2.06%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-7, Class SG                                                                                     | CUSIP: 31396PRZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    784962 | PA      | $87335.67     | 0.00%             | 2036-08-25      | Floating      | 2.48%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                 | Vale Overseas Ltd.                                                                                                       | CUSIP: 91911TAQ6<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |    675000 | PA      | $588093.75    | 0.03%             | 2030-07-08      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6453 | PA      | $6586.38      | 0.00%             | 2028-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YKV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     73185 | PA      | $73364.95     | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-37T1, Class A2                                                                       | CUSIP: 12667G2U6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2116093 | PA      | $125463.79    | 0.01%             | 2035-09-25      | Floating      | 1.01%                 | No            |                  3 | On Loan: No      |
| American Water Capital Corp.                                       | American Water Capital Corp.                                                                                             | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |    795000 | PA      | $729015.01    | 0.03%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-1, Class A                                                               | CUSIP: 90931EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    774110 | PA      | $653172.45    | 0.03%             | 2031-08-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31402REL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351752 | PA      | $354789.46    | 0.02%             | 2035-04-01      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                       | Oracle Corp.                                                                                                             | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    900000 | PA      | $684287.14    | 0.03%             | 2055-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MyMichigan Health                                                  | MyMichigan Health, Series 2020                                                                                           | CUSIP: 597861AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $216155.27    | 0.01%             | 2050-06-01      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7                               | CUSIP: 9393366B4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651274 | PA      | $583589.07    | 0.03%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-124, Class HB                                                                                   | CUSIP: 31396PGJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    357306 | PA      | $365127.47    | 0.02%             | 2036-11-25      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| Elevance Health, Inc.                                              | Elevance Health, Inc.                                                                                                    | CUSIP: 94973VBK2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $89932.41     | 0.00%             | 2044-08-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83367TBG3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    370000 | PA      | $364764.73    | 0.02%             | 2024-01-17      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5214400 | PA      | $4914775.67   | 0.23%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                         | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    545000 | PA      | $496122.88    | 0.02%             | 2029-04-05      | Fixed         | 3.85%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2019, Class Z                                                                                       | CUSIP: 3133TCC63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26291 | PA      | $26808.82     | 0.00%             | 2027-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    940000 | PA      | $917093.12    | 0.04%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31400FEM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94215 | PA      | $92866.90     | 0.00%             | 2033-07-01      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2004-AR3, Class A2                                                 | CUSIP: 92922FNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23867 | PA      | $21698.36     | 0.00%             | 2034-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-57                                                                                                     | CUSIP: 38375LUK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43612 | PA      | $41394.11     | 0.00%             | 2037-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05971KAG4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    400000 | PA      | $299282.12    | 0.01%             | 2030-12-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Parker-Hannifin Corp.                                              | Parker-Hannifin Corp.                                                                                                    | CUSIP: 70109HAN5<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |    592000 | PA      | $513987.81    | 0.02%             | 2044-11-21      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27735000 | PA      | $26678686.45  | 1.26%             | 2029-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                                | CommonSpirit Health                                                                                                      | CUSIP: 20268JAG8<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    545000 | PA      | $398452.37    | 0.02%             | 2050-10-01      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAK7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1000000 | PA      | $947204.46    | 0.04%             | 2026-01-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority STRIPS                                                                                        | CUSIP: 88059FBM2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    800000 | PA      | $450138.20    | 0.02%             | 2035-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.             | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-UP2, Class PO1                                       | CUSIP: 79549AXS3<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |       618 | PA      | $527.54       | 0.00%             | 2033-06-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2054, Class PV                                                                                      | CUSIP: 3133TE4B7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29999 | PA      | $31084.97     | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1996-2, Class 1Z                                                                           | CUSIP: 911760HH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74118 | PA      | $75534.84     | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-116, Class SB                                                                                   | CUSIP: 31393T4W3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    257292 | PA      | $21719.77     | 0.00%             | 2033-11-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-58, Class FL                                                                                    | CUSIP: 31395NC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20705 | PA      | $20463.12     | 0.00%             | 2036-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-230, Class FA                                                                                   | CUSIP: 31359FE38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1055 | PA      | $1055.33      | 0.00%             | 2023-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Pendoor Proper                                                     | Pendoor Proper                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   4150000 | PA      | $3952875.00   | 0.19%             | 2026-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| 7-Eleven, Inc.                                                     | 7-Eleven, Inc.                                                                                                           | CUSIP: 817826AF7<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    574000 | PA      | $383943.86    | 0.02%             | 2041-02-10      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHP98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61471 | PA      | $60807.47     | 0.00%             | 2036-10-01      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2014-SFR2, Class A                                                                   | CUSIP: 02665UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3429881 | PA      | $3287324.19   | 0.16%             | 2036-10-17      | Fixed         | 3.79%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2025000 | PA      | $1683281.25   | 0.08%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| National Retail Properties, Inc.                                   | National Retail Properties, Inc.                                                                                         | CUSIP: 637417AH9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |    783000 | PA      | $752587.02    | 0.04%             | 2025-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J2T89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4035000 | PA      | $3451847.35   | 0.16%             | 2027-12-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PRET LLC                                                           | PRET LLC, Series 2021-RN4, Class A1                                                                                      | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5684108 | PA      | $4988261.06   | 0.24%             | 2051-10-25      | Variable      | 2.49%                 | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                                       | Mizuho Financial Group, Inc.                                                                                             | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1550000 | PA      | $1551143.82   | 0.07%             | 2028-09-13      | Variable      | 5.41%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp.                                           | Marathon Petroleum Corp.                                                                                                 | CUSIP: 56585ABH4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |    380000 | PA      | $376756.45    | 0.02%             | 2025-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class PD                                                                                    | CUSIP: 3139204E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14677 | PA      | $15434.11     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-30, Class PM                                                                                    | CUSIP: 313920BG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49951 | PA      | $51765.52     | 0.00%             | 2031-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 174                                                      | CUSIP: 73358WJA3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |   2060000 | PA      | $1852515.36   | 0.09%             | 2062-10-01      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1970, Class PG                                                                                      | CUSIP: 3133TAK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1907 | PA      | $1974.15      | 0.00%             | 2027-07-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group plc                                           | Lloyds Banking Group plc                                                                                                 | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $380154.42    | 0.02%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1602, Class SA                                                                                      | CUSIP: 3133T1D82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2182 | PA      | $2128.29      | 0.00%             | 2023-10-15      | Floating      | 11.66%                | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC - GNMA, Series 8, Class ZA                                                                                         | CUSIP: 3129145M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       178 | PA      | $177.19       | 0.00%             | 2023-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128K7XQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    299384 | PA      | $312533.32    | 0.01%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Park Aerospace Holdings Ltd.                                       | Park Aerospace Holdings Ltd.                                                                                             | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   1626000 | PA      | $1602083.31   | 0.08%             | 2024-02-15      | Fixed         | 5.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2474, Class NR                                                                                      | CUSIP: 31392R3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77394 | PA      | $79923.82     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $2765460.96   | 0.13%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                      | Citigroup Mortgage Loan Trust, Series 2015-A, Class B2                                                                   | CUSIP: 17323MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    241459 | PA      | $222274.02    | 0.01%             | 2058-06-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XAK6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    312000 | PA      | $290819.54    | 0.01%             | 2026-10-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1889 | PA      | $1940.51      | 0.00%             | 2027-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2020-SFR2, Class E                                                                          | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2633696.10   | 0.12%             | 2037-10-19      | Fixed         | 2.67%                 | Yes           |                  2 | On Loan: No      |
| Memorial Health Services                                           | Memorial Health Services                                                                                                 | CUSIP: 58601VAC6<br>LEI: 549300FTIZOMIONZZ882 | Long             | DBT              | CORP              | US        |   1340000 | PA      | $998171.03    | 0.05%             | 2049-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-36, Class SE                                                                                           | CUSIP: 38375KHZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123926 | PA      | $5102.92      | 0.00%             | 2037-06-16      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Roper Technologies, Inc.                                           | Roper Technologies, Inc.                                                                                                 | CUSIP: 776743AJ5<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |    570000 | PA      | $456677.11    | 0.02%             | 2030-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Pacific Life Insurance Co.                                         | Pacific Life Insurance Co.                                                                                               | CUSIP: 69448FAA9<br>LEI: 8WC3XYHE06SQFW7CQK10 | Long             | DBT              | CORP              | US        |    266000 | PA      | $208674.34    | 0.01%             | 2067-10-24      | Variable      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Texas Eastern Transmission LP                                      | Texas Eastern Transmission LP                                                                                            | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |     90000 | PA      | $81794.56     | 0.00%             | 2028-01-15      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31385WZX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160538 | PA      | $156417.06    | 0.01%             | 2033-01-01      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    782000 | PA      | $750180.01    | 0.04%             | 2028-05-10      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 20 Year                                                                                                       | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    279670 | PA      | $273861.59    | 0.01%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31418MEF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4361 | PA      | $4414.62      | 0.00%             | 2024-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7870000 | PA      | $7026741.78   | 0.33%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                                              | Lehman Mortgage Trust, Series 2008-2, Class 1A6                                                                          | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    430019 | PA      | $148529.84    | 0.01%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418AHB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    365103 | PA      | $352800.44    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2022-SFR5, Class E1                                                                   | CUSIP: 74332YAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3619000 | PA      | $3308977.64   | 0.16%             | 2039-06-17      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2004-3, Class 2A1                                                                   | CUSIP: 576434NV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107441 | PA      | $104531.62    | 0.00%             | 2034-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-42, Class AO                                                                                    | CUSIP: 31397LPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39757 | PA      | $32909.60     | 0.00%             | 2036-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405YXX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55860 | PA      | $54786.34     | 0.00%             | 2034-10-01      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                        | Nationwide Building Society                                                                                              | CUSIP: 63859UBH5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $867622.92    | 0.04%             | 2026-10-13      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Analog Devices, Inc.                                               | Analog Devices, Inc.                                                                                                     | CUSIP: 032654AW5<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    896000 | PA      | $674400.04    | 0.03%             | 2041-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-42, Class ZC                                                                                    | CUSIP: 31359PX84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2734 | PA      | $2777.02      | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94147 | PA      | $100213.29    | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2423, Class MT                                                                                      | CUSIP: 31339WCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70611 | PA      | $74841.80     | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-118, Class MT                                                                                   | CUSIP: 3136A12F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195605 | PA      | $209162.15    | 0.01%             | 2041-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class PU                                                                                    | CUSIP: 3139204T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17145 | PA      | $18238.96     | 0.00%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2022-SFR3, Class E2                                                                   | CUSIP: 74331UAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2685000 | PA      | $2344246.38   | 0.11%             | 2039-04-17      | Fixed         | 5.60%                 | Yes           |                  2 | On Loan: No      |
| SART                                                               | SART                                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    702235 | PA      | $687137.18    | 0.03%             | 2024-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Reynolds American, Inc.                                            | Reynolds American, Inc.                                                                                                  | CUSIP: 761713BW5<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92728.90     | 0.00%             | 2041-08-04      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-28, Class S                                                                                            | CUSIP: 38374GDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106364 | PA      | $112324.46    | 0.01%             | 2034-04-16      | Floating      | 8.97%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8200000 | PA      | $6930281.25   | 0.33%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-72, Class US                                                                                           | CUSIP: 38375LV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139824 | PA      | $3670.69      | 0.00%             | 2037-11-20      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Halliburton Co.                                                    | Halliburton Co.                                                                                                          | CUSIP: 406216BE0<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    540000 | PA      | $471840.35    | 0.02%             | 2043-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Southern Natural Gas Co. LLC                                       | Southern Natural Gas Co. LLC                                                                                             | CUSIP: 84346LAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    367000 | PA      | $303701.45    | 0.01%             | 2047-03-15      | Fixed         | 4.80%                 | Yes           |                  2 | On Loan: No      |
| New York State Dormitory Authority                                 | New York State Dormitory Authority, State Personal Income Tax, General Purpose                                           | CUSIP: 649902T37<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |    360000 | PA      | $381390.55    | 0.02%             | 2040-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128LXDY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    170774 | PA      | $167361.37    | 0.01%             | 2035-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                     | Southern Co. Gas Capital Corp.                                                                                           | CUSIP: 001192AM5<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |    254000 | PA      | $237882.27    | 0.01%             | 2026-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Southern California Edison Co.                                     | Southern California Edison Co.                                                                                           | CUSIP: 842400FV0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    552000 | PA      | $442921.98    | 0.02%             | 2042-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-46, Class MG                                                                                           | CUSIP: 38373Q2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243319 | PA      | $246292.70    | 0.01%             | 2033-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                    | PECO Energy Co.                                                                                                          | CUSIP: 693304AY3<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |    410000 | PA      | $272729.29    | 0.01%             | 2050-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L7EW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9249495 | PA      | $8870668.52   | 0.42%             | 2026-09-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3                                                                       | CUSIP: 466247K93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130567 | PA      | $123558.36    | 0.01%             | 2033-11-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                        | L3Harris Technologies, Inc.                                                                                              | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    840000 | PA      | $653522.96    | 0.03%             | 2031-01-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                    | Air Lease Corp.                                                                                                          | CUSIP: 00914AAB8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    526000 | PA      | $494446.74    | 0.02%             | 2026-06-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAH4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    450000 | PA      | $413110.73    | 0.02%             | 2025-02-15      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1646000 | PA      | $1257677.79   | 0.06%             | 2041-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3179, Class OA                                                                                      | CUSIP: 31396UFA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    101264 | PA      | $83645.86     | 0.00%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3131, Class BK                                                                                      | CUSIP: 31396JMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    130193 | PA      | $129647.78    | 0.01%             | 2026-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                     | Alimentation Couche-Tard, Inc.                                                                                           | CUSIP: 01626PAP1<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |   1275000 | PA      | $920369.79    | 0.04%             | 2041-05-13      | Fixed         | 3.44%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                                  | Duke Energy Corp.                                                                                                        | CUSIP: 26441CAT2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    985000 | PA      | $735030.10    | 0.03%             | 2046-09-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138WSPZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    387913 | PA      | $368970.82    | 0.02%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    690000 | PA      | $649620.53    | 0.03%             | 2029-05-18      | Variable      | 4.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1                                                          | CUSIP: 589929Y36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36741 | PA      | $33817.70     | 0.00%             | 2028-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Pennsylvania Electric Co.                                          | Pennsylvania Electric Co.                                                                                                | CUSIP: 708696BY4<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    150000 | PA      | $135880.08    | 0.01%             | 2028-03-15      | Fixed         | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Hackensack Meridian Health, Inc.                                   | Hackensack Meridian Health, Inc., Series 2020                                                                            | CUSIP: 404530AC1<br>LEI: 5493001CB3OCWTEJY668 | Long             | DBT              | CORP              | US        |   1430000 | PA      | $980001.55    | 0.05%             | 2041-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 15 Year                                                                                                       | CUSIP: 31416BYW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6990 | PA      | $6965.03      | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2015-SFR1, Class E                                                                   | CUSIP: 02666AAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1236667.51   | 0.06%             | 2052-04-17      | Fixed         | 5.64%                 | Yes           |                  3 | On Loan: No      |
| Impac CMB Trust                                                    | Impac CMB Trust, Series 2005-4, Class 2A1                                                                                | CUSIP: 45254NPE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94680 | PA      | $78659.41     | 0.00%             | 2035-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-128                                                                                             | CUSIP: 3136AHNE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    983400 | PA      | $775983.49    | 0.04%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    962000 | PA      | $935236.72    | 0.04%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                             | Credit Suisse Group AG                                                                                                   | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1162000 | PA      | $946811.71    | 0.04%             | 2028-01-09      | Fixed         | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Chase Funding Trust                                                | Chase Funding Trust, Series 2003-6, Class 1A7                                                                            | CUSIP: 161546HC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245279 | PA      | $239824.24    | 0.01%             | 2034-11-25      | Variable      | 4.88%                 | No            |                  3 | On Loan: No      |
| Air Lease Corp.                                                    | Air Lease Corp.                                                                                                          | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $921161.01    | 0.04%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class A8                                                  | CUSIP: 92922FEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    177958 | PA      | $170946.22    | 0.01%             | 2033-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                  | BAT Capital Corp.                                                                                                        | CUSIP: 05526DBD6<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   1730000 | PA      | $1362724.13   | 0.06%             | 2037-08-15      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31292J5A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48062 | PA      | $49819.69     | 0.00%             | 2036-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series G93-17, Class SI                                                                                     | CUSIP: 31358UWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       320 | PA      | $320.26       | 0.00%             | 2023-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| AIG SunAmerica Global Financing X                                  | AIG SunAmerica Global Financing X                                                                                        | CUSIP: 00139PAA6<br>LEI: 549300Q3UB1GMKCGGR05 | Long             | DBT              | CORP              | US        |    520000 | PA      | $559263.82    | 0.03%             | 2032-03-15      | Fixed         | 6.90%                 | Yes           |                  2 | On Loan: No      |
| Healthpeak Properties, Inc.                                        | Healthpeak Properties, Inc.                                                                                              | CUSIP: 40414LAM1<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |     17000 | PA      | $16412.20     | 0.00%             | 2025-02-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6771218 | PA      | $5954784.63   | 0.28%             | 2061-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3843584 | PA      | $3659223.03   | 0.17%             | 2032-09-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617WJ5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2443732 | PA      | $2518660.48   | 0.12%             | 2072-08-20      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                                              | Time Warner Cable LLC                                                                                                    | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $383382.86    | 0.02%             | 2037-05-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140KEEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7373761 | PA      | $6355320.75   | 0.30%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Markel Corp.                                                       | Markel Corp.                                                                                                             | CUSIP: 570535AR5<br>LEI: 549300SCNO12JLWIK605 | Long             | DBT              | CORP              | US        |    200000 | PA      | $184641.13    | 0.01%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-25, Class SA                                                                                    | CUSIP: 31393XRE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108545 | PA      | $112942.62    | 0.01%             | 2034-04-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-HYB3, Class 2A                                                              | CUSIP: 12669FYY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115004 | PA      | $105344.71    | 0.00%             | 2034-06-20      | Variable      | 2.72%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1999-1, Class 2Z                                                                           | CUSIP: 911760MJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421932 | PA      | $422615.44    | 0.02%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAD4<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    411000 | PA      | $394185.02    | 0.02%             | 2029-03-29      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury 2 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       203 | NC      | $152197.89    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Telekom International Finance BV                          | Deutsche Telekom International Finance BV                                                                                | CUSIP: 25156PAR4<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |    232000 | PA      | $209802.14    | 0.01%             | 2042-03-06      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Ohio University                                                    | Ohio University, General Receipts, Federally Taxable                                                                     | CUSIP: 677704A65<br>LEI: 549300P1K3IH2L5SFY61 | Long             | DBT              | MUN               | US        |    200000 | PA      | $181459.74    | 0.01%             | 2114-12-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-118, Class A2                                                                                   | CUSIP: 31396L4T4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122720 | PA      | $119853.09    | 0.01%             | 2036-12-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2075, Class PH                                                                                      | CUSIP: 3133TGCG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60073 | PA      | $61655.25     | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hartford Financial Services Group, Inc. (The)                      | Hartford Financial Services Group, Inc. (The)                                                                            | CUSIP: 416515BB9<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    400000 | PA      | $326576.40    | 0.02%             | 2043-04-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Whole Loan, Series 2007-106, Class A7                                                                       | CUSIP: 31396XF25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66010 | PA      | $68434.25     | 0.00%             | 2037-10-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418BA63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1109908 | PA      | $1101586.61   | 0.05%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3318, Class AO                                                                                      | CUSIP: 31397HCU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5662 | PA      | $4920.86      | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                                | CNA Financial Corp.                                                                                                      | CUSIP: 126117AS9<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |    463000 | PA      | $454420.71    | 0.02%             | 2024-05-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140HNWP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    924733 | PA      | $908618.40    | 0.04%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1086000 | PA      | $724460.64    | 0.03%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 90351DAB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $291024.85    | 0.01%             | 2025-09-24      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1573, Class PZ                                                                                      | CUSIP: 3133T0R71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5035 | PA      | $5045.14      | 0.00%             | 2023-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                   | NRG Energy, Inc.                                                                                                         | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |    615000 | PA      | $566068.08    | 0.03%             | 2029-06-15      | Fixed         | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31381TNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    853669 | PA      | $834961.34    | 0.04%             | 2025-01-01      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H16, Class FG                                                                                          | CUSIP: 38376RDY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1648291 | PA      | $1624582.78   | 0.08%             | 2065-07-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405XXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50282 | PA      | $49075.81     | 0.00%             | 2035-01-01      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406DJX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337220 | PA      | $332555.10    | 0.02%             | 2034-11-01      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-25, Class 1P                                           | CUSIP: 22541QYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81590 | PA      | $57919.61     | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 9128284M9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17212000 | PA      | $16677486.68  | 0.79%             | 2025-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPSN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2153756 | PA      | $2038220.97   | 0.10%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                    | Microsoft Corp.                                                                                                          | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |   1118000 | PA      | $829394.20    | 0.04%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 2A3                               | CUSIP: 9393363R2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    386976 | PA      | $15779.30     | 0.00%             | 2035-04-25      | Floating      | 0.96%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3128KRW91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    359130 | PA      | $370737.29    | 0.02%             | 2034-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2014-M3, Class A2                                                                                      | CUSIP: 3136AJLC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    559704 | PA      | $548976.25    | 0.03%             | 2024-01-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                                   | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    390443 | PA      | $334763.77    | 0.02%             | 2030-01-15      | Fixed         | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CT0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    605000 | PA      | $599388.28    | 0.03%             | 2025-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NSTAR Electric Co.                                                 | NSTAR Electric Co.                                                                                                       | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $973214.46    | 0.05%             | 2052-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAR1<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    305000 | PA      | $252184.48    | 0.01%             | 2031-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2455, Class GK                                                                                      | CUSIP: 31392K5C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    172205 | PA      | $175863.71    | 0.01%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138M1MA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    379743 | PA      | $366855.51    | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| State of California                                                | State of California, Various Purpose                                                                                     | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    350000 | PA      | $431609.64    | 0.02%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2271, Class PC                                                                                      | CUSIP: 3133TQKD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51457 | PA      | $54607.91     | 0.00%             | 2030-12-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349SF40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105850 | PA      | $103774.89    | 0.00%             | 2033-12-01      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-59, Class 1AP                                          | CUSIP: 31394PPU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159384 | PA      | $88364.97     | 0.00%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Boston Gas Co.                                                     | Boston Gas Co.                                                                                                           | CUSIP: 100743AJ2<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    308000 | PA      | $256506.61    | 0.01%             | 2042-02-15      | Fixed         | 4.49%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-59, Class SD                                                                                           | CUSIP: 38374NQ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    169416 | PA      | $10242.49     | 0.00%             | 2036-10-20      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Loan Trust                             | Banc of America Alternative Loan Trust, Series 2004-6, Class 15PO                                                        | CUSIP: 05948KSR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5884 | PA      | $2411.13      | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QA9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    960500 | PA      | $924781.41    | 0.04%             | 2039-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                     | Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2                                               | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    153167 | PA      | $117634.97    | 0.01%             | 2036-01-25      | Variable      | 2.91%                 | No            |                  3 | On Loan: No      |
| Liberty Mutual Insurance Co.                                       | Liberty Mutual Insurance Co.                                                                                             | CUSIP: 53079QAB3<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |    100000 | PA      | $107539.09    | 0.01%             | 2025-05-15      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-92                                                                                              | CUSIP: 3136AGGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539888 | PA      | $409499.67    | 0.02%             | 2043-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PG&E Wildfire Recovery Funding LLC                                 | PG&E Wildfire Recovery Funding LLC, Series A-4                                                                           | CUSIP: 693342AJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    420000 | PA      | $411876.19    | 0.02%             | 2047-12-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Huntington National Bank (The)                                     | Huntington National Bank (The)                                                                                           | CUSIP: 44644MAJ0<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   1972000 | PA      | $1986710.57   | 0.09%             | 2030-01-10      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Prologis LP                                                        | Prologis LP                                                                                                              | CUSIP: 74340XBU4<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    239000 | PA      | $227277.66    | 0.01%             | 2026-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36209DBS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1338 | PA      | $1337.35      | 0.00%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAV1<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   1180000 | PA      | $852463.93    | 0.04%             | 2050-05-29      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHKK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820000 | PA      | $766782.93    | 0.04%             | 2032-09-01      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 265, Class 2                                                                                        | CUSIP: 31364HJ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       246 | PA      | $248.28       | 0.00%             | 2024-03-25      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406YB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45602 | PA      | $44655.51     | 0.00%             | 2035-05-01      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Diversified Abs Phase VI LLC                                       | Diversified Abs Phase VI LLC, Series VI, Class A                                                                         | CUSIP: 25512VAA7<br>LEI: 549300N7EGAMCATEDO05 | Long             | ABS-O            | CORP              | US        |   3262045 | PA      | $3176292.54   | 0.15%             | 2039-11-28      | Fixed         | 7.50%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2013-81, Class TA                                                                                    | CUSIP: 3136AFK60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    943578 | PA      | $906470.92    | 0.04%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates                            | WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4                                                       | CUSIP: 92922FPH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    323292 | PA      | $303003.62    | 0.01%             | 2033-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QPK30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1677774 | PA      | $1586734.03   | 0.07%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2004-1, Class 2A1                                                         | CUSIP: 59020UNN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103728 | PA      | $95082.31     | 0.00%             | 2034-12-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                 | T-Mobile USA, Inc.                                                                                                       | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   2980000 | PA      | $2736936.81   | 0.13%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3966, Class NA                                                                                      | CUSIP: 3137AJXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    243317 | PA      | $237519.76    | 0.01%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Progress Energy, Inc.                                              | Progress Energy, Inc.                                                                                                    | CUSIP: 743263AG0<br>LEI: 549300FBMTW0JYWMNB26 | Long             | DBT              | CORP              | US        |    300000 | PA      | $328454.53    | 0.02%             | 2031-10-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Safehold Operating Partnership LP                                  | Safehold Operating Partnership LP                                                                                        | CUSIP: 78646UAA7<br>LEI: 54930012UY5Z4Q8NL108 | Long             | DBT              | CORP              | US        |   2940000 | PA      | $2281426.09   | 0.11%             | 2031-06-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBE0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2113012.48   | 0.10%             | 2028-02-15      | Fixed         | 1.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GVM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135039 | PA      | $139057.19    | 0.01%             | 2029-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3345067 | PA      | $2883027.04   | 0.14%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, 30 Year                                                                                                            | CUSIP: 31412QDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167801 | PA      | $171002.05    | 0.01%             | 2039-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-22, Class SA                                                                                           | CUSIP: 38374TRY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289473 | PA      | $15103.06     | 0.00%             | 2039-04-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-76, Class SA                                                                                           | CUSIP: 38375LT67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    286158 | PA      | $12907.71     | 0.00%             | 2037-11-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                        | Business Jet Securities LLC, Series 2020-1A, Class A                                                                     | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    718396 | PA      | $651110.70    | 0.03%             | 2035-11-15      | Fixed         | 2.98%                 | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   1385000 | PA      | $1258986.34   | 0.06%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                                                                   | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275015 | PA      | $280284.61    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-119                                                                                             | CUSIP: 31396LM80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33937 | PA      | $29576.76     | 0.00%             | 2036-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36203CRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        58 | PA      | $58.12        | 0.00%             | 2023-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-1, Class PO2                                                            | CUSIP: 17307GBP2<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |       674 | PA      | $612.06       | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LBE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    465000 | PA      | $367601.25    | 0.02%             | 2050-02-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                                                                 | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    296173 | PA      | $284885.66    | 0.01%             | 2042-12-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L5FJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1848559 | PA      | $1821680.84   | 0.09%             | 2023-11-01      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse AG                                                   | Credit Suisse AG                                                                                                         | CUSIP: 22546QAP2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    402000 | PA      | $369840.75    | 0.02%             | 2024-09-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| KLA Corp.                                                          | KLA Corp.                                                                                                                | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |    600000 | PA      | $449458.34    | 0.02%             | 2050-03-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| AstraZeneca plc                                                    | AstraZeneca plc                                                                                                          | CUSIP: 046353AD0<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $341785.57    | 0.02%             | 2037-09-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Pepperdine University                                              | Pepperdine University, Series 2020                                                                                       | CUSIP: 71338QAC0<br>LEI: 549300G0RVHY0VSFWD76 | Long             | DBT              | CORP              | US        |    600000 | PA      | $389965.49    | 0.02%             | 2059-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-39, Class PD                                                                                    | CUSIP: 31359PSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35855 | PA      | $36890.20     | 0.00%             | 2027-05-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TSMC Arizona Corp.                                                 | TSMC Arizona Corp.                                                                                                       | CUSIP: 872898AJ0<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |    680000 | PA      | $616909.60    | 0.03%             | 2052-04-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Global Payments, Inc.                                              | Global Payments, Inc.                                                                                                    | CUSIP: 37940XAH5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    522000 | PA      | $414171.08    | 0.02%             | 2031-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                        | Capital One Financial Corp.                                                                                              | CUSIP: 14040HBJ3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $242417.72    | 0.01%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Pepco Holdings LLC                                                 | Pepco Holdings LLC                                                                                                       | CUSIP: 713291AH5<br>LEI: 0IYTXJPU5BH89F2Z1F31 | Long             | DBT              | CORP              | US        |    316000 | PA      | $339425.53    | 0.02%             | 2032-08-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| P -stla                                                            | P4 SFR                                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2502500.00   | 0.12%             | 2026-10-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403DQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140253 | PA      | $137994.60    | 0.01%             | 2035-06-01      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QM4X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4182390 | PA      | $3595185.57   | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1860387.00   | 0.09%             | 2028-03-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402BEZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59594 | PA      | $61366.91     | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31408EQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40301 | PA      | $39638.92     | 0.00%             | 2036-01-01      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2010-157, Class OP                                                                                          | CUSIP: 38377NF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516916 | PA      | $431071.99    | 0.02%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-91, Class ES                                                                                    | CUSIP: 31396XYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    522974 | PA      | $45272.17     | 0.00%             | 2037-10-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2005-W3, Class 2AF                                                                        | CUSIP: 31394FSB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    481787 | PA      | $476397.39    | 0.02%             | 2045-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| Public Storage                                                     | Public Storage                                                                                                           | CUSIP: 74460DAJ8<br>LEI: 549300LMZF40TKJ6DM64 | Long             | DBT              | CORP              | US        |    516000 | PA      | $417304.17    | 0.02%             | 2031-11-09      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31400KQ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20277 | PA      | $20620.98     | 0.00%             | 2027-03-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bon Secours Mercy Health, Inc.                                     | Bon Secours Mercy Health, Inc., Series 20-2                                                                              | CUSIP: 09778PAC9<br>LEI: 5493006NA7JSVYYYF398 | Long             | DBT              | CORP              | US        |    800000 | PA      | $536889.32    | 0.03%             | 2050-06-01      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3852, Class QN                                                                                      | CUSIP: 3137ABAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83012 | PA      | $80048.32     | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| Jonah Energy Abs I LLC                                             | Jonah Energy Abs I LLC, Series 2022-1, Class A1                                                                          | CUSIP: 47987EAC1<br>LEI: 2549003KXV9PPFRCPA79 | Long             | ABS-O            | CORP              | US        |   2470000 | PA      | $2452698.64   | 0.12%             | 2037-12-10      | Fixed         | 7.20%                 | Yes           |                  2 | On Loan: No      |
| Truist Financial Corp.                                             | Truist Financial Corp.                                                                                                   | CUSIP: 867914BS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    265000 | PA      | $260136.36    | 0.01%             | 2025-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Continental Airlines Pass-Through Trust                            | Continental Airlines Pass-Through Trust, Series 2012-2, Class A                                                          | CUSIP: 210795QB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    117028 | PA      | $111416.22    | 0.01%             | 2024-10-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                 | General Motors Financial Co., Inc.                                                                                       | CUSIP: 37045XDD5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1781000 | PA      | $1560856.50   | 0.07%             | 2026-01-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    670000 | PA      | $698142.53    | 0.03%             | 2026-11-10      | Variable      | 7.47%                 | No            |                  2 | On Loan: No      |
| Bank of Ireland Group plc                                          | Bank of Ireland Group plc                                                                                                | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    755000 | PA      | $626098.85    | 0.03%             | 2027-09-30      | Variable      | 2.03%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-2, Class NS                                                                                            | CUSIP: 38374DPV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    265791 | PA      | $10699.31     | 0.00%             | 2038-01-16      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3232, Class ST                                                                                      | CUSIP: 31397BP96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138325 | PA      | $13051.87     | 0.00%             | 2036-10-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Banco Nacional de Panama                                           | Banco Nacional de Panama                                                                                                 | CUSIP: 059626AC5<br>LEI: 529900H2Q7WMDKKIW109 | Long             | DBT              | CORP              | PA        |   1250000 | PA      | $960937.50    | 0.05%             | 2030-08-11      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Ascension Health                                                   | Ascension Health, Series B                                                                                               | CUSIP: 04352EAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $372464.68    | 0.02%             | 2029-11-15      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Fiserv, Inc.                                                       | Fiserv, Inc.                                                                                                             | CUSIP: 337738AV0<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    375000 | PA      | $309078.12    | 0.01%             | 2049-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                               | Mitsubishi UFJ Financial Group, Inc.                                                                                     | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    944000 | PA      | $938294.27    | 0.04%             | 2025-09-12      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-22T1, Class A2                                                                       | CUSIP: 12667GGP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2892886 | PA      | $211693.32    | 0.01%             | 2035-06-25      | Floating      | 1.03%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-56                                                                                              | CUSIP: 31395NWL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151431 | PA      | $126290.02    | 0.01%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Femsa SAB de CV                                          | Coca-Cola Femsa SAB de CV                                                                                                | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    675000 | PA      | $514814.06    | 0.02%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36213GR52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19514 | PA      | $20159.96     | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 4048, Class FJ                                                                                      | CUSIP: 3137AQUG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334539 | PA      | $325063.80    | 0.02%             | 2037-07-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1706, Class K                                                                                       | CUSIP: 3133T4UA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10238 | PA      | $10253.64     | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                        | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-6, Class M1                                                     | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     59617 | PA      | $57456.06     | 0.00%             | 2034-10-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                                         | Progress Residential Trust, Series 2019-SFR4, Class D                                                                    | CUSIP: 74331AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4677698.00   | 0.22%             | 2036-10-17      | Fixed         | 3.14%                 | Yes           |                  3 | On Loan: No      |
| KeyCorp                                                            | KeyCorp                                                                                                                  | CUSIP: 49326EEN9<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    225000 | PA      | $213205.79    | 0.01%             | 2033-06-01      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2006-16, Class OP                                                                                           | CUSIP: 38374MM63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50190 | PA      | $42756.53     | 0.00%             | 2036-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 31283YQW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33379 | PA      | $33888.34     | 0.00%             | 2029-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                                         | AMSR Trust, Series 2020-SFR4, Class C                                                                                    | CUSIP: 66981FAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3548132.80   | 0.17%             | 2037-11-17      | Fixed         | 1.86%                 | Yes           |                  3 | On Loan: No      |
| Flagship Credit Auto Trust                                         | Flagship Credit Auto Trust, Series 2022-4, Class C                                                                       | CUSIP: 33843XAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5190000 | PA      | $5240593.16   | 0.25%             | 2028-10-16      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                                       | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2882772 | PA      | $2840782.28   | 0.13%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| F&G Global Funding                                                 | F&G Global Funding                                                                                                       | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    750000 | PA      | $667186.73    | 0.03%             | 2026-06-30      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    323000 | PA      | $280556.64    | 0.01%             | 2027-01-13      | Variable      | 1.32%                 | Yes           |                  2 | On Loan: No      |
| Jersey Central Power & Light Co.                                   | Jersey Central Power & Light Co.                                                                                         | CUSIP: 476556DC6<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |    560000 | PA      | $541319.72    | 0.03%             | 2026-01-15      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| TotalEnergies Capital International SA                             | TotalEnergies Capital International SA                                                                                   | CUSIP: 89153VAX7<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |   1200000 | PA      | $914236.16    | 0.04%             | 2041-06-29      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-60, Class DZ                                                                                    | CUSIP: 31395NTE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3240185 | PA      | $3333381.00   | 0.16%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NXP BV                                                             | NXP BV                                                                                                                   | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1405000 | PA      | $1112847.81   | 0.05%             | 2031-05-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Grupo Televisa SAB                                                 | Grupo Televisa SAB                                                                                                       | CUSIP: 40049JBC0<br>LEI: 549300O4AF0C816ILN62 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $197120.00    | 0.01%             | 2046-01-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-52, Class SX                                                                                    | CUSIP: 31393CV67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28082 | PA      | $31069.99     | 0.00%             | 2031-10-25      | Floating      | 10.90%                | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-36, Class SH                                                                                           | CUSIP: 38374D3F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    211462 | PA      | $278.81       | 0.00%             | 2038-04-20      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XAY6<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    935000 | PA      | $683301.47    | 0.03%             | 2049-10-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust               | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2003-A1, Class A1                                           | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8934 | PA      | $8367.55      | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                       | ING Groep NV                                                                                                             | CUSIP: 456837AV5<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    705000 | PA      | $622291.83    | 0.03%             | 2027-04-01      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CV5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    745000 | PA      | $709888.11    | 0.03%             | 2040-05-01      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Province of Quebec Canada                                          | Province of Quebec                                                                                                       | CUSIP: 74815HCC4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    377000 | PA      | $405222.45    | 0.02%             | 2026-03-06      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31297GXZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63495 | PA      | $65764.60     | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class OE                                                                                      | CUSIP: 31339NKQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13920 | PA      | $14002.17     | 0.00%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                | Societe Generale SA                                                                                                      | CUSIP: 83368RBC5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    395000 | PA      | $336077.97    | 0.02%             | 2027-06-09      | Variable      | 1.79%                 | Yes           |                  2 | On Loan: No      |
| Digital Realty Trust LP                                            | Digital Realty Trust LP                                                                                                  | CUSIP: 25389JAR7<br>LEI: CD4SPTZ3YBTHY0C1AH38 | Long             | DBT              | CORP              | US        |    252000 | PA      | $235076.04    | 0.01%             | 2027-08-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Bear Stearns ARM Trust                                             | Bear Stearns ARM Trust, Series 2004-2, Class 14A                                                                         | CUSIP: 07384MM66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18975 | PA      | $17265.82     | 0.00%             | 2034-05-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                  | NatWest Group plc                                                                                                        | CUSIP: 780097BM2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    900000 | PA      | $831948.98    | 0.04%             | 2029-11-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Niagara Mohawk Power Corp.                                         | Niagara Mohawk Power Corp.                                                                                               | CUSIP: 65364UAN6<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $797184.05    | 0.04%             | 2030-06-27      | Fixed         | 1.96%                 | Yes           |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   1250000 | PA      | $1198950.00   | 0.06%             | 2025-03-17      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QNXM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4630685 | PA      | $4385643.93   | 0.21%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2004-36, Class SA                                                                                    | CUSIP: 31393X5V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    247023 | PA      | $258999.03    | 0.01%             | 2034-05-25      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2345, Class NE                                                                                      | CUSIP: 313399SN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24303 | PA      | $25332.94     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3800000 | PA      | $3120601.57   | 0.15%             | 2042-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05578DAX0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $369869.08    | 0.02%             | 2026-12-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Amazon.com, Inc.                                                   | Amazon.com, Inc.                                                                                                         | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   1760000 | PA      | $1503807.52   | 0.07%             | 2052-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128JLW39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57426 | PA      | $56339.83     | 0.00%             | 2034-04-01      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5575000 | PA      | $5311131.24   | 0.25%             | 2032-10-01      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Mercury Financial Credit Card Master Trust                         | Mercury Financial Credit Card Master Trust, Series 2021-1A, Class A                                                      | CUSIP: 58940BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2330000 | PA      | $2209922.98   | 0.10%             | 2026-03-20      | Fixed         | 1.54%                 | Yes           |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   1832000 | PA      | $1672575.95   | 0.08%             | 2029-11-21      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                          | Towd Point Mortgage Trust, Series 2021-R1, Class A1                                                                      | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5637109 | PA      | $4550657.81   | 0.22%             | 2060-11-30      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833BA7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $933735.80    | 0.04%             | 2045-02-09      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                                          | GSMPS Mortgage Loan Trust, Series 2005-RP3, Class 1AS                                                                    | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    403195 | PA      | $5615.22      | 0.00%             | 2035-09-25      | Variable      | 0.53%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3218, Class AO                                                                                      | CUSIP: 31397BHE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59407 | PA      | $45513.06     | 0.00%             | 2036-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                                 | Essex Portfolio LP                                                                                                       | CUSIP: 29717PAV9<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1591603.34   | 0.08%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-49, Class Z                                                                                     | CUSIP: 313921AG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15651 | PA      | $16304.48     | 0.00%             | 2031-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Delmarva Power & Light Co.                                         | Delmarva Power & Light Co.                                                                                               | CUSIP: 247109BR1<br>LEI: NJ98T8DDD027ZFXUDB24 | Long             | DBT              | CORP              | US        |    235000 | PA      | $188140.98    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1306766.22   | 0.06%             | 2026-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L5G20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3053 | PA      | $2991.75      | 0.00%             | 2023-12-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 323, Class 300                                                                                     | CUSIP: 3132HTZ66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    949403 | PA      | $871502.96    | 0.04%             | 2044-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| O'Reilly Automotive, Inc.                                          | O'Reilly Automotive, Inc.                                                                                                | CUSIP: 67103HAF4<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    432000 | PA      | $410550.28    | 0.02%             | 2027-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2984000 | PA      | $2093003.98   | 0.10%             | 2055-09-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2017-M5, Class A2                                                                                      | CUSIP: 3136AWWF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2761863 | PA      | $2579274.62   | 0.12%             | 2029-04-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Yale-New Haven Health Services Corp.                               | Yale-New Haven Health Services Corp., Series 2020                                                                        | CUSIP: 98459HAA0<br>LEI: 549300AVJD56IH6OKW11 | Long             | DBT              | CORP              | US        |    780000 | PA      | $472493.28    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Public Service Co. of Colorado                                     | Public Service Co. of Colorado                                                                                           | CUSIP: 744448CM1<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    214000 | PA      | $160146.04    | 0.01%             | 2046-06-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Valero Energy Corp.                                                | Valero Energy Corp.                                                                                                      | CUSIP: 91913YBB5<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |    508000 | PA      | $448914.77    | 0.02%             | 2027-09-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2410, Class NG                                                                                      | CUSIP: 31339NLX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69730 | PA      | $72734.40     | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1160000 | PA      | $885142.74    | 0.04%             | 2031-08-18      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Swiss Re Finance Luxembourg SA                                     | Swiss Re Finance Luxembourg SA                                                                                           | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    600000 | PA      | $532680.00    | 0.03%             | 2049-04-02      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2015-H32, Class FH                                                                                          | CUSIP: 38376RMJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1239598 | PA      | $1227664.26   | 0.06%             | 2065-12-20      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31403EDC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71341 | PA      | $72151.64     | 0.00%             | 2033-09-01      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36000000 | PA      | $33345000.00  | 1.58%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3481, Class SJ                                                                                      | CUSIP: 31397Y4R9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    216063 | PA      | $16012.84     | 0.00%             | 2038-08-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    485000 | PA      | $414100.76    | 0.02%             | 2027-01-14      | Variable      | 1.46%                 | Yes           |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals, Inc.                                    | Regeneron Pharmaceuticals, Inc.                                                                                          | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |   1270000 | PA      | $997815.64    | 0.05%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967MY4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $1715481.73   | 0.08%             | 2032-05-01      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A9                                                                       | CUSIP: 362341NB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    325312 | PA      | $308565.65    | 0.01%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6211000 | PA      | $5663520.29   | 0.27%             | 2028-12-20      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                       | Pacific Gas and Electric Co.                                                                                             | CUSIP: 694308KA4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2060000 | PA      | $1997581.24   | 0.09%             | 2024-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 2A                                           | CUSIP: 31392W7D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    157771 | PA      | $158295.74    | 0.01%             | 2042-08-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                 | Vodafone Group plc                                                                                                       | CUSIP: 92857WBM1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    496000 | PA      | $445440.43    | 0.02%             | 2048-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3290, Class SB                                                                                      | CUSIP: 31397FR79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207596 | PA      | $17486.76     | 0.00%             | 2037-03-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                     | Morgan Stanley                                                                                                           | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1740000 | PA      | $1324208.92   | 0.06%             | 2032-02-13      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                       | UBS Group AG                                                                                                             | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1838000 | PA      | $1790989.00   | 0.08%             | 2026-05-12      | Variable      | 4.49%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-60, Class AX                                                                                    | CUSIP: 31396WSA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1014334 | PA      | $136301.10    | 0.01%             | 2037-07-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31410RP29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50260 | PA      | $50525.38     | 0.00%             | 2036-07-01      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31387Y5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22265 | PA      | $23126.13     | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2692, Class SC                                                                                      | CUSIP: 31394KZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30874 | PA      | $30133.27     | 0.00%             | 2033-07-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                      | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F                                                                 | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1177937 | PA      | $625364.34    | 0.03%             | 2035-05-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2003-UP3, Class A3                                                           | CUSIP: 17307GAV0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      8211 | PA      | $7964.10      | 0.00%             | 2033-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Apple, Inc.                                                        | Apple, Inc.                                                                                                              | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |   1855000 | PA      | $1282453.29   | 0.06%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440CA0<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |   1050000 | PA      | $730399.39    | 0.03%             | 2051-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280AM1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $721387.99    | 0.03%             | 2042-01-14      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31403KJW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35588 | PA      | $35490.86     | 0.00%             | 2033-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2132, Class SB                                                                                      | CUSIP: 3133TJVQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5670 | PA      | $5829.07      | 0.00%             | 2029-03-15      | Floating      | 14.22%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-2, Class 1A4                               | CUSIP: 9393363L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2048546 | PA      | $76891.97     | 0.00%             | 2035-04-25      | Floating      | 1.01%                 | No            |                  3 | On Loan: No      |
| Enterprise Products Operating LLC                                  | Enterprise Products Operating LLC                                                                                        | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    506000 | PA      | $489411.07    | 0.02%             | 2026-02-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2172, Class QC                                                                                      | CUSIP: 3133TLLL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62357 | PA      | $65469.54     | 0.00%             | 2029-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-68, Class DP                                                                                           | CUSIP: 38374L4C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33857 | PA      | $31961.96     | 0.00%             | 2035-06-17      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| VM Master Issuer LLC                                               | VM Master Issuer LLC, Series 2022-1, Class A1                                                                            | CUSIP: 92859MAA8<br>LEI: 549300DTHP15ZDVADB72 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3768560.00   | 0.18%             | 2025-05-24      | Variable      | 5.16%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296QYC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60985 | PA      | $62493.96     | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-75, Class FA                                                                                    | CUSIP: 3136A0GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67554 | PA      | $67260.50     | 0.00%             | 2041-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-S9, Class P                                                   | CUSIP: 92922FFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9492 | PA      | $6955.73      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    548000 | PA      | $460341.40    | 0.02%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VMware, Inc.                                                       | VMware, Inc.                                                                                                             | CUSIP: 928563AE5<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    550000 | PA      | $536549.94    | 0.03%             | 2027-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3326, Class JO                                                                                      | CUSIP: 31397JJN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6891 | PA      | $5781.45      | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Two Harbors                                                        | Two Harbors                                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   6600000 | PA      | $6600000.00   | 0.31%             | 2023-02-08      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2344, Class ZJ                                                                                      | CUSIP: 313399C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31458 | PA      | $33068.27     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31410GRM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20966 | PA      | $23497.77     | 0.00%             | 2037-11-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Albemarle Corp.                                                    | Albemarle Corp.                                                                                                          | CUSIP: 012725AD9<br>LEI: HDBLS2Q6GV1LSKQPBS54 | Long             | DBT              | CORP              | US        |    150000 | PA      | $138944.25    | 0.01%             | 2044-12-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Technology in Housing Trust                              | Pagaya AI Technology in Housing Trust, Series 2022-1, Class A                                                            | CUSIP: 69547NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2667000 | PA      | $2500658.41   | 0.12%             | 2025-08-25      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                               | Charter Communications Operating LLC                                                                                     | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    528000 | PA      | $519520.02    | 0.02%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                             | UBS-Barclays Commercial Mortgage Trust, Series 2013-C6, Class A4                                                         | CUSIP: 90349GBF1<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |    857000 | PA      | $849698.53    | 0.04%             | 2046-04-10      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4796607 | PA      | $4585714.34   | 0.22%             | 2061-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust, Series 2005-8, Class APO                             | CUSIP: 1729734K2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51254 | PA      | $33235.92     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Baker Hughes Holdings LLC                                          | Baker Hughes Holdings LLC                                                                                                | CUSIP: 057224AZ0<br>LEI: 549300XU3XH6F05YEQ93 | Long             | DBT              | CORP              | US        |    300000 | PA      | $281009.18    | 0.01%             | 2040-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KFSY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1166289 | PA      | $1128571.61   | 0.05%             | 2049-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                     | Mariner Finance Issuance Trust, Series 2022-AA, Class C                                                                  | CUSIP: 56847QAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2033000 | PA      | $2030074.92   | 0.10%             | 2037-10-20      | Fixed         | 7.90%                 | Yes           |                  3 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2005-58, Class NI                                                                                           | CUSIP: 38374LM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    519268 | PA      | $70834.98     | 0.00%             | 2035-08-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8UK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2744930 | PA      | $2547236.44   | 0.12%             | 2030-02-01      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617YMMJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2467236 | PA      | $2204816.69   | 0.10%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1840000 | PA      | $1640690.63   | 0.08%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2367, Class ME                                                                                      | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57840 | PA      | $59909.51     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2744, Class PE                                                                                      | CUSIP: 31394PR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4415 | PA      | $4373.40      | 0.00%             | 2034-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-70, Class CO                                                                                    | CUSIP: 31396QYP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208857 | PA      | $176862.27    | 0.01%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-33, Class ID                                                                                    | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58183 | PA      | $7275.61      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mortgage Trust                           | Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2                                                      | CUSIP: 50184BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    998000 | PA      | $896035.44    | 0.04%             | 2036-02-15      | Fixed         | 3.99%                 | Yes           |                  2 | On Loan: No      |
| Royalty Pharma plc                                                 | Royalty Pharma plc                                                                                                       | CUSIP: 78081BAH6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |    353000 | PA      | $316408.16    | 0.01%             | 2025-09-02      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                         | RALI Trust, Series 2003-QS12, Class A2A                                                                                  | CUSIP: 76110HDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41 | PA      | $0.01         | 0.00%             | 2018-06-25      | Floating      | 4.01%                 | No            |                  3 | On Loan: No      |
| Prologis LP                                                        | Prologis LP                                                                                                              | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    380000 | PA      | $332249.41    | 0.02%             | 2029-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1440200.70   | 0.07%             | 2028-04-27      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                | U.S. Treasury 5 Year Note                                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       160 | NC      | $139687.81    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2710, Class HB                                                                                      | CUSIP: 31394MHQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18471 | PA      | $18390.65     | 0.00%             | 2023-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140H26Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    666356 | PA      | $661269.40    | 0.03%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2136, Class PG                                                                                      | CUSIP: 3133TKA26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30626 | PA      | $31210.67     | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1997-81, Class PI                                                                                    | CUSIP: 31359RLD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10387 | PA      | $651.95       | 0.00%             | 2027-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-48                                                                                              | CUSIP: 31396VD39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56612 | PA      | $47397.76     | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, Other                                                                                                  | CUSIP: 3132FYA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1636274 | PA      | $1627556.80   | 0.08%             | 2046-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 2003-2, Class Z                                                                            | CUSIP: 911760TM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1830910 | PA      | $1839139.55   | 0.09%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                              | Alexandria Real Estate Equities, Inc.                                                                                    | CUSIP: 015271AP4<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    135000 | PA      | $130444.62    | 0.01%             | 2026-04-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3261, Class OA                                                                                      | CUSIP: 31397EPT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97248 | PA      | $78722.32     | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eastern Gas Transmission & Storage, Inc.                           | Eastern Gas Transmission & Storage, Inc.                                                                                 | CUSIP: 276480AB6<br>LEI: H2VQBNB3NSKRM5QWBI71 | Long             | DBT              | CORP              | US        |    807000 | PA      | $560818.34    | 0.03%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Lowe's Cos., Inc.                                                  | Lowe's Cos., Inc.                                                                                                        | CUSIP: 548661EA1<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   2760000 | PA      | $2317357.93   | 0.11%             | 2031-04-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                           | Tricon Residential Trust, Series 2022-SFR1, Class D                                                                      | CUSIP: 89616QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1837000 | PA      | $1683869.33   | 0.08%             | 2039-04-17      | Fixed         | 4.75%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-147, Class SA                                                                                   | CUSIP: 31397QW95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    678433 | PA      | $80724.56     | 0.00%             | 2041-01-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3404, Class SC                                                                                      | CUSIP: 31397PTW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200436 | PA      | $15358.29     | 0.00%             | 2038-01-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| VOLT XCVII LLC                                                     | VOLT XCVII LLC, Series 2021-NPL6, Class A1                                                                               | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2934737 | PA      | $2617528.36   | 0.12%             | 2051-04-25      | Variable      | 2.24%                 | Yes           |                  2 | On Loan: No      |
| Athene Global Funding                                              | Athene Global Funding                                                                                                    | CUSIP: 04685A2U4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    865000 | PA      | $761904.49    | 0.04%             | 2026-01-08      | Fixed         | 1.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2396, Class FM                                                                                      | CUSIP: 31339LJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     71296 | PA      | $71036.36     | 0.00%             | 2031-12-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                 | Banco Santander SA                                                                                                       | CUSIP: 05964HAR6<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    800000 | PA      | $794930.11    | 0.04%             | 2025-08-18      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-28, Class PK                                                                                    | CUSIP: 31392CA46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123960 | PA      | $128873.67    | 0.01%             | 2032-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31406H3D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139880 | PA      | $141586.94    | 0.01%             | 2035-01-01      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                      | Comcast Corp.                                                                                                            | CUSIP: 20030NCZ2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    609000 | PA      | $453140.48    | 0.02%             | 2050-02-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L4HK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3335670 | PA      | $3223167.03   | 0.15%             | 2025-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Galaxy Pipeline Assets Bidco Ltd.                                  | Galaxy Pipeline Assets Bidco Ltd.                                                                                        | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |   1063183 | PA      | $847755.54    | 0.04%             | 2040-09-30      | Fixed         | 2.94%                 | Yes           |                  2 | On Loan: No      |
| NiSource, Inc.                                                     | NiSource, Inc.                                                                                                           | CUSIP: 65473QAZ6<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   1256000 | PA      | $1192033.23   | 0.06%             | 2042-02-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                | Bank of New York Mellon Corp. (The)                                                                                      | CUSIP: 06406FAC7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    254000 | PA      | $239584.63    | 0.01%             | 2026-05-04      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Kansas City Southern                                               | Kansas City Southern                                                                                                     | CUSIP: 485170BB9<br>LEI: 5493008C12PZMWP3WY03 | Long             | DBT              | CORP              | US        |   1712000 | PA      | $1512877.45   | 0.07%             | 2048-05-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280BX6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    939000 | PA      | $894551.57    | 0.04%             | 2026-09-12      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJE0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3685000 | PA      | $2570631.46   | 0.12%             | 2041-06-19      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280CV9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    815000 | PA      | $658635.17    | 0.03%             | 2029-08-17      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-71, Class HJ                                                                                    | CUSIP: 31398TDU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133117 | PA      | $136809.70    | 0.01%             | 2040-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                           | Mid-Atlantic Interstate Transmission LLC                                                                                 | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $297090.63    | 0.01%             | 2028-05-15      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3494 | PA      | $3576.34      | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                     | BNP Paribas SA                                                                                                           | CUSIP: 09659W2K9<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    765000 | PA      | $634305.63    | 0.03%             | 2031-01-13      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse AG                                                   | Credit Suisse AG                                                                                                         | CUSIP: 22550L2F7<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $952843.62    | 0.05%             | 2023-08-09      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-71, Class DS                                                                                    | CUSIP: 31393EKS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224028 | PA      | $197443.32    | 0.01%             | 2033-08-25      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| DuPont de Nemours, Inc.                                            | DuPont de Nemours, Inc.                                                                                                  | CUSIP: 26078JAE0<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    980000 | PA      | $951848.26    | 0.04%             | 2038-11-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| British Airways Pass-Through Trust                                 | British Airways Pass-Through Trust, Series 2018-1, Class AA                                                              | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    458678 | PA      | $414837.22    | 0.02%             | 2031-09-20      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| United Mexican States                                              | United Mexican States                                                                                                    | CUSIP: 91086QBF4<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2113000 | PA      | $1730018.75   | 0.08%             | 2046-01-23      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Citibank Credit Card Issuance Trust                                | Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3                                                            | CUSIP: 17305EDT9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-O            | CORP              | US        |    800000 | PA      | $881467.20    | 0.04%             | 2039-06-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 3132FCFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2159416 | PA      | $2079769.61   | 0.10%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-6, Class 2A9                               | CUSIP: 92922FY93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677444 | PA      | $564194.22    | 0.03%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-25, Class J                                                                                     | CUSIP: 31358TWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       536 | PA      | $535.43       | 0.00%             | 2023-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2900000 | PA      | $2549944.10   | 0.12%             | 2027-03-09      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    795000 | PA      | $695567.19    | 0.03%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series G93-5, Class Z                                                                                       | CUSIP: 31358TPN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        66 | PA      | $66.21        | 0.00%             | 2023-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1671, Class QC                                                                                      | CUSIP: 3133T36V5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3016 | PA      | $3066.44      | 0.00%             | 2024-02-15      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Nordstrom, Inc.                                                    | Nordstrom, Inc.                                                                                                          | CUSIP: 655664AY6<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |   1243000 | PA      | $965239.22    | 0.05%             | 2031-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                           | Cooperatieve Rabobank UA                                                                                                 | CUSIP: 21684AAF3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    945000 | PA      | $887073.55    | 0.04%             | 2026-07-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                           | Cox Communications, Inc.                                                                                                 | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    635000 | PA      | $389045.44    | 0.02%             | 2050-10-01      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| Shire Acquisitions Investments Ireland DAC                         | Shire Acquisitions Investments Ireland DAC                                                                               | CUSIP: 82481LAD1<br>LEI: 549300XK5HGW68R8K327 | Long             | DBT              | CORP              | IE        |   1713000 | PA      | $1614021.87   | 0.08%             | 2026-09-23      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8800000 | PA      | $5435375.00   | 0.26%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                    | CoreVest American Finance Trust, Series 2019-2, Class D                                                                  | CUSIP: 21872GAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1695062.00   | 0.08%             | 2052-06-15      | Fixed         | 4.22%                 | Yes           |                  3 | On Loan: No      |
| RALI Trust                                                         | RALI Trust, Series 2002-QS16, Class A3                                                                                   | CUSIP: 76110GW49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       362 | PA      | $373.15       | 0.00%             | 2017-10-25      | Floating      | 8.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1760, Class ZD                                                                                      | CUSIP: 3133T5X32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15603 | PA      | $15497.96     | 0.00%             | 2024-02-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-1, Class BI                                                                                     | CUSIP: 31396YCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168436 | PA      | $13020.19     | 0.00%             | 2038-02-25      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                    | Jefferies Financial Group, Inc.                                                                                          | CUSIP: 472319AE2<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |    749000 | PA      | $769037.57    | 0.04%             | 2027-06-08      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                | Public Service Electric and Gas Co.                                                                                      | CUSIP: 74456QAU0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |    317000 | PA      | $308721.97    | 0.01%             | 2039-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2596, Class QG                                                                                      | CUSIP: 31393NXU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104160 | PA      | $104713.98    | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2011-22, Class WA                                                                                           | CUSIP: 38377QRC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    258596 | PA      | $266672.73    | 0.01%             | 2037-02-20      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch Cos. LLC                                            | Anheuser-Busch Cos. LLC                                                                                                  | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2583000 | PA      | $2478374.76   | 0.12%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2353, Class AZ                                                                                      | CUSIP: 3133TUYS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165878 | PA      | $167547.40    | 0.01%             | 2031-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 3A                                           | CUSIP: 31393LFM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    242025 | PA      | $250244.95    | 0.01%             | 2043-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                | Citigroup Mortgage Loan Trust, Inc., Series 2005-1, Class 2A1A                                                           | CUSIP: 17307GPS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    145528 | PA      | $112219.04    | 0.01%             | 2035-02-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| Goodgreen                                                          | Goodgreen, Series 2019-2A, Class A                                                                                       | CUSIP: 38218EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   1406244 | PA      | $1210356.01   | 0.06%             | 2055-04-15      | Fixed         | 2.76%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-27, Class SA                                                                                    | CUSIP: 31358TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $52.33        | 0.00%             | 2023-02-25      | Floating      | 15.50%                | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                       | Avolon Holdings Funding Ltd.                                                                                             | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    820000 | PA      | $745388.59    | 0.04%             | 2026-05-01      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2005-4F, Class AP                                                                        | CUSIP: 36242DY56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2 | PA      | $2.03         | 0.00%             | 2035-05-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ecopetrol SA                                                       | Ecopetrol SA                                                                                                             | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |    533000 | PA      | $500220.50    | 0.02%             | 2025-01-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| RBS Commercial Funding, Inc. Trust                                 | RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A                                                             | CUSIP: 74932BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    664000 | PA      | $657205.09    | 0.03%             | 2031-03-11      | Fixed         | 3.26%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 31349UB56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56994 | PA      | $58035.37     | 0.00%             | 2036-11-01      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9601242 | PA      | $9169443.68   | 0.43%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                            | GSR Mortgage Loan Trust, Series 2006-1F, Class 2A4                                                                       | CUSIP: 3623417C7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697371 | PA      | $362791.93    | 0.02%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-22, Class UD                                                                                    | CUSIP: 31393ANT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    611061 | PA      | $593501.70    | 0.03%             | 2033-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Express Co.                                               | American Express Co.                                                                                                     | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1526309.23   | 0.07%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Macquarie Bank Ltd.                                                | Macquarie Bank Ltd.                                                                                                      | CUSIP: 556079AD3<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    575000 | PA      | $413837.05    | 0.02%             | 2036-03-03      | Variable      | 3.05%                 | Yes           |                  2 | On Loan: No      |
| Broadcom, Inc.                                                     | Broadcom, Inc.                                                                                                           | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1413000 | PA      | $1047144.87   | 0.05%             | 2035-11-15      | Fixed         | 3.14%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-44, Class GO                                                                                    | CUSIP: 31395NBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    191341 | PA      | $161662.86    | 0.01%             | 2036-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                              | Bank of America Corp.                                                                                                    | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1246126.87   | 0.06%             | 2031-04-29      | Variable      | 2.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2552, Class ME                                                                                      | CUSIP: 31393HXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    178217 | PA      | $184574.49    | 0.01%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L92X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $7216189.52   | 0.34%             | 2030-05-01      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| San Diego Gas & Electric Co.                                       | San Diego Gas & Electric Co.                                                                                             | CUSIP: 797440BP8<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    379000 | PA      | $301399.01    | 0.01%             | 2041-11-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                   | Deutsche Bank AG                                                                                                         | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    780000 | PA      | $682679.12    | 0.03%             | 2026-11-24      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                    | CHL Mortgage Pass-Through Trust, Series 2004-8, Class 2A1                                                                | CUSIP: 12669FZW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2334 | PA      | $1398.74      | 0.00%             | 2019-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L5RM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1607029 | PA      | $1580030.36   | 0.07%             | 2025-12-01      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Arrow Electronics, Inc.                                            | Arrow Electronics, Inc.                                                                                                  | CUSIP: 042735BG4<br>LEI: 549300YNNLBXT8N8R512 | Long             | DBT              | CORP              | US        |    219000 | PA      | $210366.40    | 0.01%             | 2024-09-08      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-53, Class CI                                                                                    | CUSIP: 31397LC23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111265 | PA      | $10405.28     | 0.00%             | 2038-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                                        | Eaton Corp.                                                                                                              | CUSIP: 278062AD6<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    170000 | PA      | $157549.58    | 0.01%             | 2032-11-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Coterra Energy, Inc.                                               | Coterra Energy, Inc.                                                                                                     | CUSIP: 127097AE3<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    935000 | PA      | $882279.43    | 0.04%             | 2027-05-15      | Fixed         | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                         | Corebridge Financial, Inc.                                                                                               | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    770000 | PA      | $720762.98    | 0.03%             | 2027-04-05      | Fixed         | 3.65%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L5EA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1413096 | PA      | $1391647.52   | 0.07%             | 2023-11-01      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                    | Air Lease Corp.                                                                                                          | CUSIP: 00914AAE2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2080000 | PA      | $1762138.29   | 0.08%             | 2029-10-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-34, Class ED                                                                                    | CUSIP: 31393CDP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518609 | PA      | $534681.12    | 0.03%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse ABS Trust                                            | Credit Suisse ABS Trust, Series 2020-AT1, Class A                                                                        | CUSIP: 22551XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1036901 | PA      | $983904.55    | 0.05%             | 2026-10-15      | Fixed         | 2.61%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-79, Class OK                                                                                           | CUSIP: 38376CXX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75189 | PA      | $63181.08     | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3194, Class SA                                                                                      | CUSIP: 31396UD64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20149 | PA      | $2094.73      | 0.00%             | 2036-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 351, Class 7                                                                                        | CUSIP: 3136FCHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105956 | PA      | $13720.97     | 0.00%             | 2034-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                      | Equinix, Inc.                                                                                                            | CUSIP: 29444UBD7<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1032852.86   | 0.05%             | 2026-11-18      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2224, Class CB                                                                                      | CUSIP: 3133TNK45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12467 | PA      | $13330.05     | 0.00%             | 2030-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-6, Class SA                                                                                            | CUSIP: 38375Y5V0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143045 | PA      | $1205.85      | 0.00%             | 2039-02-16      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Bridge Trust                                                       | Bridge Trust, Series 2022-SFR1, Class A                                                                                  | CUSIP: 10805VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2743299.21   | 0.13%             | 2037-11-17      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                               | Cheniere Corpus Christi Holdings LLC                                                                                     | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1497055.12   | 0.07%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202EWE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    384990 | PA      | $408302.11    | 0.02%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eaton Corp.                                                        | Eaton Corp.                                                                                                              | CUSIP: 278058AP7<br>LEI: 0NZWDMRCE180888QQE14 | Long             | DBT              | CORP              | US        |    300000 | PA      | $311080.69    | 0.01%             | 2024-04-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-44, Class P                                                                                     | CUSIP: 31395NBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484975 | PA      | $404247.96    | 0.02%             | 2033-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-64, Class SX                                                                                    | CUSIP: 31393DJU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22850 | PA      | $21033.75     | 0.00%             | 2033-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31391REW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10095 | PA      | $10339.93     | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-33, Class TI                                                                                           | CUSIP: 38374UJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73397 | PA      | $10871.78     | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                               | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                            | CUSIP: 023771R91<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    159596 | PA      | $140794.95    | 0.01%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LEUY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9000000 | PA      | $7383808.53   | 0.35%             | 2033-12-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Mylan, Inc.                                                        | Mylan, Inc.                                                                                                              | CUSIP: 628530BC0<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    520000 | PA      | $417324.40    | 0.02%             | 2043-11-29      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Physicians Realty LP                                               | Physicians Realty LP                                                                                                     | CUSIP: 71951QAC6<br>LEI: 549300P6Q1UMT0X60U20 | Long             | DBT              | CORP              | US        |    505000 | PA      | $396978.81    | 0.02%             | 2031-11-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Quest Diagnostics, Inc.                                            | Quest Diagnostics, Inc.                                                                                                  | CUSIP: 74834LAZ3<br>LEI: 8MCWUBXQ0WE04KMXBX50 | Long             | DBT              | CORP              | US        |    150000 | PA      | $143356.42    | 0.01%             | 2026-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                | Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                                             | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2674952 | PA      | $2404920.25   | 0.11%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CQX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1223 | PA      | $1251.19      | 0.00%             | 2026-08-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1541, Class M                                                                                       | CUSIP: 3133T0BV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       490 | PA      | $485.80       | 0.00%             | 2023-07-15      | Floating      | 23.42%                | No            |                  2 | On Loan: No      |
| Duke Energy Carolinas LLC                                          | Duke Energy Carolinas LLC                                                                                                | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    129000 | PA      | $112500.72    | 0.01%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                                              | Saudi Arabian Oil Co.                                                                                                    | CUSIP: 80414L2H7<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |    278000 | PA      | $253675.00    | 0.01%             | 2025-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Cigna Corp.                                                        | Cigna Corp.                                                                                                              | CUSIP: 125523BZ2<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298682.55    | 0.01%             | 2026-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                 | Tricolor Auto Securitization Trust, Series 2020-1A, Class A                                                              | CUSIP: 89615AAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38073 | PA      | $38021.55     | 0.00%             | 2026-11-15      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                | Seasoned Credit Risk Transfer Trust, Series 2022-1, Class MTU                                                            | CUSIP: 35563P7E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3457211 | PA      | $3052035.88   | 0.14%             | 2061-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4601567 | PA      | $4005166.89   | 0.19%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| nVent Finance SARL                                                 | nVent Finance SARL                                                                                                       | CUSIP: 67078AAD5<br>LEI: 549300KO1OQ4MVFB6X02 | Long             | DBT              | CORP              | LU        |    450000 | PA      | $416322.54    | 0.02%             | 2028-04-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L8AZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3252050 | PA      | $3100267.35   | 0.15%             | 2026-12-01      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-25, Class SE                                                                                           | CUSIP: 38374XSE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99716 | PA      | $5177.62      | 0.00%             | 2038-09-20      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| Southern California Gas Co.                                        | Southern California Gas Co.                                                                                              | CUSIP: 842434CX8<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |   1370000 | PA      | $1547824.03   | 0.07%             | 2052-11-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                                    | Impac CMB Trust, Series 2004-7, Class 1A1                                                                                | CUSIP: 45254NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328289 | PA      | $318575.41    | 0.02%             | 2034-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2006-26CB, Class A9                                                                       | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    874598 | PA      | $497989.47    | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1173600 | PA      | $970649.72    | 0.05%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2325, Class PM                                                                                      | CUSIP: 3133TU3J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29095 | PA      | $30799.35     | 0.00%             | 2031-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-90                                                                                                     | CUSIP: 38374CUL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19655 | PA      | $19434.68     | 0.00%             | 2033-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Home Depot, Inc. (The)                                             | Home Depot, Inc. (The)                                                                                                   | CUSIP: 437076CS9<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1787407.13   | 0.08%             | 2032-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3549, Class FA                                                                                      | CUSIP: 31398EP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9772 | PA      | $9766.66      | 0.00%             | 2039-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617VUD53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2617269 | PA      | $2712149.21   | 0.13%             | 2071-08-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Gray Oak Pipeline LLC                                              | Gray Oak Pipeline LLC                                                                                                    | CUSIP: 38937LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    535000 | PA      | $519944.05    | 0.02%             | 2023-09-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1998-1, Class 2E                                                                           | CUSIP: 911760LH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    199886 | PA      | $201608.53    | 0.01%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31403QVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59602 | PA      | $60786.34     | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                     | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-4, Class 3A18                                                | CUSIP: 225458QQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    485891 | PA      | $462077.17    | 0.02%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2040, Class PE                                                                                      | CUSIP: 3133TD3W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36676 | PA      | $38163.45     | 0.00%             | 2028-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                    | Air Lease Corp.                                                                                                          | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    710000 | PA      | $705185.62    | 0.03%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| AutoZone, Inc.                                                     | AutoZone, Inc.                                                                                                           | CUSIP: 053332BA9<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |    690000 | PA      | $535304.26    | 0.03%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Advocate Health & Hospitals Corp.                                  | Advocate Health & Hospitals Corp., Series 2020                                                                           | CUSIP: 007589AD6<br>LEI: 549300AEHU3PPOUCIL87 | Long             | DBT              | CORP              | US        |    710000 | PA      | $587127.68    | 0.03%             | 2030-06-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| Lennar Corp.                                                       | Lennar Corp.                                                                                                             | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |    365000 | PA      | $359714.71    | 0.02%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31401A3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59255 | PA      | $61769.42     | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                 | Credit Agricole SA                                                                                                       | CUSIP: 22535WAG2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    500000 | PA      | $453085.50    | 0.02%             | 2026-06-16      | Variable      | 1.91%                 | Yes           |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2004-1, Class 30PO                                                              | CUSIP: 55265K6X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7426 | PA      | $5018.31      | 0.00%             | 2034-02-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2462, Class JG                                                                                      | CUSIP: 31392MQP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     74064 | PA      | $77340.59     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                  | Wells Fargo & Co.                                                                                                        | CUSIP: 94974BGT1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $244264.70    | 0.01%             | 2046-06-14      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2169, Class TB                                                                                      | CUSIP: 3133TL5G9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95597 | PA      | $99394.77     | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Exxon Mobil Corp.                                                  | Exxon Mobil Corp.                                                                                                        | CUSIP: 30231GAN2<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $990512.93    | 0.05%             | 2045-03-06      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3171, Class MO                                                                                      | CUSIP: 31396TUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19766 | PA      | $17610.08     | 0.00%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-28, Class BO                                                                                           | CUSIP: 38375J8N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50520 | PA      | $43087.31     | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2003-12, Class SP                                                                                           | CUSIP: 38373SNF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75485 | PA      | $1685.23      | 0.00%             | 2033-02-20      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31410DVM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13963 | PA      | $14027.44     | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2012-H31, Class FD                                                                                          | CUSIP: 38375BD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    644874 | PA      | $636454.79    | 0.03%             | 2062-12-20      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA                                                                                                                     | CUSIP: 31405YX48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70436 | PA      | $69232.15     | 0.00%             | 2034-10-01      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA Trust, Whole Loan, Series 2004-W2, Class 2A2                                                                        | CUSIP: 31393XGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122176 | PA      | $127912.99    | 0.01%             | 2044-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36209UJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         0 | PA      | $0.08         | 0.00%             | 2028-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2011-75, Class SM                                                                                           | CUSIP: 38377WFA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424587 | PA      | $27035.97     | 0.00%             | 2041-05-20      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                               | American Tower Corp.                                                                                                     | CUSIP: 03027XBK5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    324000 | PA      | $208011.39    | 0.01%             | 2051-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQEA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    701071 | PA      | $726675.32    | 0.03%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSX Corp.                                                          | CSX Corp.                                                                                                                | CUSIP: 126408HN6<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    600000 | PA      | $548983.33    | 0.03%             | 2048-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2021-SFR1, Class D                                                                          | CUSIP: 33767WAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $3313157.20   | 0.16%             | 2038-08-17      | Fixed         | 2.19%                 | Yes           |                  3 | On Loan: No      |
| Fn  jun31                                                          | Fn  jun31                                                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $5131400.37   | 0.24%             | 2031-06-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                         | RALI Trust, Series 2003-QS12, Class A5                                                                                   | CUSIP: 76110HDW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13 | PA      | $0.00         | 0.00%             | 2018-06-25      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    375000 | PA      | $342266.22    | 0.02%             | 2042-09-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138EPR30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1773004 | PA      | $1734758.04   | 0.08%             | 2026-01-01      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $8952734.40   | 0.42%             | 2025-12-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2412, Class SP                                                                                      | CUSIP: 31339DW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56645 | PA      | $58833.25     | 0.00%             | 2032-02-15      | Floating      | 8.35%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1518, Class G                                                                                       | CUSIP: 312915YY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1085 | PA      | $1076.18      | 0.00%             | 2023-05-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                              | Athene Global Funding                                                                                                    | CUSIP: 04685A2L4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    239000 | PA      | $224225.39    | 0.01%             | 2025-01-14      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3134                                                                                                | CUSIP: 31396J5T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26337 | PA      | $22741.23     | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-10, Class XI                                                                                    | CUSIP: 31396YKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149523 | PA      | $11068.23     | 0.00%             | 2038-03-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, STRIPS, Series 374, Class 5                                                                                        | CUSIP: 3136FCZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76103 | PA      | $14308.78     | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2004-90, Class SI                                                                                           | CUSIP: 38374JXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    340762 | PA      | $17684.96     | 0.00%             | 2034-10-20      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2018-M10, Class A2                                                                                     | CUSIP: 3136B2HA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3335000 | PA      | $3168756.92   | 0.15%             | 2028-07-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| CFIN Issuer LLC                                                    | CFIN Issuer LLC, Series 2022-RTL1, Class AA                                                                              | CUSIP: 12531CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4200000 | PA      | $4011000.00   | 0.19%             | 2026-02-16      | Fixed         | 3.25%                 | Yes           |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2010-64, Class DM                                                                                    | CUSIP: 31398RM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86426 | PA      | $86863.48     | 0.00%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREED ABS Trust                                                    | FREED ABS Trust, Series 2022-3FP, Class B                                                                                | CUSIP: 35634EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3585000 | PA      | $3525030.84   | 0.17%             | 2029-08-20      | Fixed         | 5.79%                 | Yes           |                  3 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3064, Class MC                                                                                      | CUSIP: 31396ER57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3094883 | PA      | $3139712.07   | 0.15%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2313, Class LA                                                                                      | CUSIP: 3133TTK67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19125 | PA      | $19731.68     | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617XW7K1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1413591 | PA      | $1263240.74   | 0.06%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3850000 | PA      | $3418679.69   | 0.16%             | 2029-01-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2015-M10, Class A2                                                                                     | CUSIP: 3136AN6U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6010302 | PA      | $5715065.45   | 0.27%             | 2027-04-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1505, Class Q                                                                                       | CUSIP: 312915ZZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $532.02       | 0.00%             | 2023-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1996-1, Class 1Z                                                                           | CUSIP: 92260MAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    103778 | PA      | $105986.69    | 0.01%             | 2026-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N4C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2095564 | PA      | $2087478.60   | 0.10%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3233, Class OP                                                                                      | CUSIP: 31397BYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34891 | PA      | $29489.28     | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Emera US Finance LP                                                | Emera US Finance LP                                                                                                      | CUSIP: 29103DAM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    700000 | PA      | $554377.78    | 0.03%             | 2046-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CPT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1804 | PA      | $1835.26      | 0.00%             | 2026-06-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-72, Class SX                                                                                    | CUSIP: 31392BJG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3818 | PA      | $3902.18      | 0.00%             | 2031-12-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-40, Class SB                                                                                           | CUSIP: 38375KA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    447100 | PA      | $24997.88     | 0.00%             | 2037-07-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.               | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-1, Class DB1                                           | CUSIP: 2254W0GJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    184815 | PA      | $177619.93    | 0.01%             | 2033-02-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Bunge Ltd. Finance Corp.                                           | Bunge Ltd. Finance Corp.                                                                                                 | CUSIP: 120568BC3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |   1565000 | PA      | $1299355.29   | 0.06%             | 2031-05-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138LJZP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3050000 | PA      | $2738928.58   | 0.13%             | 2032-07-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617K1Y72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1753181 | PA      | $1705741.16   | 0.08%             | 2049-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202C5G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1079 | PA      | $1077.89      | 0.00%             | 2028-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Workday, Inc.                                                      | Workday, Inc.                                                                                                            | CUSIP: 98138HAG6<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |   1179000 | PA      | $1114578.14   | 0.05%             | 2027-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-17, Class JO                                                                                           | CUSIP: 38375JTE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48909 | PA      | $40350.40     | 0.00%             | 2037-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2002-48, Class GH                                                                                    | CUSIP: 31392DS45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    186426 | PA      | $195487.16    | 0.01%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                   | Boeing Co. (The)                                                                                                         | CUSIP: 097023CH6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    320000 | PA      | $298326.03    | 0.01%             | 2026-05-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Devon Energy Corp.                                                 | Devon Energy Corp.                                                                                                       | CUSIP: 25179MBC6<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |    790000 | PA      | $790855.74    | 0.04%             | 2024-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2484, Class LZ                                                                                      | CUSIP: 31392R3H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81031 | PA      | $83639.78     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                     | 7-Eleven, Inc.                                                                                                           | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    565000 | PA      | $472883.67    | 0.02%             | 2028-02-10      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140K22K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2017694 | PA      | $1808814.78   | 0.09%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                   | Burlington Northern Santa Fe LLC                                                                                         | CUSIP: 12189LAP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    769000 | PA      | $771521.66    | 0.04%             | 2043-09-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                       | Barclays plc                                                                                                             | CUSIP: 06738EBQ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1452000 | PA      | $1373067.28   | 0.06%             | 2024-12-10      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617KQD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    887259 | PA      | $910550.01    | 0.04%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                       | MASTR Alternative Loan Trust, Series 2003-3, Class 1A1                                                                   | CUSIP: 576434DT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81587 | PA      | $80892.26     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered plc                                             | Standard Chartered plc                                                                                                   | CUSIP: 853254BK5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $176941.79    | 0.01%             | 2033-03-15      | Variable      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    690000 | PA      | $582973.68    | 0.03%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-8, Class 30PO                                                                 | CUSIP: 05946X3C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34233 | PA      | $21987.52     | 0.00%             | 2036-01-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13193300 | PA      | $9581118.79   | 0.45%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2000-52                                                                                              | CUSIP: 31358SU66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7093 | PA      | $967.84       | 0.00%             | 2031-01-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                | Thornburg Mortgage Securities Trust, Series 2003-4, Class A1                                                             | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75504 | PA      | $70038.52     | 0.00%             | 2043-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2005-84, Class XM                                                                                    | CUSIP: 31394FN50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580329 | PA      | $587077.19    | 0.03%             | 2035-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3138                                                                                                | CUSIP: 31396N7B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118553 | PA      | $98980.83     | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31418A3V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1411048 | PA      | $1400468.77   | 0.07%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Telekom AG                                                | Deutsche Telekom AG                                                                                                      | CUSIP: 251566AA3<br>LEI: 549300V9QSIG4WX4GJ96 | Long             | DBT              | CORP              | DE        |    335000 | PA      | $244025.88    | 0.01%             | 2050-01-21      | Fixed         | 3.62%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2005-7, Class 30PO                                                                 | CUSIP: 05946XV83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75087 | PA      | $67622.89     | 0.00%             | 2035-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Co.                                              | Saudi Arabian Oil Co.                                                                                                    | CUSIP: 80414L2G9<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $192000.00    | 0.01%             | 2023-11-24      | Fixed         | 1.25%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                    | Goldman Sachs Group, Inc. (The)                                                                                          | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1260000 | PA      | $1124092.70   | 0.05%             | 2028-02-24      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| City of Los Angeles Department of Airports                         | City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer, Series 2009C | CUSIP: 544435C32<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    420000 | PA      | $464617.36    | 0.02%             | 2039-05-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                  | HF Sinclair Corp.                                                                                                        | CUSIP: 403949AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    577000 | PA      | $580642.17    | 0.03%             | 2026-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31406UL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42473 | PA      | $43799.26     | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Group Ltd.                                               | Macquarie Group Ltd.                                                                                                     | CUSIP: 55608JBL1<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   1600000 | PA      | $1609266.30   | 0.08%             | 2024-11-22      | Fixed         | 6.21%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4690000 | PA      | $3978439.06   | 0.19%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202CLW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       436 | PA      | $442.36       | 0.00%             | 2025-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                              | Westpac Banking Corp.                                                                                                    | CUSIP: 961214EY5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    882000 | PA      | $574228.60    | 0.03%             | 2041-11-18      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                                  | Credit Acceptance Auto Loan Trust, Series 2021-2A, Class C                                                               | CUSIP: 22537CAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7280000 | PA      | $6532370.94   | 0.31%             | 2030-06-17      | Fixed         | 1.64%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-72, Class IE                                                                                    | CUSIP: 31393DXG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187232 | PA      | $29492.42     | 0.00%             | 2033-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  21115000 | PA      | $21057263.57  | 1.00%             | 2040-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                | Teachers Insurance & Annuity Association of America                                                                      | CUSIP: 878091BF3<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |    400000 | PA      | $337000.92    | 0.02%             | 2047-05-15      | Fixed         | 4.27%                 | Yes           |                  2 | On Loan: No      |
| SITE Centers Corp.                                                 | SITE Centers Corp.                                                                                                       | CUSIP: 23317HAF9<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    330000 | PA      | $310172.94    | 0.01%             | 2027-06-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-H03, Class FA                                                                                          | CUSIP: 38375BF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       577 | PA      | $567.63       | 0.00%             | 2060-08-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-1CB, Class 1A6                                                                       | CUSIP: 12667F2M6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    376416 | PA      | $25934.44     | 0.00%             | 2035-03-25      | Floating      | 3.06%                 | No            |                  3 | On Loan: No      |
| Assurant, Inc.                                                     | Assurant, Inc.                                                                                                           | CUSIP: 04621XAH1<br>LEI: H3F39CAXWQRVWURFXL38 | Long             | DBT              | CORP              | US        |    496000 | PA      | $490778.91    | 0.02%             | 2023-09-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3511, Class SA                                                                                      | CUSIP: 31397YVF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151617 | PA      | $8556.30      | 0.00%             | 2039-02-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                         | Aviation Capital Group LLC                                                                                               | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    490000 | PA      | $484193.06    | 0.02%             | 2023-05-01      | Fixed         | 3.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3138EGBP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    170103 | PA      | $177270.79    | 0.01%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 233, Class 13                                                                                      | CUSIP: 31282YDY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270067 | PA      | $54461.10     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-41, Class 3A                                           | CUSIP: 31392MEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    213018 | PA      | $205617.77    | 0.01%             | 2032-07-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617LNSC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3514977 | PA      | $3176933.08   | 0.15%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nevada Power Co.                                                   | Nevada Power Co., Series N                                                                                               | CUSIP: 641423BP2<br>LEI: MJZFGXRJ52U8U4MKJ519 | Long             | DBT              | CORP              | US        |    100000 | PA      | $110076.36    | 0.01%             | 2036-04-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: No      |
| WRKCo, Inc.                                                        | WRKCo, Inc.                                                                                                              | CUSIP: 92940PAE4<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |    170000 | PA      | $156560.81    | 0.01%             | 2028-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Nutrien Ltd.                                                       | Nutrien Ltd.                                                                                                             | CUSIP: 67077MAZ1<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   1892000 | PA      | $1913852.03   | 0.09%             | 2024-11-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, STRIPS, Series 233, Class 11                                                                                      | CUSIP: 31282YDW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    185213 | PA      | $38008.48     | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                        | Aker BP ASA                                                                                                              | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    497000 | PA      | $437561.76    | 0.02%             | 2026-07-15      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CRH America, Inc.                                                  | CRH America, Inc.                                                                                                        | CUSIP: 12626PAN3<br>LEI: 549300RN11MJ182CNF63 | Long             | DBT              | CORP              | US        |    893000 | PA      | $809717.78    | 0.04%             | 2045-05-18      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31287UNA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15351 | PA      | $15662.65     | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    980000 | PA      | $683703.13    | 0.03%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp.                                                 | Atmos Energy Corp.                                                                                                       | CUSIP: 049560AL9<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    828000 | PA      | $702111.41    | 0.03%             | 2043-01-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2020-M50, Class A2                                                                                     | CUSIP: 3136BCGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1325000 | PA      | $1143654.27   | 0.05%             | 2030-10-25      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                            | Kingdom of Saudi Arabia                                                                                                  | CUSIP: 80413TAV1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    622000 | PA      | $501487.50    | 0.02%             | 2033-02-02      | Fixed         | 2.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 3617FGMN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1885552 | PA      | $1889649.54   | 0.09%             | 2052-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FMR LLC                                                            | FMR LLC                                                                                                                  | CUSIP: 30251BAB4<br>LEI: 6X064LF7Y6B4DKF2GZ26 | Long             | DBT              | CORP              | US        |    500000 | PA      | $523093.15    | 0.02%             | 2039-11-15      | Fixed         | 6.45%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31371HDQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9114 | PA      | $9318.64      | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                               | Glencore Funding LLC                                                                                                     | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    454000 | PA      | $450764.86    | 0.02%             | 2023-05-30      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                                   | SLG Office Trust, Series 2021-OVA, Class A                                                                               | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3935000 | PA      | $3173868.30   | 0.15%             | 2041-07-15      | Fixed         | 2.59%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 31402HGD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155053 | PA      | $159440.97    | 0.01%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC                                         | AerCap Ireland Capital DAC                                                                                               | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    655000 | PA      | $522015.14    | 0.02%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                    | Danske Bank A/S                                                                                                          | CUSIP: 23636AAY7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2110000 | PA      | $2108569.74   | 0.10%             | 2023-12-08      | Variable      | 1.17%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXQS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2975068 | PA      | $2750603.53   | 0.13%             | 2060-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140QDEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5038086 | PA      | $4517523.57   | 0.21%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Academic Loan Funding Trust                                        | Academic Loan Funding Trust, Series 2013-1A, Class A                                                                     | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610557 | PA      | $586493.58    | 0.03%             | 2044-12-26      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LGRH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2000000 | PA      | $1857659.30   | 0.09%             | 2032-09-01      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey                            | Port Authority of New York and New Jersey, Consolidated, Series 165                                                      | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    440000 | PA      | $471377.54    | 0.02%             | 2040-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| UDR, Inc.                                                          | UDR, Inc.                                                                                                                | CUSIP: 90265EAT7<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    640000 | PA      | $475269.68    | 0.02%             | 2032-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                             | Merrill Lynch Mortgage Investors Trust, Series 2003-F, Class A1                                                          | CUSIP: 5899292M9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    286748 | PA      | $265503.92    | 0.01%             | 2028-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                         | AT&T, Inc.                                                                                                               | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2340000 | PA      | $2106010.53   | 0.10%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4823315 | PA      | $4248381.95   | 0.20%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Grantor Trust, Whole Loan, Series 2002-T19, Class A2                                                               | CUSIP: 31392GVR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412807 | PA      | $436595.19    | 0.02%             | 2042-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| HERO Funding                                                       | HERO Funding, Series 2017-3A, Class A2                                                                                   | CUSIP: 42771AAB2<br>LEI: 549300Z5C0ID42MSJA91 | Long             | ABS-O            | CORP              | KY        |    802063 | PA      | $740364.19    | 0.03%             | 2048-09-20      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                               | Entergy Arkansas LLC                                                                                                     | CUSIP: 29366MAB4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    415000 | PA      | $258263.26    | 0.01%             | 2051-06-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                     | Commonwealth Bank of Australia                                                                                           | CUSIP: 202712BQ7<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    525000 | PA      | $357231.09    | 0.02%             | 2041-03-11      | Fixed         | 3.31%                 | Yes           |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                              | OneMain Direct Auto Receivables Trust, Series 2019-1A, Class B                                                           | CUSIP: 68267EAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3880000 | PA      | $3612878.68   | 0.17%             | 2028-11-14      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                            | BPCE SA                                                                                                                  | CUSIP: 05578AAP3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   2205000 | PA      | $1936742.17   | 0.09%             | 2026-01-20      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1040000 | PA      | $856131.24    | 0.04%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Camillo Issuer LLC                                                 | Camillo Issuer LLC, Class 1-A-1                                                                                          | CUSIP: 133715AA0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   4676267 | PA      | $4636518.38   | 0.22%             | 2023-12-05      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2011-130, Class CA                                                                                   | CUSIP: 3136A2B85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434318 | PA      | $449300.61    | 0.02%             | 2041-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PG&E Recovery Funding LLC                                          | PG&E Recovery Funding LLC, Series A-3                                                                                    | CUSIP: 71710TAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1360000 | PA      | $1372412.87   | 0.06%             | 2047-07-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                | Brown & Brown, Inc.                                                                                                      | CUSIP: 115236AC5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1407425.92   | 0.07%             | 2031-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1865, Class D                                                                                       | CUSIP: 3133T7HX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8303 | PA      | $8117.57      | 0.00%             | 2024-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                                           | Duke Energy Progress LLC                                                                                                 | CUSIP: 144141DD7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    125000 | PA      | $105626.99    | 0.00%             | 2043-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                   | MASTR Asset Securitization Trust, Series 2004-6, Class 15PO                                                              | CUSIP: 57643MDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127 | PA      | $126.05       | 0.00%             | 2019-07-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Ventas Realty LP                                                   | Ventas Realty LP                                                                                                         | CUSIP: 92277GAL1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    554000 | PA      | $521731.58    | 0.02%             | 2027-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128NHY72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51597 | PA      | $51869.93     | 0.00%             | 2036-12-01      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Baltimore Gas and Electric Co.                                     | Baltimore Gas and Electric Co.                                                                                           | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    450000 | PA      | $302730.21    | 0.01%             | 2050-06-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1999-18, Class Z                                                                                     | CUSIP: 31359VRN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15047 | PA      | $15030.01     | 0.00%             | 2029-04-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2001-35, Class SA                                                                                           | CUSIP: 38373RTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49300 | PA      | $17.34        | 0.00%             | 2031-08-16      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Santander UK Group Holdings plc                                    | Santander UK Group Holdings plc                                                                                          | CUSIP: 80281LAQ8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    930000 | PA      | $788774.05    | 0.04%             | 2027-06-14      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Notes                                                                                                      | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7950000 | PA      | $7574859.38   | 0.36%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA UMBS, 30 Year                                                                                                       | CUSIP: 3140N1PJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2840505 | PA      | $2829545.10   | 0.13%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2990, Class UZ                                                                                      | CUSIP: 31395V4P1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1028350 | PA      | $1048302.22   | 0.05%             | 2035-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes Trust                                               | FirstKey Homes Trust, Series 2022-SFR2, Class E1                                                                         | CUSIP: 33767PAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3700000 | PA      | $3109943.24   | 0.15%             | 2039-07-17      | Fixed         | 4.50%                 | Yes           |                  3 | On Loan: No      |
| Vendee Mortgage Trust                                              | Vendee Mortgage Trust, Series 1994-1, Class 1                                                                            | CUSIP: 911760DD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20189 | PA      | $20005.99     | 0.00%             | 2024-02-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| ACC                                                                | ACC                                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3820482 | PA      | $3801379.39   | 0.18%             | 2022-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1993-205, Class H                                                                                    | CUSIP: 31359EK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       767 | PA      | $756.02       | 0.00%             | 2023-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                             | Alternative Loan Trust, Series 2005-64CB, Class 1A9                                                                      | CUSIP: 12668AZU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    321182 | PA      | $279267.66    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United Airlines Pass-Through Trust                                 | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                              | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1162265 | PA      | $943925.78    | 0.04%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LHVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $4031682.68   | 0.19%             | 2032-10-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| MRCD MARK Mortgage Trust                                           | MRCD MARK Mortgage Trust, Series 2019-PARK, Class D                                                                      | CUSIP: 55348UAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2685000 | PA      | $2386145.00   | 0.11%             | 2036-12-15      | Fixed         | 2.72%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1, Class A                                                        | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5374617 | PA      | $4685750.03   | 0.22%             | 2026-07-25      | Fixed         | 3.10%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140FXTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4052807 | PA      | $4109248.55   | 0.19%             | 2049-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                          | HCA, Inc.                                                                                                                | CUSIP: 404119BV0<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    650000 | PA      | $592677.35    | 0.03%             | 2047-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2209, Class TC                                                                                      | CUSIP: 3133TNCF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26890 | PA      | $28691.14     | 0.00%             | 2030-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                   | Paramount Global                                                                                                         | CUSIP: 124857AQ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    792000 | PA      | $758514.18    | 0.04%             | 2026-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC Gold Pools, 30 Year                                                                                                | CUSIP: 31296SLS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56153 | PA      | $58131.00     | 0.00%             | 2034-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-33, Class IA                                                                                    | CUSIP: 31393BFR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185294 | PA      | $32259.17     | 0.00%             | 2033-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Consumer Receivables Asset Investment Trust                        | Consumer Receivables Asset Investment Trust, Series 2021-1, Class A1X                                                    | CUSIP: 21056K104<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1313943 | PA      | $1316588.12   | 0.06%             | 2023-03-24      | Floating      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2001-44, Class MY                                                                                    | CUSIP: 3139205U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125501 | PA      | $132854.76    | 0.01%             | 2031-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3138L4F73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2083442 | PA      | $2052604.80   | 0.10%             | 2023-07-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                            | Volkswagen Group of America Finance LLC                                                                                  | CUSIP: 928668BN1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    378000 | PA      | $320249.04    | 0.02%             | 2027-11-24      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multi-Family WI Certificates                                 | FHLMC Multi-Family WI Certificates, Series K153, Class A2                                                                | CUSIP: 3137H9CE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4265487.00   | 0.20%             | 2033-01-25      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                                        | Diamond Resorts Owner Trust, Series 2019-1A, Class A                                                                     | CUSIP: 252722AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1311190 | PA      | $1277387.31   | 0.06%             | 2032-02-20      | Fixed         | 2.89%                 | Yes           |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2014-SFR3, Class C                                                                   | CUSIP: 02665XAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $483865.40    | 0.02%             | 2036-12-17      | Fixed         | 4.60%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140LFT53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2993500 | PA      | $2592446.05   | 0.12%             | 2031-09-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II                                                                                                                  | CUSIP: 3617FRAU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3594747 | PA      | $3747721.67   | 0.18%             | 2072-07-20      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                | Abbott Laboratories                                                                                                      | CUSIP: 002824BG4<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    380000 | PA      | $381888.96    | 0.02%             | 2036-11-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities LLC                                        | Business Jet Securities LLC, Series 2021-1A, Class A                                                                     | CUSIP: 12327BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2827303 | PA      | $2460940.73   | 0.12%             | 2036-04-15      | Fixed         | 2.16%                 | Yes           |                  2 | On Loan: No      |
| NRZ Excess Spread-Collateralized Notes                             | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1, Class A                                                        | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1094285 | PA      | $995962.87    | 0.05%             | 2025-12-25      | Fixed         | 3.84%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-39, Class LW                                                                                    | CUSIP: 31393A6T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8539 | PA      | $8503.45      | 0.00%             | 2023-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36202SBN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25917 | PA      | $26775.26     | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TSMC Global Ltd.                                                   | TSMC Global Ltd.                                                                                                         | CUSIP: 872882AN5<br>LEI: 549300N2ZLI21P85T117 | Long             | DBT              | CORP              | VG        |    595000 | PA      | $591483.55    | 0.03%             | 2032-07-22      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Global Markets Mortgage Securities VII, Inc.             | Citigroup Global Markets Mortgage Securities VII, Inc., Series 2003-HYB1, Class A                                        | CUSIP: 79549AYG8<br>LEI: 549300VB2N1G56GWKB41 | Long             | ABS-MBS          | CORP              | US        |     16164 | PA      | $15887.77     | 0.00%             | 2033-09-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2450, Class GZ                                                                                      | CUSIP: 31392KPH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49856 | PA      | $53252.88     | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CMS Energy Corp.                                                   | CMS Energy Corp.                                                                                                         | CUSIP: 125896BQ2<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |    475000 | PA      | $442480.13    | 0.02%             | 2026-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Certificates Trust                      | WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR9, Class 1A6                                                | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    385329 | PA      | $351493.42    | 0.02%             | 2033-09-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1570, Class F                                                                                       | CUSIP: 3133T0PQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       118 | PA      | $117.74       | 0.00%             | 2023-08-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                | Constellation Energy Generation LLC                                                                                      | CUSIP: 30161MAJ2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |    235000 | PA      | $229275.73    | 0.01%             | 2041-10-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PNMAC GMSR ISSUER TRUST                                            | PNMAC GMSR ISSUER TRUST, Series 2022-GT1, Class A                                                                        | CUSIP: 69354WAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3450000 | PA      | $3243779.36   | 0.15%             | 2027-05-25      | Floating      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| Targa Resources Corp.                                              | Targa Resources Corp.                                                                                                    | CUSIP: 87612GAA9<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    400000 | PA      | $349791.95    | 0.02%             | 2033-02-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| HF Sinclair Corp.                                                  | HF Sinclair Corp.                                                                                                        | CUSIP: 403949AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1248844.52   | 0.06%             | 2023-10-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-33, Class CI                                                                                           | CUSIP: 38374UKD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70760 | PA      | $8393.55      | 0.00%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2009-62, Class HJ                                                                                    | CUSIP: 31396QTN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18278 | PA      | $18233.35     | 0.00%             | 2039-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC                                                                                                                    | CUSIP: 3128QSZC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10175 | PA      | $9997.78      | 0.00%             | 2036-10-01      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 3140J2H58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4494552 | PA      | $3678028.93   | 0.17%             | 2030-10-01      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA I, 30 Year                                                                                                          | CUSIP: 36201SRB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11908 | PA      | $12302.60     | 0.00%             | 2032-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2007-42, Class SB                                                                                           | CUSIP: 38375KYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    259054 | PA      | $15791.63     | 0.00%             | 2037-07-20      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA II, 30 Year                                                                                                         | CUSIP: 36202DYY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55179 | PA      | $55708.19     | 0.00%             | 2033-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                              | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 2A1                                                         | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80069 | PA      | $74945.73     | 0.00%             | 2034-04-21      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-27, Class SN                                                                                    | CUSIP: 31396Y4G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74283 | PA      | $8290.55      | 0.00%             | 2038-04-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series G93-14, Class J                                                                                      | CUSIP: 31358TV97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       120 | PA      | $119.76       | 0.00%             | 2023-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2008-40, Class SA                                                                                           | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1327630 | PA      | $80506.56     | 0.00%             | 2038-05-16      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| Entergy Arkansas LLC                                               | Entergy Arkansas LLC                                                                                                     | CUSIP: 29364DAU4<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |    175000 | PA      | $168982.51    | 0.01%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Edison International                                               | Edison International                                                                                                     | CUSIP: 281020AQ0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |   1591000 | PA      | $1531120.73   | 0.07%             | 2024-11-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co. (The)                                              | Walt Disney Co. (The)                                                                                                    | CUSIP: 254687CP9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    430000 | PA      | $436476.05    | 0.02%             | 2023-04-26      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2009-14, Class KI                                                                                           | CUSIP: 38374XBQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    143986 | PA      | $19825.33     | 0.00%             | 2039-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    719000 | PA      | $590985.95    | 0.03%             | 2033-01-25      | Variable      | 3.06%                 | No            |                  2 | On Loan: No      |
| Fortis, Inc.                                                       | Fortis, Inc.                                                                                                             | CUSIP: 349553AM9<br>LEI: 549300MQYQ9Y065XPR71 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $465610.18    | 0.02%             | 2026-10-04      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA ACES, Series 2022-M13, Class A2                                                                                     | CUSIP: 3136BNX43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6802000 | PA      | $5839114.32   | 0.28%             | 2032-06-25      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2003-34, Class AX                                                                                    | CUSIP: 31393CDE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103773 | PA      | $107103.21    | 0.01%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Mortgage Trust                                            | JPMorgan Mortgage Trust, Series 2006-A2, Class 4A1                                                                       | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129099 | PA      | $126528.21    | 0.01%             | 2034-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities Trust                | First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1                                           | CUSIP: 32051GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89401 | PA      | $87423.36     | 0.00%             | 2034-10-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3300000 | PA      | $3478406.25   | 0.16%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                                      | UniCredit SpA                                                                                                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    665000 | PA      | $563469.49    | 0.03%             | 2027-06-03      | Variable      | 1.98%                 | Yes           |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2004-1                                                                             | CUSIP: 05946XGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65236 | PA      | $45302.13     | 0.00%             | 2034-03-25      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-128, Class BP                                                                                   | CUSIP: 31396PES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47622 | PA      | $47634.33     | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2018-160, Class PA                                                                                          | CUSIP: 38381AH74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1253437 | PA      | $1218090.77   | 0.06%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833PA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1592000 | PA      | $1374052.94   | 0.06%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Northwestern Mutual Global Funding                                 | Northwestern Mutual Global Funding                                                                                       | CUSIP: 66815L2D0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    795000 | PA      | $673426.33    | 0.03%             | 2028-06-01      | Fixed         | 1.70%                 | Yes           |                  2 | On Loan: No      |
| American Homes 4 Rent Trust                                        | American Homes 4 Rent Trust, Series 2014-SFR3, Class A                                                                   | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2555151 | PA      | $2447549.57   | 0.12%             | 2036-12-17      | Fixed         | 3.68%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                               | GNMA, Series 2013-54, Class WA                                                                                           | CUSIP: 38378MRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1065144 | PA      | $1068368.72   | 0.05%             | 2042-11-20      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Commercial Mortgage Securities Trust                  | Bear Stearns Commercial Mortgage Securities Trust, Series 2005-PWR8, Class X1                                            | CUSIP: 07383F6S2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6274 | PA      | $0.06         | 0.00%             | 2041-06-11      | Variable      | 0.72%                 | Yes           |                  3 | On Loan: No      |
| Brookfield Finance, Inc.                                           | Brookfield Finance, Inc.                                                                                                 | CUSIP: 11271LAC6<br>LEI: 549300XH8D8K6OYWGD17 | Long             | DBT              | CORP              | CA        |    337000 | PA      | $313357.07    | 0.01%             | 2028-01-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Memorial Sloan-Kettering Cancer Center                             | Memorial Sloan-Kettering Cancer Center, Series 2015                                                                      | CUSIP: 586054AC2<br>LEI: 549300IZ71UAMEHWL382 | Long             | DBT              | CORP              | US        |    200000 | PA      | $165330.54    | 0.01%             | 2055-07-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                       | AbbVie, Inc.                                                                                                             | CUSIP: 00287YCZ0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    480000 | PA      | $435382.10    | 0.02%             | 2042-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1695, Class EB                                                                                      | CUSIP: 3133T4SX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3688 | PA      | $3693.94      | 0.00%             | 2024-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp.                                                    | Microsoft Corp.                                                                                                          | CUSIP: 594918CF9<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |    268000 | PA      | $194883.06    | 0.01%             | 2062-03-17      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury STRIPS Bonds                                                                                               | CUSIP: 912833LS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10600000 | PA      | $9841876.45   | 0.47%             | 2024-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                         | Tennessee Valley Authority                                                                                               | CUSIP: 880591EJ7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    304000 | PA      | $288589.33    | 0.01%             | 2060-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co.                                                  | Alabama Power Co.                                                                                                        | CUSIP: 010392EZ7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    239000 | PA      | $249102.54    | 0.01%             | 2038-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 1998-4, Class C                                                                                      | CUSIP: 31359RA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       127 | PA      | $126.14       | 0.00%             | 2023-04-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                              | Athene Global Funding                                                                                                    | CUSIP: 04685A2K6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   3475000 | PA      | $3124929.37   | 0.15%             | 2026-11-12      | Fixed         | 2.95%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-77, Class PC                                                                                    | CUSIP: 31396KGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    298772 | PA      | $308714.70    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1709, Class FA                                                                                      | CUSIP: 3133T4U79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       203 | PA      | $201.18       | 0.00%             | 2024-03-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2007-42, Class AO                                                                                    | CUSIP: 31396VM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11758 | PA      | $10150.09     | 0.00%             | 2037-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands, Inc.                                         | Constellation Brands, Inc.                                                                                               | CUSIP: 21036PBD9<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    220000 | PA      | $208780.34    | 0.01%             | 2048-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                  | HSBC Holdings plc                                                                                                        | CUSIP: 404280BB4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $190251.22    | 0.01%             | 2026-05-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Air Canada Pass-Through Trust                                      | Air Canada Pass-Through Trust, Series 2013-1, Class A                                                                    | CUSIP: 009089AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    480002 | PA      | $434750.77    | 0.02%             | 2025-05-15      | Fixed         | 4.12%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1642, Class PJ                                                                                      | CUSIP: 3133T2DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9857 | PA      | $9857.11      | 0.00%             | 2023-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Trust                                      | Banc of America Funding Trust, Series 2006-A, Class 3A2                                                                  | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98510 | PA      | $87006.29     | 0.00%             | 2036-02-20      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 2351, Class PZ                                                                                      | CUSIP: 313399HV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19871 | PA      | $20415.28     | 0.00%             | 2031-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verizon Communications, Inc.                                       | Verizon Communications, Inc.                                                                                             | CUSIP: 92343VGK4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $813630.20    | 0.04%             | 2041-03-22      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Corning, Inc.                                                      | Corning, Inc.                                                                                                            | CUSIP: 219350BP9<br>LEI: 549300X2937PB0CJ7I56 | Long             | DBT              | CORP              | US        |   1043000 | PA      | $772170.69    | 0.04%             | 2049-11-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust   | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-3, Class CX                                | CUSIP: 9393365L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    653177 | PA      | $108051.74    | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  3 | On Loan: No      |
| Tyson Foods, Inc.                                                  | Tyson Foods, Inc.                                                                                                        | CUSIP: 902494AY9<br>LEI: WD6L6041MNRW1JE49D58 | Long             | DBT              | CORP              | US        |    210000 | PA      | $198774.77    | 0.01%             | 2044-08-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2008-16, Class IS                                                                                    | CUSIP: 31396YTG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64866 | PA      | $4740.60      | 0.00%             | 2038-03-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                    | Citigroup, Inc.                                                                                                          | CUSIP: 172967AR2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    250000 | PA      | $269031.18    | 0.01%             | 2028-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, Other                                                                                                              | CUSIP: 31381RTA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2412757 | PA      | $2418260.49   | 0.11%             | 2026-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                                               | FNMA, REMIC, Series 2006-65, Class QO                                                                                    | CUSIP: 31396KAA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128698 | PA      | $109302.35    | 0.01%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Siemens Financieringsmaatschappij NV                               | Siemens Financieringsmaatschappij NV                                                                                     | CUSIP: 82620KAF0<br>LEI: TAFO772JB70PDRN5VS48 | Long             | DBT              | CORP              | NL        |    513000 | PA      | $465011.42    | 0.02%             | 2045-05-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                           | U.S. Treasury Bonds                                                                                                      | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7095000 | PA      | $5127246.09   | 0.24%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3219, Class DI                                                                                      | CUSIP: 31397BF22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85799 | PA      | $16438.30     | 0.00%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3275, Class FL                                                                                      | CUSIP: 31397FDQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22722 | PA      | $22322.79     | 0.00%             | 2037-02-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 3074, Class BH                                                                                      | CUSIP: 31396FM83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    133709 | PA      | $132804.15    | 0.01%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                              | FHLMC, REMIC, Series 1455, Class WB                                                                                      | CUSIP: 312914CC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         5 | PA      | $4.82         | 0.00%             | 2022-12-15      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** JPMorgan Institutional Trust

**Signature:** Timothy J. Clemens

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

**Title:** Treasurer and Principal Financial Officer