JPMorgan Institutional Trust

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

This report is intended for distribution only to accredited investors. Distribution of this document to anyone other than the intended user is expressly prohibited. This document may not be copied, faxed or otherwise distributed to the general public.

Dear Shareholders,

The dual advents of mass vaccinations and an exponential increase in U.S. government spending for pandemic relief and recovery have combined to accelerate an upward trend in financial markets that largely began in the second half of last year. The prospect of fully reopened economies and the expected surge in economic activity at the local, national and global scales has fueled broad investor demand for financial assets.

“It’s instructive that those who remained fully invested in the face of unprecedented uncertainty in 2020 were likely rewarded for their resilience and resolve in 2021.” — Andrea L. Lisher

Equity markets generally led the long rebound in financial markets from the initial sell-off at the declaration of the pandemic in March 2020. For the twelve months ended February 28, 2021, the S&P 500 Index returned 31.3% and the Bloomberg Barclays U.S. Aggregate returned 1.4%.

Subsequent to the end of the twelve month period, the $1.9 trillion American Rescue Plan was signed into law and early debate began on the proposed $2 trillion American Jobs Plan. Investors responded in early April by pushing the S&P 500 to close above 4,000 points for the first time.

While the uncertainty and turbulence of 2020 has receded and this year has begun with broad expectations for a robust economic recovery, investor concerns have evolved with the

changing investment environment. The threat from new variants of COVID-19 and a late resurgence in infections across the globe serve as reminders that the pandemic remains a present danger. Additionally, the anticipated impact of unprecedented federal stimulus spending has led to more conventional investor worries about potential supply/demand imbalances in certain sectors of the economy as well as inflationary pressure and rising long-term interest rates.

It’s instructive that those who remained fully invested in the face of unprecedented uncertainty in 2020 were likely rewarded for their resilience and resolve in 2021. At the same time, J.P. Morgan Asset Management also has adapted to the challenges and opportunities presented over the past year to continually seek to deliver innovative and durable investment solutions grounded by our deep experience in risk management. We will continue to operate under the same fundamental practices and principles that have driven our success for more than a century and focus on the financial needs of our clients.

On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

LOGO

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

Financial markets largely recovered from a sharp sell-off in February and March of 2020, led by a sustained rally in equity markets. While bonds generally provided positive returns for the period, fixed income markets generally underperformed equity markets amid historically low interest rates.

Investors initially responded to the pandemic and the closure of large sectors of national economies by buying developed market government bonds as well as commodity gold. Yields on both the 10-year and 30-year U.S. Treasury bonds briefly fell to record lows in March 2020. By the end of the first quarter of 2020, leading developed market equity indexes had fallen by 20% or more and crude oil prices had plummeted by 60%.

Central banks around the world responded by cutting interest rates, initiating or extending asset purchasing programs and working to ensure liquidity in capital markets. Governments also responded with massive stimulus and relief spending. At the start of the second half of 2020, U.S. equity led a broad rebound in both developed markets and emerging markets equity, which was interrupted in September and October 2020 as re-closings across parts of Asia and Europe in response to resurgent infections dented investor optimism.

However, the approvals of the first vaccines against COVID-19 in late 2020 reignited investor demand for equity amid expectations that mass vaccinations would lead to the re-opening of businesses, schools and other parts of national economies. Within fixed income markets, high yield bonds (also known as “junk bonds”) and emerging markets debt outperformed U.S investment grade debt and U.S. Treasury bonds.

For the twelve months ended February 28, 2021, the Bloomberg Barclays U.S. Aggregate Index returned 1.38% and the Bloomberg Barclays Global Multiverse Index returned 4.50%.

INVESTMENT OBJECTIVE**

The JPMorgan Core Bond Trust (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the twelve months ended February 28, 2021, the Fund outperformed the Bloomberg Barclays U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s longer duration position early in the period when interest rates fell and its shorter duration position later in the period when interest rates rose were leading contributors to performance. Generally, bonds with longer duration will experience a greater increase or decrease in price compared with shorter duration bonds when interest rates decline or rise, respectively. The Fund’s security selection in agency mortgage-backed securities, particularly in residential mortgage passthroughs, and in corporate bonds, particularly in the industrials sector, also contributed to relative performance.

The Fund’s overweight positions in the broader mortgage-backed securities and asset-backed securities sectors, including commercial mortgage-backed securities, were leading detractors from relative performance.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. At the end of the period, the Fund was underweight in U.S. Treasury securities and overweight in commercial mortgage-backed securities relative to the Benchmark.


PORTFOLIO COMPOSITION***
Corporate Bonds	27.8	%
U.S. Treasury Obligations	25.0
Mortgage-Backed Securities	17.1
Collateralized Mortgage Obligations	11.6
Asset-Backed Securities	8.8
Commercial Mortgage-Backed Securities	3.3
Others (each less than 1.0%)	1.7
Short-Term Investments	4.7

The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***

Percentages indicated are based on total investments as of February 28, 2021. The Fund’s portfolio composition is subject to change.

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown.

The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust and the Bloomberg Barclays U.S. Aggregate Index from February 28, 2011 to February 28, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays U.S. Aggregate Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar

denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.

The Fund’s shares have a $10,000,000 minimum investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

INVESTMENT OBJECTIVE

The JPMorgan Intermediate Bond Trust (the “Fund”) seeks current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the twelve months ended February 28, 2021, the Fund outperformed the Bloomberg Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s security selection in corporate bonds, particularly in the industrials sector, and its underweight position in U.S. Treasury bonds were leading contributors to performance. The Fund’s out-of-Benchmark positions in both agency and non-agency mortgage-backed securities also contributed to relative performance.

The Fund’s overall underweight position in corporate bonds and its shorter overall duration were leading detractors from relative performance as interest rates for short-term and intermediate bonds fell during the period. Generally, bonds with shorter duration will experience a smaller increase in price compared with longer duration bonds when interest rates decline. The Fund’s overweight position in the 10-year portion of the yield curve, which underperformed the shorter and longer portions of the yield curve, also detracted from relative performance. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities.


PORTFOLIO COMPOSITION***
Corporate Bonds	29.7	%
U.S. Treasury Obligations	22.1
Collateralized Mortgage Obligations	17.1
Mortgage-Backed Securities	11.0
Asset-Backed Securities	9.0
Commercial Mortgage-Backed Securities	7.6
U.S. Government Agency Securities	0.1
Short-Term Investments	3.4

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***

Percentages indicated are based on total investments as of February 28, 2021. The Fund’s portfolio composition is subject to change.

The graph illustrates comparative performance for $5,000,000 invested in the JPMorgan Intermediate Bond Trust and the Bloomberg Barclays Intermediate U.S. Government/Credit Index from February 28, 2011 to February 28, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Bloomberg Barclays Intermediate U.S. Government/Credit Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The Bloomberg Barclays

Intermediate U.S. Government/Credit Index is an unmanaged index comprised of intermediate maturity U.S. Treasury and agency securities and investment grade corporate securities. Investors cannot invest directly in an index.

The Fund’s shares have a $5,000,000 minimum investment.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 28.9%

Aerospace & Defense — 1.1%

Airbus Finance BV (France) 2.70%, 4/17/2023 (a)		557		582

Airbus SE (France) 3.95%, 4/10/2047 (a)		150		164

BAE Systems plc (United Kingdom)

1.90%, 2/15/2031 (a)		1,007		976

3.00%, 9/15/2050 (a)		502		483

Boeing Co. (The)

1.17%, 2/4/2023		1,115		1,120

4.51%, 5/1/2023		2,503		2,685

1.95%, 2/1/2024		1,030		1,056

1.43%, 2/4/2024		2,265		2,269

4.88%, 5/1/2025		605		676

2.75%, 2/1/2026		995		1,031

2.20%, 2/4/2026		1,385		1,388

3.10%, 5/1/2026		320		336

3.25%, 3/1/2028		840		869

5.15%, 5/1/2030		940		1,095

5.71%, 5/1/2040		745		939

L3Harris Technologies, Inc.

3.83%, 4/27/2025		850		942

1.80%, 1/15/2031		840		815

Leidos, Inc. 2.30%, 2/15/2031 (a)		465		453

Northrop Grumman Corp. 3.25%, 1/15/2028		200		218

Precision Castparts Corp. 3.25%, 6/15/2025		897		978

Raytheon Technologies Corp.

3.20%, 3/15/2024		350		376

4.50%, 6/1/2042		2,799		3,432

4.15%, 5/15/2045		543		629

4.35%, 4/15/2047		199		237


				23,749


Airlines — 0.0% (b)

Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024		138		142


Automobiles — 0.4%

General Motors Co. 6.13%, 10/1/2025		515		613

Hyundai Capital America

1.15%, 11/10/2022 (a)		1,500		1,511

1.80%, 10/15/2025 (a)		490		492

1.30%, 1/8/2026 (a)		425		419

2.38%, 10/15/2027 (a)		530		541

1.80%, 1/10/2028 (a)		805		783

Nissan Motor Co. Ltd. (Japan)

4.35%, 9/17/2027 (a)		1,865		2,064

4.81%, 9/17/2030 (a)		1,102		1,230


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Automobiles — continued

Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (a)		705		698


				8,351


Banks — 5.3%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (a)		1,216		1,376

AIB Group plc (Ireland) 4.75%, 10/12/2023 (a)		1,165		1,280

ANZ New Zealand Int’l Ltd. (New Zealand) 2.55%, 2/13/2030 (a)		1,245		1,315

ASB Bank Ltd. (New Zealand) 3.13%, 5/23/2024 (a)		905		976

Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (a)		263		299

Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (a)		1,250		1,205

Banco Santander SA (Spain)

3.13%, 2/23/2023		400		421

2.75%, 5/28/2025		800		848

2.75%, 12/3/2030		600		595

Bank of America Corp.

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c)		547		580

(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (c)		526		567

(SOFR + 1.15%), 1.32%, 6/19/2026 (c)		590		594

3.25%, 10/21/2027		1,189		1,304

(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c)		1,700		1,905

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c)		7,757		8,555

(SOFR + 2.15%), 2.59%, 4/29/2031 (c)		1,510		1,551

(SOFR + 1.93%), 2.68%, 6/19/2041 (c)		4,685		4,542

Bank of Montreal (Canada) 1.85%, 5/1/2025		950		981

Bank of Nova Scotia (The) (Canada)

1.63%, 5/1/2023		2,074		2,130

2.20%, 2/3/2025		1,256		1,313

Banque Federative du Credit Mutuel SA (France)

3.75%, 7/20/2023 (a)		540		582

2.38%, 11/21/2024 (a)		813		859

Barclays plc (United Kingdom)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (c)		1,452		1,459

3.65%, 3/16/2025		1,000		1,084


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

BNP Paribas SA (France)

3.38%, 1/9/2025 (a)		425		460

(SOFR + 2.07%), 2.22%, 6/9/2026 (a) (c)		730		757

(SOFR + 1.51%), 3.05%, 1/13/2031 (a) (c)		1,065		1,127

2.82%, 1/26/2041 (a)		1,200		1,127

BNZ International Funding Ltd. (New Zealand) 2.65%, 11/3/2022 (a)		632		656

Capital One Bank USA NA 3.38%, 2/15/2023		300		317

Citigroup, Inc.

3.88%, 3/26/2025		500		550

(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (c)		355		383

4.40%, 6/10/2025		865		972

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (c) (d) (e)		1,835		1,826

(SOFR + 2.84%), 3.11%, 4/8/2026 (c)		1,900		2,043

4.30%, 11/20/2026		1,200		1,368

(SOFR + 0.77%), 1.12%, 1/28/2027 (c)		1,320		1,302

6.63%, 1/15/2028		250		320

(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c)		1,573		1,751

(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (c)		1,000		1,134

8.13%, 7/15/2039		223		377

Citizens Bank NA 3.70%, 3/29/2023		720		766

Commonwealth Bank of Australia (Australia) 4.50%, 12/9/2025 (a)		832		947

Cooperatieve Rabobank UA (Netherlands)

4.38%, 8/4/2025		783		885

3.75%, 7/21/2026		945		1,050

5.80%, 9/30/2110 (a)		500		718

Credit Agricole SA (France)

4.38%, 3/17/2025 (a)		1,250		1,381

(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c)		500		513

(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c)		1,500		1,486

2.81%, 1/11/2041 (a)		470		448

Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (a) (c)		2,110		2,123

Discover Bank

3.35%, 2/6/2023		343		361

4.25%, 3/13/2026		1,205		1,369

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c)		1,054		1,132


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

4.25%, 8/18/2025		939		1,047

3.90%, 5/25/2026		200		224

(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c)		904		1,013

(SOFR + 1.73%), 2.01%, 9/22/2028 (c)		1,215		1,221

(SOFR + 1.95%), 2.36%, 8/18/2031 (c)		1,160		1,153

6.10%, 1/14/2042		700		1,008

KeyBank NA 3.18%, 5/22/2022		729		755

Lloyds Banking Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.81%), 2.91%, 11/7/2023 (c)		612		636

4.58%, 12/10/2025		400		453

4.38%, 3/22/2028		475		547

Mitsubishi UFJ Financial Group, Inc. (Japan)

3.41%, 3/7/2024		1,260		1,361

3.75%, 7/18/2039		760		856

Mizuho Financial Group, Inc. (Japan)

(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (c)		875		908

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (c)		1,057		1,046

(ICE LIBOR USD 3 Month + 1.31%), 2.87%, 9/13/2030 (c)		720		758

National Australia Bank Ltd. (Australia)

3.38%, 1/14/2026		800		886

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (a) (c)		1,025		1,116

2.65%, 1/14/2041 (a)		525		492

Natwest Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c)		480		526

4.80%, 4/5/2026		920		1,059

(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c)		290		340

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (c)		900		957

(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (c)		640		735

Nordea Bank Abp (Finland) 4.25%, 9/21/2022 (a)		945		997

Royal Bank of Canada (Canada)

3.70%, 10/5/2023		1,000		1,084

4.65%, 1/27/2026		337		391


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Banks — continued

Santander UK Group Holdings plc (United Kingdom) 3.57%, 1/10/2023		200		205

Societe Generale SA (France)

5.00%, 1/17/2024 (a)		370		407

3.88%, 3/28/2024 (a)		815		886

2.63%, 10/16/2024 (a)		1,000		1,053

4.25%, 8/19/2026 (a)		1,950		2,153

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c)		1,030		1,024

3.00%, 1/22/2030 (a)		2,008		2,089

Standard Chartered plc (United Kingdom)

5.20%, 1/26/2024 (a)		700		774

(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (a) (c)		400		425

(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (c)		570		599

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (a) (c)		485		479

(ICE LIBOR USD 3 Month + 1.91%), 4.30%, 5/21/2030 (a) (c)		550		621

(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (a) (c)		200		222

Sumitomo Mitsui Financial Group, Inc. (Japan)

3.10%, 1/17/2023		689		724

4.44%, 4/2/2024 (a)		500		549

1.47%, 7/8/2025		542		550

2.63%, 7/14/2026		872		928

3.04%, 7/16/2029		1,315		1,413

Truist Bank 3.30%, 5/15/2026		400		438

Truist Financial Corp. 4.00%, 5/1/2025		265		296

UniCredit SpA (Italy)

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (a) (c)		905		915

(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c)		200		222

(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (a) (c)		300		356

US Bancorp 7.50%, 6/1/2026		1,277		1,661

Wells Fargo & Co.

4.48%, 1/16/2024		702		778

3.75%, 1/24/2024		675		734

3.30%, 9/9/2024		1,000		1,089


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (c) (d) (e)		905		901

3.00%, 4/22/2026		993		1,075

4.10%, 6/3/2026		637		723

(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (c)		1,895		2,062

(SOFR + 2.10%), 2.39%, 6/2/2028 (c)		425		441

(SOFR + 2.53%), 3.07%, 4/30/2041 (c)		1,120		1,150

4.65%, 11/4/2044		1,180		1,409

4.40%, 6/14/2046		300		352

4.75%, 12/7/2046		325		400

Westpac Banking Corp. (Australia) 2.85%, 5/13/2026		690		749


				118,391


Beverages — 0.7%

Anheuser-Busch Cos. LLC (Belgium)

4.70%, 2/1/2036		3,945		4,736

4.90%, 2/1/2046		2,235		2,688

Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044		70		81

Anheuser-Busch InBev Worldwide, Inc. (Belgium)

4.35%, 6/1/2040		800		930

4.44%, 10/6/2048		780		886

4.50%, 6/1/2050		1,050		1,211

4.60%, 6/1/2060		375		431

Coca-Cola Femsa SAB de CV (Mexico)

2.75%, 1/22/2030		790		810

1.85%, 9/1/2032		675		639

Constellation Brands, Inc.

4.40%, 11/15/2025		325		371

5.25%, 11/15/2048		220		291

Diageo Capital plc (United Kingdom) 1.38%, 9/29/2025		870		885

Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022		255		285

Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050		1,060		1,079

Keurig Dr Pepper, Inc.

3.13%, 12/15/2023		500		535

4.42%, 5/25/2025		149		168

3.43%, 6/15/2027		250		280

4.99%, 5/25/2038		215		274


				16,580


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Biotechnology — 0.5%

AbbVie, Inc.

3.45%, 3/15/2022		937		962

2.80%, 3/15/2023		525		546

3.85%, 6/15/2024		443		484

3.20%, 11/21/2029		1,832		1,981

4.05%, 11/21/2039		1,809		2,077

4.63%, 10/1/2042		480		585

4.40%, 11/6/2042		790		942

4.45%, 5/14/2046		190		224

Baxalta, Inc.

3.60%, 6/23/2022		149		154

5.25%, 6/23/2045		50		67

Biogen, Inc.

2.25%, 5/1/2030		1,150		1,151

3.15%, 5/1/2050		310		294

Gilead Sciences, Inc. 2.60%, 10/1/2040		1,225		1,161

Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030		1,270		1,204


				11,832


Building Products — 0.1%

Masco Corp.

2.00%, 10/1/2030		340		333

6.50%, 8/15/2032		600		793


				1,126


Capital Markets — 2.4%

Bank of New York Mellon Corp. (The) 2.80%, 5/4/2026		254		274

BlackRock, Inc. 1.90%, 1/28/2031		631		627

Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (a)		429		522

Blackstone Secured Lending Fund 3.65%, 7/14/2023 (a)		795		832

Brookfield Finance, Inc. (Canada)

3.90%, 1/25/2028		337		380

4.85%, 3/29/2029		411		489

4.70%, 9/20/2047		427		507

Charles Schwab Corp. (The)

0.90%, 3/11/2026		785		780

Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (c) (d) (e)		1,025		1,029

Credit Suisse AG (Switzerland) 3.63%, 9/9/2024		402		442


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Capital Markets — continued

Credit Suisse Group AG (Switzerland)

3.57%, 1/9/2023 (a)		729		748

3.80%, 6/9/2023		800		858

3.75%, 3/26/2025		340		373

(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (c)		250		263

(SOFR + 2.04%), 2.19%, 6/5/2026 (a) (c)		490		507

(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (c)		1,060		1,045

4.28%, 1/9/2028 (a)		1,162		1,320

Deutsche Bank AG (Germany)

4.25%, 10/14/2021		1,000		1,022

3.30%, 11/16/2022		1,000		1,043

(SOFR + 2.16%), 2.22%, 9/18/2024 (c)		1,225		1,260

(SOFR + 1.87%), 2.13%, 11/24/2026 (c)		780		789

FMR LLC 6.45%, 11/15/2039 (a)		500		729

Goldman Sachs Group, Inc. (The)

3.50%, 1/23/2025		557		605

3.75%, 5/22/2025		1,984		2,192

4.25%, 10/21/2025		1,415		1,596

3.50%, 11/16/2026		469		517

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c)		3,776		4,242

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c)		505		582

(SOFR + 1.09%), 1.99%, 1/27/2032 (c)		880		860

6.75%, 10/1/2037		685		999

Intercontinental Exchange, Inc. 4.00%, 10/15/2023		884		964

Invesco Finance plc 3.75%, 1/15/2026		390		433

Jefferies Group LLC 6.45%, 6/8/2027		749		955

Macquarie Bank Ltd. (Australia)

4.00%, 7/29/2025 (a)		1,000		1,120

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (a) (c)		575		571

Macquarie Group Ltd. (Australia)

(SOFR + 1.07%), 1.34%, 1/12/2027 (a) (c)		510		506

(ICE LIBOR USD 3 Month + 1.37%), 3.76%, 11/28/2028 (a) (c)		381		422

(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (c)		700		830

Morgan Stanley

(SOFR + 0.46%), 0.53%, 1/25/2024 (c)		1,290		1,291

(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (c)		1,765		1,884

4.00%, 7/23/2025		2,873		3,230


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Capital Markets — continued

3.88%, 1/27/2026		946		1,065

(SOFR + 1.99%), 2.19%, 4/28/2026 (c)		985		1,026

3.63%, 1/20/2027		3,430		3,848

(SOFR + 1.03%), 1.79%, 2/13/2032 (c)		440		422

(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (c)		1,265		1,551

4.30%, 1/27/2045		485		595

Nomura Holdings, Inc. (Japan)

2.65%, 1/16/2025		1,094		1,152

2.68%, 7/16/2030		700		716

UBS Group AG (Switzerland)

3.49%, 5/23/2023 (a)		269		279

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (a) (c)		200		207

4.13%, 9/24/2025 (a)		300		337

(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (c)		965		1,040

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (a) (c)		1,480		1,451


				53,327


Chemicals — 0.4%

Air Products and Chemicals, Inc. 1.85%, 5/15/2027		1,540		1,593

Albemarle Corp. 5.45%, 12/1/2044		150		178

DuPont de Nemours, Inc. 5.32%, 11/15/2038		980		1,266

International Flavors & Fragrances, Inc.

4.45%, 9/26/2028		300		347

5.00%, 9/26/2048		365		465

Nutrien Ltd. (Canada)

4.20%, 4/1/2029		175		203

4.13%, 3/15/2035		455		518

5.00%, 4/1/2049		230		298

Nutrition & Biosciences, Inc. 2.30%, 11/1/2030 (a)		2,030		2,038

Sherwin-Williams Co. (The) 3.13%, 6/1/2024		381		410

Union Carbide Corp. 7.75%, 10/1/2096		850		1,329


				8,645


Commercial Services & Supplies — 0.1%

Ford Foundation (The) Series 2020, 2.82%, 6/1/2070		365		343

Republic Services, Inc. 1.45%, 2/15/2031		910		856


				1,199


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Construction & Engineering — 0.1%

Quanta Services, Inc. 2.90%, 10/1/2030		1,440		1,504


Construction Materials — 0.1%

CRH America, Inc. (Ireland)

3.88%, 5/18/2025 (a)		417		461

5.13%, 5/18/2045 (a)		893		1,139

Martin Marietta Materials, Inc. 3.45%, 6/1/2027		770		854


				2,454


Consumer Finance — 1.3%

AerCap Ireland Capital DAC (Ireland)

4.45%, 12/16/2021		600		616

3.95%, 2/1/2022		775		796

3.30%, 1/23/2023		390		405

4.50%, 9/15/2023		2,420		2,613

3.15%, 2/15/2024		1,500		1,575

2.88%, 8/14/2024		600		625

6.50%, 7/15/2025		940		1,102

1.75%, 1/30/2026		860		841

Avolon Holdings Funding Ltd. (Ireland)

3.63%, 5/1/2022 (a)		2,000		2,037

5.50%, 1/15/2023 (a)		4,115		4,370

5.50%, 1/15/2026 (a)		1,000		1,107

2.13%, 2/21/2026 (a)		620		598

4.25%, 4/15/2026 (a)		1,200		1,268

4.38%, 5/1/2026 (a)		820		870

Capital One Financial Corp.

3.20%, 2/5/2025		1,069		1,151

4.20%, 10/29/2025		250		280

General Motors Financial Co., Inc.

1.25%, 1/8/2026		2,211		2,186

2.35%, 1/8/2031		1,190		1,158

Hyundai Capital Services, Inc. (South Korea) 1.25%, 2/8/2026 (a)		355		349

Park Aerospace Holdings Ltd. (Ireland)

5.25%, 8/15/2022 (a)		3,550		3,711

4.50%, 3/15/2023 (a)		235		246

5.50%, 2/15/2024 (a)		900		980


				28,884


Containers & Packaging — 0.1%

Packaging Corp. of America 4.05%, 12/15/2049		845		981

WRKCo, Inc.

3.75%, 3/15/2025		400		441

3.90%, 6/1/2028		170		192


				1,614


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Diversified Consumer Services — 0.1%

Pepperdine University Series 2020, 3.30%, 12/1/2059		600		623

University of Southern California Series A, 3.23%, 10/1/2120		570		543


				1,166


Diversified Financial Services — 0.6%

CK Hutchison International 19 Ltd. (United Kingdom) 3.63%, 4/11/2029 (a)		1,215		1,340

GE Capital Funding LLC 4.40%, 5/15/2030 (a)		540		620

GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035		3,583		4,092

GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (a)		1,436		1,538

Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (a)		539		563

Mitsubishi UFJ Lease & Finance Co. Ltd. (Japan) 2.65%, 9/19/2022 (a)		606		623

National Rural Utilities Cooperative Finance Corp. 2.95%, 2/7/2024		306		326

ORIX Corp. (Japan) 2.90%, 7/18/2022		553		571

Shell International Finance BV (Netherlands) 2.38%, 11/7/2029		2,280		2,347

Siemens Financieringsmaatschappij NV (Germany)

3.13%, 3/16/2024 (a)		750		808

4.40%, 5/27/2045 (a)		513		633


				13,461


Diversified Telecommunication Services — 0.8%

AT&T, Inc.

2.30%, 6/1/2027		2,340		2,424

1.65%, 2/1/2028		1,000		983

4.30%, 2/15/2030		826		947

2.25%, 2/1/2032		2,065		1,983

3.50%, 6/1/2041		646		649

3.55%, 9/15/2055 (a)		2,487		2,283

Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (a)		335		352

Deutsche Telekom International Finance BV (Germany)

3.60%, 1/19/2027 (a)		175		196

4.88%, 3/6/2042 (a)		232		291

Qwest Corp. 6.75%, 12/1/2021		741		770

Verizon Communications, Inc.

2.63%, 8/15/2026		306		327

4.33%, 9/21/2028		962		1,119


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Diversified Telecommunication Services — continued

4.40%, 11/1/2034		1,895		2,248

4.27%, 1/15/2036		1,445		1,682

2.65%, 11/20/2040		988		923

4.86%, 8/21/2046		396		489

4.67%, 3/15/2055		400		485

2.99%, 10/30/2056 (a)		545		491


				18,642


Electric Utilities — 1.9%

Alabama Power Co. 6.13%, 5/15/2038		239		339

Arizona Public Service Co. 5.05%, 9/1/2041		200		258

Baltimore Gas and Electric Co.

3.50%, 8/15/2046		376		402

2.90%, 6/15/2050		450		434

China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (a)		1,234		1,346

Comision Federal de Electricidad (Mexico) 4.88%, 5/26/2021 (a)		831		839

Duke Energy Carolinas LLC 4.25%, 12/15/2041		129		153

Duke Energy Progress LLC

4.10%, 5/15/2042		273		321

4.10%, 3/15/2043		125		145

Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (a)		750		826

Edison International

3.55%, 11/15/2024		1,591		1,722

5.75%, 6/15/2027		400		471

Emera US Finance LP (Canada) 4.75%, 6/15/2046		700		819

Enel Finance International NV (Italy)

4.63%, 9/14/2025 (a)		265		303

3.63%, 5/25/2027 (a)		740		823

Entergy Arkansas LLC

3.50%, 4/1/2026		175		194

2.65%, 6/15/2051		415		385

Entergy Corp. 2.95%, 9/1/2026		336		360

Entergy Louisiana LLC

3.05%, 6/1/2031		629		685

2.90%, 3/15/2051		490		482

Evergy Metro, Inc. 5.30%, 10/1/2041		1,400		1,813

Evergy, Inc. 2.90%, 9/15/2029		985		1,045

FirstEnergy Transmission LLC 4.55%, 4/1/2049 (a)		240		271

Fortis, Inc. (Canada) 3.06%, 10/4/2026		500		541


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Electric Utilities — continued

Hydro-Quebec (Canada)

Series HY, 8.40%, 1/15/2022		1,000		1,068

Series IO, 8.05%, 7/7/2024		350		434

ITC Holdings Corp.

2.70%, 11/15/2022		900		934

2.95%, 5/14/2030 (a)		440		464

Jersey Central Power & Light Co. 4.30%, 1/15/2026 (a)		560		619

John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042		721		874

Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a)		315		346

Nevada Power Co.

Series N, 6.65%, 4/1/2036		100		145

5.45%, 5/15/2041		305		400

Niagara Mohawk Power Corp.

3.51%, 10/1/2024 (a)		493		537

1.96%, 6/27/2030 (a)		1,000		1,000

NRG Energy, Inc.

2.00%, 12/2/2025 (a)		710		716

2.45%, 12/2/2027 (a)		795		803

4.45%, 6/15/2029 (a)		615		683

Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029		110		140

Pacific Gas and Electric Co.

(ICE LIBOR USD 3 Month + 1.38%), 1.57%, 11/15/2021 (c)		3,005		3,012

1.75%, 6/16/2022		4,500		4,512

3.45%, 7/1/2025		795		854

2.95%, 3/1/2026		500		524

3.75%, 8/15/2042 (f)		308		295

4.30%, 3/15/2045		525		535

PECO Energy Co. 2.80%, 6/15/2050		410		397

Pennsylvania Electric Co. 3.25%, 3/15/2028 (a)		150		156

Pepco Holdings LLC 7.45%, 8/15/2032		316		447

Potomac Electric Power Co. 6.50%, 11/15/2037		1,085		1,571

PPL Capital Funding, Inc. 3.40%, 6/1/2023		200		212

Progress Energy, Inc. 7.00%, 10/30/2031		300		416

Public Service Co. of Colorado 3.55%, 6/15/2046		214		228

Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037		2,490		3,474

Public Service Electric and Gas Co. 5.38%, 11/1/2039		317		427


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electric Utilities — continued

Southern California Edison Co.

Series B, 3.65%, 3/1/2028		400		443

Series 08-A, 5.95%, 2/1/2038		200		262

4.05%, 3/15/2042		552		593

Southwestern Public Service Co. 4.50%, 8/15/2041		200		242

Toledo Edison Co. (The) 6.15%, 5/15/2037		300		397


				43,137


Electrical Equipment — 0.0% (b)

Eaton Corp.

7.63%, 4/1/2024		300		351

4.00%, 11/2/2032		170		200


				551


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.50%, 3/1/2023		190		203

3.25%, 9/8/2024		219		235

3.88%, 1/12/2028		442		491

Corning, Inc. 3.90%, 11/15/2049		1,043		1,174


				2,103


Energy Equipment & Services — 0.1%

Baker Hughes Holdings LLC 5.13%, 9/15/2040		300		380

Halliburton Co. 4.75%, 8/1/2043		540		603

Schlumberger Holdings Corp.

4.00%, 12/21/2025 (a)		13		14

3.90%, 5/17/2028 (a)		1,126		1,260

Schlumberger Investment SA 2.65%, 6/26/2030		800		832


				3,089


Entertainment — 0.1%

NBCUniversal Media LLC 5.95%, 4/1/2041		800		1,148

Walt Disney Co. (The)

8.88%, 4/26/2023		430		506

6.20%, 12/15/2034		100		143


				1,797


Equity Real Estate Investment Trusts (REITs) — 1.6%

Alexandria Real Estate Equities, Inc.

3.80%, 4/15/2026		135		151

2.00%, 5/18/2032		980		955

4.00%, 2/1/2050		653		733

American Campus Communities Operating Partnership LP 3.63%, 11/15/2027		500		555


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Equity Real Estate Investment Trusts (REITs) — continued

American Tower Corp.

5.00%, 2/15/2024		974		1,093

3.38%, 10/15/2026		312		341

1.50%, 1/31/2028		1,215		1,189

2.90%, 1/15/2030		350		367

2.10%, 6/15/2030		630		618

1.88%, 10/15/2030		1,090		1,045

3.70%, 10/15/2049		935		981

2.95%, 1/15/2051		820		754

Boston Properties LP

3.20%, 1/15/2025		532		572

3.65%, 2/1/2026		483		537

Brixmor Operating Partnership LP 3.85%, 2/1/2025		400		435

Crown Castle International Corp.

4.00%, 3/1/2027		264		298

2.25%, 1/15/2031		1,235		1,213

Digital Realty Trust LP 3.70%, 8/15/2027		252		283

Duke Realty LP

3.25%, 6/30/2026		239		262

2.88%, 11/15/2029		380		405

Equinix, Inc. 2.90%, 11/18/2026		1,130		1,213

Essex Portfolio LP 2.65%, 3/15/2032		2,000		2,042

Healthcare Trust of America Holdings LP

3.10%, 2/15/2030		1,604		1,700

2.00%, 3/15/2031		610		589

Healthpeak Properties, Inc.

3.40%, 2/1/2025		265		287

3.50%, 7/15/2029		772		852

Kimco Realty Corp. 2.70%, 10/1/2030		171		176

Life Storage LP 4.00%, 6/15/2029		859		967

Mid-America Apartments LP 3.95%, 3/15/2029		920		1,048

National Retail Properties, Inc.

4.00%, 11/15/2025		783		869

4.30%, 10/15/2028		620		709

Office Properties Income Trust 4.00%, 7/15/2022		784		805

Prologis LP 3.00%, 4/15/2050		905		901

Realty Income Corp.

1.80%, 3/15/2033		530		503

4.65%, 3/15/2047		556		710

Regency Centers LP 2.95%, 9/15/2029		745		783

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a)		420		449


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Equity Real Estate Investment Trusts (REITs) — continued

Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (a) (c)		1,320		1,375

SITE Centers Corp. 4.70%, 6/1/2027		330		365

UDR, Inc.

2.95%, 9/1/2026		382		411

3.00%, 8/15/2031		305		322

2.10%, 8/1/2032		640		622

Ventas Realty LP

3.50%, 2/1/2025		242		263

4.13%, 1/15/2026		406		459

3.85%, 4/1/2027		554		619

Welltower, Inc.

2.70%, 2/15/2027		414		444

3.10%, 1/15/2030		670		708

6.50%, 3/15/2041		350		474

WP Carey, Inc.

4.25%, 10/1/2026		350		397

2.25%, 4/1/2033		1,180		1,149


				34,998


Food & Staples Retailing — 0.2%

7-Eleven, Inc.

1.30%, 2/10/2028 (a)		565		551

2.50%, 2/10/2041 (a)		574		529

Alimentation Couche-Tard, Inc. (Canada) 3.80%, 1/25/2050 (a)		810		868

CVS Pass-Through Trust

5.93%, 1/10/2034 (a)		815		954

Series 2013, 4.70%, 1/10/2036 (a)		626		696

Kroger Co. (The) 5.00%, 4/15/2042		1,100		1,390


				4,988


Food Products — 0.3%

Campbell Soup Co. 3.13%, 4/24/2050		315		302

Cargill, Inc.

3.25%, 3/1/2023 (a)		115		122

2.13%, 4/23/2030 (a)		1,417		1,435

Conagra Brands, Inc. 5.30%, 11/1/2038		220		280

General Mills, Inc.

4.00%, 4/17/2025		490		546

3.00%, 2/1/2051 (a)		451		437

Kellogg Co. 2.10%, 6/1/2030		337		337

Mars, Inc. 1.63%, 7/16/2032 (a)		1,570		1,493

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		153		173


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Food Products — continued

Mondelez International, Inc. 1.50%, 5/4/2025		370		377

Smithfield Foods, Inc. 3.00%, 10/15/2030 (a)		1,500		1,529

Tyson Foods, Inc.

4.88%, 8/15/2034		300		379

5.15%, 8/15/2044		210		272


				7,682


Gas Utilities — 0.2%

Atmos Energy Corp.

4.15%, 1/15/2043		828		963

4.13%, 10/15/2044		125		145

Boston Gas Co. 4.49%, 2/15/2042 (a)		308		366

Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (a)		440		521

Eastern Energy Gas Holdings LLC Series C, 3.90%, 11/15/2049		807		859

Korea Gas Corp. (South Korea) 1.88%, 7/18/2021 (a)		653		657

Southern Natural Gas Co. LLC

8.00%, 3/1/2032		351		490

4.80%, 3/15/2047 (a)		367		417


				4,418


Health Care Equipment & Supplies — 0.2%

Abbott Laboratories

1.15%, 1/30/2028		660		643

4.75%, 11/30/2036		380		494

Becton Dickinson and Co. 4.67%, 6/6/2047		600		743

Boston Scientific Corp. 4.00%, 3/1/2029		535		609

DH Europe Finance II SARL 3.25%, 11/15/2039		1,000		1,065


				3,554


Health Care Providers & Services — 0.9%

Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030		710		717

Aetna, Inc. 6.75%, 12/15/2037		440		646

Anthem, Inc.

4.63%, 5/15/2042		500		620

4.65%, 1/15/2043		535		660

4.65%, 8/15/2044		100		123

Ascension Health Series B, 2.53%, 11/15/2029		430		452

Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050		800		818

Children’s Hospital Series 2020, 2.93%, 7/15/2050		650		625

Children’s Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050		580		550


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Health Care Providers & Services — continued

Cigna Corp. 4.50%, 2/25/2026		300		345

CommonSpirit Health

1.55%, 10/1/2025		555		562

2.78%, 10/1/2030		550		573

3.91%, 10/1/2050		545		575

CVS Health Corp.

4.30%, 3/25/2028		440		506

3.25%, 8/15/2029		895		972

1.88%, 2/28/2031		1,238		1,197

2.70%, 8/21/2040		470		446

HCA, Inc.

5.25%, 6/15/2026		1,680		1,965

5.13%, 6/15/2039		725		895

5.50%, 6/15/2047		190		243

Mayo Clinic Series 2016, 4.13%, 11/15/2052		225		285

Memorial Health Services 3.45%, 11/1/2049		1,340		1,430

Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055		200		255

MidMichigan Health Series 2020, 3.41%, 6/1/2050		310		321

Quest Diagnostics, Inc. 3.45%, 6/1/2026		150		166

Rush Obligated Group Series 2020, 3.92%, 11/15/2029		1,137		1,302

Texas Health Resources 4.33%, 11/15/2055		300		377

UnitedHealth Group, Inc.

4.63%, 7/15/2035		400		505

3.50%, 8/15/2039		815		901

Universal Health Services, Inc. 2.65%, 10/15/2030 (a)		690		682

Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050		780		707


				20,421


Hotels, Restaurants & Leisure — 0.1%

McDonald’s Corp. 4.70%, 12/9/2035		700		861

Starbucks Corp. 2.55%, 11/15/2030		780		809


				1,670


Household Durables — 0.0% (b)

Lennar Corp. 4.50%, 4/30/2024		365		400


Household Products — 0.0% (b)

Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (a)		700		718


Independent Power and Renewable Electricity Producers — 0.1%

Alexander Funding Trust 1.84%, 11/15/2023 (a)		1,000		1,016


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Independent Power and Renewable Electricity Producers — continued

Exelon Generation Co. LLC 5.75%, 10/1/2041		235		267

Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046		417		454


				1,737


Industrial Conglomerates — 0.2%

General Electric Co.

5.55%, 1/5/2026		1,114		1,328

3.63%, 5/1/2030		780		851

5.88%, 1/14/2038		95		125

Roper Technologies, Inc.

1.40%, 9/15/2027		1,370		1,356

2.00%, 6/30/2030		570		561


				4,221


Insurance — 0.9%

AIA Group Ltd. (Hong Kong)

3.60%, 4/9/2029 (a)		445		488

3.20%, 9/16/2040 (a)		520		514

AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (a)		520		746

American International Group, Inc. 3.88%, 1/15/2035		605		691

Assurant, Inc. 4.20%, 9/27/2023		660		718

Athene Global Funding

0.95%, 1/8/2024 (a)		1,145		1,147

1.45%, 1/8/2026 (a)		865		861

2.95%, 11/12/2026 (a)		2,800		2,980

Berkshire Hathaway Finance Corp. 4.40%, 5/15/2042		1,000		1,239

Brown & Brown, Inc. 2.38%, 3/15/2031		1,830		1,830

CNA Financial Corp. 3.95%, 5/15/2024		463		506

Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (a) (c) (d) (e)		526		569

Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (a)		208		261

Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030		500		510

Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043		400		475

Intact US Holdings, Inc. 4.60%, 11/9/2022		500		531

Jackson National Life Global Funding 3.05%, 4/29/2026 (a)		675		733

Liberty Mutual Group, Inc.

4.57%, 2/1/2029 (a)		408		483

3.95%, 10/15/2050 (a)		900		988


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Insurance — continued

Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (a)		100		122

Markel Corp. 3.50%, 11/1/2027		200		220

Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (c)		266		301

Progressive Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.54%), 5.38%, 3/15/2023 (c) (d) (e)		360		375

Prudential Financial, Inc. 3.91%, 12/7/2047		300		342

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a)		1,750		2,253

Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (a) (c)		600		688

Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a)		400		469


				21,040


IT Services — 0.2%

DXC Technology Co. 4.25%, 4/15/2024		478		520

Fiserv, Inc.

3.20%, 7/1/2026		395		430

4.40%, 7/1/2049		375		447

Global Payments, Inc. 4.15%, 8/15/2049		795		888

International Business Machines Corp. 1.70%, 5/15/2027		883		895

Western Union Co. (The) 3.60%, 3/15/2022		1,100		1,133


				4,313


Machinery — 0.1%

nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028		450		479

Otis Worldwide Corp. 2.57%, 2/15/2030		1,430		1,472

Parker-Hannifin Corp. 4.45%, 11/21/2044		592		722

Xylem, Inc. 3.25%, 11/1/2026		197		217


				2,890


Media — 0.9%

Charter Communications Operating LLC

6.38%, 10/23/2035		528		701

4.80%, 3/1/2050		1,475		1,622

3.70%, 4/1/2051		1,120		1,065

Comcast Corp.

3.95%, 10/15/2025		696		784

3.15%, 3/1/2026		740		810

3.55%, 5/1/2028		443		495


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Media — continued

1.95%, 1/15/2031		1,345		1,324

1.50%, 2/15/2031		1,250		1,183

4.20%, 8/15/2034		555		656

4.60%, 10/15/2038		845		1,053

3.25%, 11/1/2039		715		761

3.45%, 2/1/2050		918		972

4.95%, 10/15/2058		620		843

Cox Communications, Inc.

4.60%, 8/15/2047 (a)		275		333

2.95%, 10/1/2050 (a)		635		586

Discovery Communications LLC

5.20%, 9/20/2047		175		215

4.00%, 9/15/2055 (a)		784		803

Fox Corp. 5.58%, 1/25/2049		690		908

Grupo Televisa SAB (Mexico)

4.63%, 1/30/2026		221		247

6.13%, 1/31/2046		200		260

Time Warner Cable LLC

6.55%, 5/1/2037		400		544

5.50%, 9/1/2041		359		440

Time Warner Entertainment Co. LP 8.38%, 7/15/2033		700		1,045

ViacomCBS, Inc.

4.00%, 1/15/2026		792		886

4.85%, 7/1/2042		140		168

4.38%, 3/15/2043		464		525

5.85%, 9/1/2043		230		305


				19,534


Metals & Mining — 0.4%

Anglo American Capital plc (South Africa)

4.00%, 9/11/2027 (a)		500		568

2.63%, 9/10/2030 (a)		656		665

Barrick Gold Corp. (Canada) 6.45%, 10/15/2035		295		408

Glencore Funding LLC (Australia)

4.13%, 5/30/2023 (a)		454		488

1.63%, 9/1/2025 (a)		1,325		1,343

2.50%, 9/1/2030 (a)		2,945		2,916

Reliance Steel & Aluminum Co. 1.30%, 8/15/2025		2,500		2,500

Steel Dynamics, Inc. 3.45%, 4/15/2030		909		987


				9,875


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Multiline Retail — 0.0% (b)

Dollar General Corp. 4.13%, 5/1/2028		235		273

Kohl’s Corp. 9.50%, 5/15/2025		500		646


				919


Multi-Utilities — 0.3%

CMS Energy Corp. 3.00%, 5/15/2026		475		514

Delmarva Power & Light Co. 4.00%, 6/1/2042		235		261

Dominion Energy, Inc.

Series B, 2.75%, 1/15/2022		331		337

Series F, 5.25%, 8/1/2033		920		1,171

NiSource, Inc.

1.70%, 2/15/2031		740		705

5.80%, 2/1/2042		1,256		1,634

San Diego Gas & Electric Co.

6.00%, 6/1/2026		275		336

3.95%, 11/15/2041		379		426

Southern Co. Gas Capital Corp.

3.50%, 9/15/2021		563		568

3.25%, 6/15/2026		254		279


				6,231


Oil, Gas & Consumable Fuels — 2.3%

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a)		732		827

Boardwalk Pipelines LP 4.80%, 5/3/2029		410		466

BP Capital Markets America, Inc.

1.75%, 8/10/2030		1,070		1,033

2.94%, 6/4/2051		1,995		1,823

BP Capital Markets plc (United Kingdom) 3.51%, 3/17/2025		451		495

Buckeye Partners LP 5.85%, 11/15/2043		770		772

Cameron LNG LLC 3.70%, 1/15/2039 (a)		961		1,049

Cheniere Corpus Christi Holdings LLC

5.88%, 3/31/2025		1,490		1,717

5.13%, 6/30/2027		605		706

Chevron Corp. 2.24%, 5/11/2030		615		629

Chevron USA, Inc. 6.00%, 3/1/2041		999		1,421

Cimarex Energy Co. 3.90%, 5/15/2027		935		1,032

ConocoPhillips 2.40%, 2/15/2031 (a)		505		513

Diamondback Energy, Inc.

4.75%, 5/31/2025		1,085		1,222

3.25%, 12/1/2026		570		606

Ecopetrol SA (Colombia)

5.88%, 9/18/2023		226		250

4.13%, 1/16/2025		533		571


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

Enable Midstream Partners LP

4.95%, 5/15/2028		325		365

4.15%, 9/15/2029		594		632

Energy Transfer Operating LP

4.75%, 1/15/2026		1,191		1,332

6.25%, 4/15/2049		800		957

5.00%, 5/15/2050		500		529

Eni SpA (Italy) 5.70%, 10/1/2040 (a)		925		1,135

Enterprise Products Operating LLC

3.90%, 2/15/2024		475		517

3.70%, 2/15/2026		506		561

Exxon Mobil Corp.

2.99%, 3/19/2025		1,410		1,521

3.00%, 8/16/2039		895		899

Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (a)		1,100		1,081

Gray Oak Pipeline LLC

2.00%, 9/15/2023 (a)		535		543

2.60%, 10/15/2025 (a)		650		665

Hess Corp. 6.00%, 1/15/2040		510		628

HollyFrontier Corp.

2.63%, 10/1/2023		1,275		1,313

5.88%, 4/1/2026		577		650

Kinder Morgan, Inc.

2.00%, 2/15/2031		590		564

3.25%, 8/1/2050		650		590

Magellan Midstream Partners LP

3.20%, 3/15/2025		353		374

5.15%, 10/15/2043		600		724

Marathon Petroleum Corp.

4.50%, 5/1/2023		304		328

3.63%, 9/15/2024		200		218

4.70%, 5/1/2025		180		205

MPLX LP

4.13%, 3/1/2027		259		290

2.65%, 8/15/2030		820		816

4.50%, 4/15/2038		338		374

5.20%, 3/1/2047		323		376

4.70%, 4/15/2048		65		71

5.50%, 2/15/2049		585		711

ONEOK Partners LP

3.38%, 10/1/2022		151		156

5.00%, 9/15/2023		334		365

6.65%, 10/1/2036		350		450


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Oil, Gas & Consumable Fuels — continued

ONEOK, Inc. 3.40%, 9/1/2029		615		644

Phillips 66 Partners LP 3.15%, 12/15/2029		985		1,000

Pioneer Natural Resources Co. 1.90%, 8/15/2030		1,050		1,010

Plains All American Pipeline LP

5.15%, 6/1/2042		460		470

4.70%, 6/15/2044		610		593

Saudi Arabian Oil Co. (Saudi Arabia)

1.25%, 11/24/2023 (a)		200		201

1.63%, 11/24/2025 (a)		278		281

Spectra Energy Partners LP 5.95%, 9/25/2043		452		583

Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038		1,195		1,678

Sunoco Logistics Partners Operations LP

3.90%, 7/15/2026		244		265

6.10%, 2/15/2042		400		456

5.30%, 4/1/2044		170		185

TC PipeLines LP 3.90%, 5/25/2027		391		435

Tennessee Gas Pipeline Co. LLC 2.90%, 3/1/2030 (a)		930		957

Texas Eastern Transmission LP

2.80%, 10/15/2022 (a)		554		571

3.50%, 1/15/2028 (a)		90		98

Total Capital International SA (France)

2.99%, 6/29/2041		1,200		1,209

3.46%, 7/12/2049		815		847

3.13%, 5/29/2050		1,180		1,153

TransCanada PipeLines Ltd. (Canada) 4.88%, 1/15/2026		394		458

Valero Energy Corp.

2.70%, 4/15/2023		735		766

1.20%, 3/15/2024		920		928

2.15%, 9/15/2027		830		830

7.50%, 4/15/2032		175		243

Williams Cos., Inc. (The)

3.90%, 1/15/2025		512		558

4.85%, 3/1/2048		409		475


				51,966


Personal Products — 0.1%

Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030		1,880		1,992


Pharmaceuticals — 0.7%

AstraZeneca plc (United Kingdom)

6.45%, 9/15/2037		300		445

4.00%, 9/18/2042		240		277


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Pharmaceuticals — continued

Bristol-Myers Squibb Co.

3.20%, 6/15/2026		810		892

1.13%, 11/13/2027		625		613

1.45%, 11/13/2030		360		345

4.13%, 6/15/2039		545		657

5.00%, 8/15/2045		740		988

Mylan, Inc. 5.40%, 11/29/2043		520		643

Pfizer, Inc. 3.90%, 3/15/2039		950		1,119

Royalty Pharma plc

0.75%, 9/2/2023 (a)		945		948

1.20%, 9/2/2025 (a)		840		836

1.75%, 9/2/2027 (a)		840		841

3.30%, 9/2/2040 (a)		400		402

3.55%, 9/2/2050 (a)		410		403

Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026		1,713		1,875

Takeda Pharmaceutical Co. Ltd. (Japan)

5.00%, 11/26/2028		895		1,085

3.03%, 7/9/2040		615		618

3.18%, 7/9/2050		590		575

3.38%, 7/9/2060		415		413

Utah Acquisition Sub, Inc. 3.95%, 6/15/2026		300		335

Viatris, Inc. 3.85%, 6/22/2040 (a)		567		601

Zoetis, Inc. 2.00%, 5/15/2030		760		750


				15,661


Road & Rail — 0.3%

Burlington Northern Santa Fe LLC

5.75%, 5/1/2040		425		596

4.38%, 9/1/2042		375		457

5.15%, 9/1/2043		769		1,031

3.55%, 2/15/2050		465		514

CSX Corp.

5.50%, 4/15/2041		150		203

4.75%, 5/30/2042		191		240

4.75%, 11/15/2048		600		760

3.35%, 9/15/2049		95		98

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		515		579

Norfolk Southern Corp. 4.05%, 8/15/2052		600		693

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (a)		1,131		1,222


				6,393


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Semiconductors & Semiconductor Equipment — 0.4%

Analog Devices, Inc. 4.50%, 12/5/2036		300		342

Broadcom, Inc.

4.25%, 4/15/2026		1,000		1,122

1.95%, 2/15/2028 (a)		2,500		2,464

4.11%, 9/15/2028		1,838		2,039

4.75%, 4/15/2029		1,575		1,805

Microchip Technology, Inc. 0.97%, 2/15/2024 (a)		1,290		1,294


				9,066


Software — 0.3%

Citrix Systems, Inc. 1.25%, 3/1/2026		375		373

Microsoft Corp.

3.50%, 2/12/2035		291		340

4.20%, 11/3/2035		615		767

4.10%, 2/6/2037		503		623

3.95%, 8/8/2056		268		333

Oracle Corp.

4.30%, 7/8/2034		82		98

3.80%, 11/15/2037		500		562

3.60%, 4/1/2040		1,600		1,732

4.38%, 5/15/2055		900		1,067


				5,895


Specialty Retail — 0.1%

AutoZone, Inc. 1.65%, 1/15/2031		690		653

Lowe’s Cos., Inc. 3.65%, 4/5/2029		418		469

O’Reilly Automotive, Inc. 3.60%, 9/1/2027		432		483


				1,605


Technology Hardware, Storage & Peripherals — 0.4%

Apple, Inc.

3.20%, 5/11/2027		686		759

3.00%, 6/20/2027		1,125		1,240

3.45%, 2/9/2045		1,130		1,233

3.85%, 8/4/2046		569		651

3.75%, 11/13/2047		150		170

Dell International LLC

5.45%, 6/15/2023 (a)		485		532

6.02%, 6/15/2026 (a)		1,410		1,690

Hewlett Packard Enterprise Co. 1.45%, 4/1/2024		1,070		1,094

HP, Inc. 3.00%, 6/17/2027		665		719


				8,088


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Thrifts & Mortgage Finance — 0.2%

BPCE SA (France)

4.63%, 7/11/2024 (a)		800		891

1.00%, 1/20/2026 (a)		1,005		995

(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c)		690		695

3.38%, 12/2/2026		400		439

(SOFR + 1.31%), 2.28%, 1/20/2032 (a) (c)		730		725


				3,745


Tobacco — 0.2%

Altria Group, Inc. 2.45%, 2/4/2032		1,700		1,650

BAT Capital Corp. (United Kingdom)

2.26%, 3/25/2028		780		780

3.73%, 9/25/2040		520		504

4.54%, 8/15/2047		265		272

3.98%, 9/25/2050		815		771

Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041		100		133


				4,110


Trading Companies & Distributors — 0.3%

Air Lease Corp.

3.38%, 7/1/2025		476		506

2.88%, 1/15/2026		1,000		1,041

3.75%, 6/1/2026		526		570

3.25%, 10/1/2029		2,080		2,145

Aviation Capital Group LLC

3.88%, 5/1/2023 (a)		490		515

5.50%, 12/15/2024 (a)		1,047		1,179

BOC Aviation Ltd. (Singapore)

2.75%, 9/18/2022 (a)		450		460

3.50%, 10/10/2024 (a)		310		332

International Lease Finance Corp. 5.88%, 8/15/2022		506		543


				7,291


Transportation Infrastructure — 0.0% (b)

Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a)		540		547


Water Utilities — 0.1%

American Water Capital Corp.

3.45%, 6/1/2029		795		888

3.45%, 5/1/2050		1,096		1,179


				2,067


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Wireless Telecommunication Services — 0.6%

America Movil SAB de CV (Mexico)

3.63%, 4/22/2029		880		966

4.38%, 4/22/2049		441		519

Rogers Communications, Inc. (Canada) 4.35%, 5/1/2049		560		662

T-Mobile USA, Inc.

1.50%, 2/15/2026 (a)		2,105		2,098

3.75%, 4/15/2027 (a)		2,275		2,506

2.05%, 2/15/2028 (a)		1,550		1,535

3.88%, 4/15/2030 (a)		1,980		2,177

Vodafone Group plc (United Kingdom)

5.25%, 5/30/2048		496		643

4.88%, 6/19/2049		1,105		1,357


				12,463


Total Corporate Bonds (Cost $602,564)				642,242

U.S. Treasury Obligations — 26.0%

U.S. Treasury Bonds

4.38%, 2/15/2038		447		617

1.13%, 5/15/2040		1,615		1,388

3.88%, 8/15/2040		10,235		13,490

1.88%, 2/15/2041		6,600		6,459

2.75%, 11/15/2042		10,800		12,151

3.63%, 8/15/2043		5,214		6,713

3.75%, 11/15/2043		238		312

3.63%, 2/15/2044		7,780		10,030

3.00%, 11/15/2044		8,200		9,611

2.88%, 8/15/2045		2,300		2,645

2.25%, 8/15/2046		11,193		11,500

3.13%, 5/15/2048		3,757		4,556

2.25%, 8/15/2049		5,365		5,519

2.38%, 11/15/2049		3,700		3,910

2.00%, 2/15/2050		7,389		7,198

1.25%, 5/15/2050		6,080		4,910

1.38%, 8/15/2050		565		472

1.63%, 11/15/2050		8,500		7,558

U.S. Treasury Inflation Indexed Bonds

1.75%, 1/15/2028		300		453

3.63%, 4/15/2028		799		1,742

2.50%, 1/15/2029		300		470

U.S. Treasury Inflation Indexed Notes 0.13%, 1/15/2022		2,453		2,888


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
U.S. Treasury Obligations — continued

U.S. Treasury Notes

2.63%, 5/15/2021		1,006		1,011

1.13%, 9/30/2021		4,340		4,367

2.00%, 10/31/2021		1,100		1,114

2.13%, 5/15/2022		50,000		51,219

1.75%, 7/15/2022		5,000		5,112

1.63%, 8/31/2022		3,000		3,067

2.00%, 10/31/2022		1,650		1,701

1.50%, 2/28/2023		3,000		3,082

1.75%, 5/15/2023		2,221		2,298

2.13%, 3/31/2024		30,000		31,679

2.50%, 5/15/2024		8,840		9,460

1.88%, 8/31/2024		569		598

2.25%, 11/15/2024		400		427

1.75%, 12/31/2024		13,555		14,214

2.88%, 4/30/2025		21,212		23,249

0.38%, 12/31/2025		50,000		49,238

1.63%, 5/15/2026		10,000		10,437

1.75%, 12/31/2026		10,154		10,645

0.38%, 9/30/2027		4,690		4,487

0.75%, 1/31/2028		16,500		16,111

2.88%, 5/15/2028		46,198		51,787

1.63%, 8/15/2029		130		134

0.63%, 8/15/2030		970		906

0.88%, 11/15/2030		2,800		2,670

U.S. Treasury STRIPS Bonds

3.46%, 11/15/2021 (g)		11,340		11,337

3.30%, 2/15/2022 (g)		11,793		11,786

2.59%, 5/15/2022 (g)		18,545		18,526

3.24%, 8/15/2022 (g)		1,905		1,902

2.23%, 11/15/2022 (g)		18,375		18,335

3.70%, 2/15/2023 (g)		38,462		38,359

3.23%, 5/15/2023 (g)		14,070		14,014

2.45%, 8/15/2023 (g)		13,900		13,829

2.74%, 11/15/2023 (g)		1,052		1,045

1.88%, 2/15/2024 (g)		11,355		11,251

1.73%, 8/15/2024 (g)		20,600		20,294

7.49%, 5/15/2026 (g)		1,500		1,433

3.73%, 8/15/2026 (g)		1,592		1,513

2.43%, 11/15/2041 (g)		500		319


Total U.S. Treasury Obligations (Cost $571,155)				577,548


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — 17.8%

FHLMC

Pool # 846812, ARM, 2.73%, 4/1/2030 (h)		6		6

Pool # 781087, ARM, 2.36%, 12/1/2033 (h)		140		142

Pool # 1B1665, ARM, 3.65%, 4/1/2034 (h)		119		121

Pool # 847356, ARM, 2.69%, 12/1/2034 (h)		53		53

Pool # 782979, ARM, 2.37%, 1/1/2035 (h)		125		133

Pool # 1Q0025, ARM, 2.34%, 2/1/2036 (h)		43		46

Pool # 848431, ARM, 2.54%, 2/1/2036 (h)		74		78

Pool # 1L1286, ARM, 3.75%, 5/1/2036 (h)		24		25

Pool # 848365, ARM, 2.65%, 7/1/2036 (h)		72		77

Pool # 1A1096, ARM, 1.99%, 10/1/2036 (h)		115		120

Pool # 1G2539, ARM, 2.15%, 10/1/2036 (h)		11		11

Pool # 1J1348, ARM, 2.74%, 10/1/2036 (h)		68		69

Pool # 1G2671, ARM, 2.07%, 11/1/2036 (h)		87		88

Pool # 782760, ARM, 2.49%, 11/1/2036 (h)		119		126

Pool # 1J1634, ARM, 2.27%, 12/1/2036 (h)		70		73

Pool # 1J0282, ARM, 2.26%, 2/1/2037 (h)		41		42

Pool # 1Q0739, ARM, 2.21%, 3/1/2037 (h)		113		119

Pool # 848699, ARM, 2.64%, 7/1/2040 (h)		169		179

FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032		188		202

FHLMC Gold Pools, 30 Year

Pool # C68485, 7.00%, 7/1/2032		19		21

Pool # G01448, 7.00%, 8/1/2032		43		50

Pool # A13625, 5.50%, 10/1/2033		194		228

Pool # A16107, 6.00%, 12/1/2033		70		79

Pool # A17537, 6.00%, 1/1/2034		87		105

Pool # A61572, 5.00%, 9/1/2034		483		562

Pool # A28796, 6.50%, 11/1/2034		98		116

Pool # G03369, 6.50%, 1/1/2035		206		233

Pool # A46987, 5.50%, 7/1/2035		430		499

Pool # G01919, 4.00%, 9/1/2035		193		212

Pool # C02641, 7.00%, 10/1/2036		80		94

Pool # C02660, 6.50%, 11/1/2036		132		156

Pool # A93383, 5.00%, 8/1/2040		355		411

Pool # A93511, 5.00%, 8/1/2040		350		401

Pool # G06493, 4.50%, 5/1/2041		1,479		1,667


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

FHLMC Gold Pools, Other

Pool # P20570, 7.00%, 7/1/2029		40		45

Pool # G20027, 10.00%, 10/1/2030		8		9

Pool # U50105, 4.00%, 1/1/2032		341		367

Pool # U80254, 3.00%, 3/1/2033		409		432

Pool # P20409, 5.50%, 10/1/2033		85		93

Pool # P50201, 5.50%, 1/1/2034		54		58

Pool # U90975, 4.00%, 6/1/2042		1,467		1,611

Pool # U90673, 4.00%, 1/1/2043		365		401

Pool # U99134, 4.00%, 1/1/2046		7,166		7,913

Pool # U69030, 4.50%, 1/1/2046		2,903		3,233

FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035		2,730		2,959

FNMA

Pool # 470623, ARM, 0.92%, 3/1/2022 (h)		822		821

Pool # 54844, ARM, 2.30%, 9/1/2027 (h)		11		11

Pool # 303532, ARM, 3.93%, 3/1/2029 (h)		7		7

Pool # 555258, ARM, 1.65%, 1/1/2033 (h)		257		258

Pool # 722421, ARM, 1.66%, 7/1/2033 (h)		29		29

Pool # 722985, ARM, 2.53%, 7/1/2033 (h)		17		17

Pool # 686040, ARM, 2.63%, 7/1/2033 (h)		126		127

Pool # 746299, ARM, 2.39%, 9/1/2033 (h)		101		107

Pool # 749923, ARM, 2.28%, 11/1/2033 (h)		5		5

Pool # 766610, ARM, 2.03%, 1/1/2034 (h)		77		78

Pool # 920467, ARM, 2.87%, 2/1/2034 (h)		78		78

Pool # 770377, ARM, 3.11%, 4/1/2034 (h)		75		75

Pool # 751531, ARM, 2.71%, 5/1/2034 (h)		99		99

Pool # 782306, ARM, 2.17%, 7/1/2034 (h)		7		7

Pool # 790235, ARM, 2.12%, 8/1/2034 (h)		91		93

Pool # 735332, ARM, 2.87%, 8/1/2034 (h)		166		171

Pool # 791961, ARM, 1.56%, 9/1/2034 (h)		29		29

Pool # 725902, ARM, 2.15%, 9/1/2034 (h)		13		13

Pool # 803594, ARM, 2.02%, 10/1/2034 (h)		93		93

Pool # 803599, ARM, 2.10%, 10/1/2034 (h)		100		100

Pool # 896463, ARM, 2.65%, 10/1/2034 (h)		77		82

Pool # 806776, ARM, 1.81%, 11/1/2034 (h)		140		140

Pool # 806778, ARM, 2.34%, 11/1/2034 (h)		386		389

Pool # 810896, ARM, 1.76%, 1/1/2035 (h)		252		261

Pool # 802692, ARM, 2.00%, 1/1/2035 (h)		246		247

Pool # 816597, ARM, 1.92%, 2/1/2035 (h)		17		17


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # 735539, ARM, 2.68%, 4/1/2035 (h)		411		437

Pool # 745862, ARM, 2.86%, 4/1/2035 (h)		77		78

Pool # 821378, ARM, 2.14%, 5/1/2035 (h)		66		67

Pool # 823660, ARM, 2.88%, 5/1/2035 (h)		64		64

Pool # 745766, ARM, 2.08%, 6/1/2035 (h)		191		195

Pool # 843026, ARM, 1.78%, 9/1/2035 (h)		310		322

Pool # 832801, ARM, 2.10%, 9/1/2035 (h)		47		48

Pool # 849251, ARM, 2.38%, 1/1/2036 (h)		76		80

Pool # 872622, ARM, 2.42%, 6/1/2036 (h)		25		25

Pool # 895141, ARM, 1.82%, 7/1/2036 (h)		103		106

Pool # 900197, ARM, 2.58%, 10/1/2036 (h)		62		66

Pool # 966946, ARM, 2.16%, 1/1/2038 (h)		33		33

FNMA UMBS, 15 Year

Pool # 889634, 6.00%, 2/1/2023		89		91

Pool # 995381, 6.00%, 1/1/2024		24		25

Pool # 995425, 6.00%, 1/1/2024		63		65

Pool # AD0133, 5.00%, 8/1/2024		29		31

FNMA UMBS, 20 Year

Pool # 254305, 6.50%, 5/1/2022		5		5

Pool # 555791, 6.50%, 12/1/2022		11		12

Pool # 255217, 4.50%, 4/1/2024		13		15

Pool # 888656, 6.50%, 4/1/2025		21		24

Pool # MA1138, 3.50%, 8/1/2032		450		488

FNMA UMBS, 30 Year

Pool # 50966, 7.00%, 1/1/2024		1		1

Pool # 399269, 7.00%, 4/1/2026		4		4

Pool # 689977, 8.00%, 3/1/2027		31		34

Pool # 695533, 8.00%, 6/1/2027		12		13

Pool # 756024, 8.00%, 9/1/2028		35		39

Pool # 755973, 8.00%, 11/1/2028		87		100

Pool # 455759, 6.00%, 12/1/2028		9		10

Pool # 252211, 6.00%, 1/1/2029		15		17

Pool # 459097, 7.00%, 1/1/2029		5		5

Pool # 889020, 6.50%, 11/1/2029		237		268

Pool # 598559, 6.50%, 8/1/2031		27		32

Pool # 622542, 5.50%, 9/1/2031		209		239

Pool # 788150, 6.00%, 3/1/2032		27		30

Pool # 649734, 7.00%, 6/1/2032		30		32

Pool # 675555, 6.00%, 12/1/2032		58		67

Pool # AL0045, 6.00%, 12/1/2032		246		291

Pool # 674349, 6.00%, 3/1/2033		11		13

Pool # 688625, 6.00%, 3/1/2033		20		23

Pool # 688655, 6.00%, 3/1/2033		10		11

Pool # 695584, 6.00%, 3/1/2033		5		6


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 702901, 6.00%, 5/1/2033		82		99

Pool # 723852, 5.00%, 7/1/2033		89		102

Pool # 729296, 5.00%, 7/1/2033		222		255

Pool # 729379, 6.00%, 8/1/2033		18		20

Pool # 737825, 6.00%, 9/1/2033		30		35

Pool # 750977, 4.50%, 11/1/2033		62		69

Pool # 725017, 5.50%, 12/1/2033		352		412

Pool # 751341, 5.50%, 3/1/2034		40		46

Pool # 888568, 5.00%, 12/1/2034		8		9

Pool # 815426, 4.50%, 2/1/2035		1		1

Pool # AD0755, 7.00%, 6/1/2035		2,470		2,920

Pool # 820347, 5.00%, 9/1/2035		63		73

Pool # 833657, 7.50%, 8/1/2036		38		43

Pool # 986648, 6.00%, 9/1/2037		117		140

Pool # 888892, 7.50%, 11/1/2037		36		43

Pool # 257510, 7.00%, 12/1/2038		105		126

Pool # AD0753, 7.00%, 1/1/2039		78		95

Pool # AT5891, 3.00%, 6/1/2043		2,457		2,669

Pool # AL7527, 4.50%, 9/1/2043		1,107		1,246

Pool # BM3500, 4.00%, 9/1/2047		3,495		3,919

Pool # BJ1778, 4.50%, 10/1/2047		1,303		1,432

Pool # BN9180, 4.00%, 6/1/2049		1,407		1,522

Pool # BK8753, 4.50%, 6/1/2049		3,033		3,333

Pool # BO1219, 4.50%, 6/1/2049		3,586		3,909

Pool # BO7077, 3.00%, 9/1/2049		3,474		3,661

FNMA, 30 Year

Pool # 535183, 8.00%, 6/1/2028		4		5

Pool # 252409, 6.50%, 3/1/2029		44		50

Pool # 653815, 7.00%, 2/1/2033		8		8

Pool # 752786, 6.00%, 9/1/2033		59		66

Pool # 931717, 6.50%, 8/1/2039		255		292

FNMA, Other

Pool # 468102, 4.34%, 6/1/2021		5,000		4,999

Pool # AL0602, 4.14%, 7/1/2021 (h)		441		441

Pool # 470622, 2.75%, 3/1/2022		504		514

Pool # AM3789, 3.02%, 7/1/2023		2,177		2,280

Pool # AM7245, 2.95%, 8/1/2023		4,313		4,548

Pool # AM4066, 3.59%, 8/1/2023		2,500		2,645

Pool # AM4628, 3.69%, 11/1/2023		1,454		1,564

Pool # AM4668, 3.76%, 11/1/2023		1,906		2,034

Pool # AM4716, 3.38%, 12/1/2023		1,896		2,044

Pool # AM7231, 2.92%, 12/1/2024		3,921		4,222

Pool # AM7589, 2.95%, 12/1/2024		1,513		1,630

Pool # AM7290, 2.97%, 12/1/2024		3,396		3,663

Pool # AM7576, 3.04%, 12/1/2024		3,924		4,243


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # AM7124, 3.11%, 12/1/2024		2,451		2,656

Pool # 470300, 3.64%, 1/1/2025		883		972

Pool # AM3833, 3.25%, 7/1/2025		3,487		3,813

Pool # AM4991, 3.97%, 12/1/2025		1,676		1,890

Pool # AL6805, 3.78%, 1/1/2026 (h)		3,411		3,816

Pool # 468645, 4.54%, 7/1/2026		2,530		2,863

Pool # AM6448, 3.25%, 9/1/2026		9,582		10,604

Pool # AM7223, 3.11%, 12/1/2026		3,397		3,748

Pool # AM7118, 3.14%, 12/1/2026		2,707		2,984

Pool # AM7390, 3.26%, 12/1/2026		3,711		4,101

Pool # AM7265, 3.30%, 12/1/2026		3,800		4,224

Pool # AM7515, 3.34%, 2/1/2027		3,000		3,342

Pool # AM8803, 2.78%, 6/1/2027		4,805		5,231

Pool # AM8987, 2.79%, 6/1/2027		1,789		1,948

Pool # BL1040, 3.81%, 12/1/2028		3,000		3,481

Pool # BL4364, 2.24%, 11/1/2029		5,456		5,778

Pool # BL4333, 2.52%, 11/1/2029		6,174		6,642

Pool # AM7785, 3.17%, 2/1/2030		2,845		3,147

Pool # AM7516, 3.55%, 2/1/2030		2,000		2,248

Pool # AM8544, 3.08%, 4/1/2030		7,600		8,357

Pool # AM8889, 2.92%, 5/1/2030		8,000		8,750

Pool # AM8804, 3.10%, 5/1/2030		3,617		3,984

Pool # AM9020, 2.97%, 6/1/2030		3,814		4,163

Pool # BL9251, 1.45%, 10/1/2030		4,500		4,424

Pool # BL4315, 2.39%, 9/1/2031		4,550		4,839

Pool # AP9632, 4.00%, 10/1/2032		334		362

Pool # AP9762, 4.00%, 10/1/2032		552		603

Pool # AQ7084, 3.50%, 12/1/2032		614		664

Pool # AT2703, 3.50%, 5/1/2033		1,305		1,411

Pool # AT2954, 3.50%, 5/1/2033		791		856

Pool # AT4180, 3.50%, 5/1/2033		694		750

Pool # AT4939, 3.50%, 5/1/2033		694		750

Pool # 754922, 5.50%, 9/1/2033		80		92

Pool # 762520, 4.00%, 11/1/2033		402		433

Pool # AM8922, 3.03%, 6/1/2035		2,662		2,912

Pool # AM9188, 3.12%, 6/1/2035		7,000		7,782

Pool # 849215, 6.50%, 1/1/2036		20		21

Pool # 872740, 6.50%, 6/1/2036		50		53

Pool # 886320, 6.50%, 7/1/2036		18		19

Pool # 888796, 6.00%, 9/1/2037		64		72

Pool # AO7225, 4.00%, 7/1/2042		486		534

Pool # AO9352, 4.00%, 7/1/2042		644		711

Pool # MA1125, 4.00%, 7/1/2042		712		781

Pool # AR1397, 3.00%, 1/1/2043		1,256		1,346

Pool # MA1711, 4.50%, 12/1/2043		2,476		2,778


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — continued

Pool # MA1828, 4.50%, 3/1/2044		1,893		2,124

Pool # BF0464, 3.50%, 3/1/2060		4,271		4,700

FNMA/FHLMC UMBS, Single Family, 15 Year TBA, 2.00%, 4/25/2036 (i)		5,320		5,498

FNMA/FHLMC UMBS, Single Family, 30 Year

TBA, 2.00%, 4/25/2051 (i)		81,600		82,252

TBA, 2.50%, 4/25/2051 (i)		15,000		15,519

GNMA I, 30 Year

Pool # 345288, 7.50%, 3/15/2023		1		1

Pool # 782507, 9.50%, 10/15/2024		1		1

Pool # 554108, 6.50%, 3/15/2028		40		44

Pool # 481872, 7.50%, 7/15/2028		3		4

Pool # 468149, 8.00%, 8/15/2028		3		3

Pool # 486537, 7.50%, 9/15/2028		9		9

Pool # 486631, 6.50%, 10/15/2028		5		5

Pool # 591882, 6.50%, 7/15/2032		14		15

Pool # 607645, 6.50%, 2/15/2033		31		35

Pool # 607724, 7.00%, 2/15/2033		34		39

Pool # 604209, 6.50%, 4/15/2033		36		41

Pool # 781614, 7.00%, 6/15/2033		57		69

Pool # BM2141, 5.00%, 7/15/2049		940		1,087

GNMA II, 30 Year

Pool # 2006, 8.50%, 5/20/2025		7		8

Pool # 2141, 8.00%, 12/20/2025		1		1

Pool # 2234, 8.00%, 6/20/2026		3		4

Pool # 2270, 8.00%, 8/20/2026		2		2

Pool # 2285, 8.00%, 9/20/2026		2		3

Pool # 2324, 8.00%, 11/20/2026		3		3

Pool # 2499, 8.00%, 10/20/2027		4		5

Pool # 2512, 8.00%, 11/20/2027		6		7

Pool # 2525, 8.00%, 12/20/2027		3		3

Pool # 2549, 7.50%, 2/20/2028		4		5

Pool # 2646, 7.50%, 9/20/2028		11		13

Pool # 2647, 8.00%, 9/20/2028		1		2

Pool # 3427, 4.50%, 8/20/2033		81		92

Pool # 4245, 6.00%, 9/20/2038		603		711

Pool # AK8806, 4.25%, 3/20/2045		1,387		1,574

Pool # BM2118, 4.50%, 6/20/2049		801		871

Pool # BO0535, 4.00%, 7/20/2049		2,192		2,372

Pool # BO8227, 5.00%, 7/20/2049		1,459		1,638

Pool # BO8228, 5.00%, 7/20/2049		622		690

Pool # BO8229, 5.00%, 7/20/2049		1,740		1,963

Pool # BM9734, 4.00%, 10/20/2049		4,314		4,697

Pool # BQ4115, 3.00%, 3/20/2050		5,088		5,301

Pool # MA7052, 2.50%, 12/20/2050		9,345		9,712


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Pool # MA7136, 2.50%, 1/20/2051		23,724		24,641

Pool # 785294, 3.50%, 1/20/2051		5,000		5,541

GNMA II, Other

Pool # AC0979, 4.05%, 4/20/2063 (h)		133		134

Pool # AC0973, 4.17%, 5/20/2063 (h)		147		148


Total Mortgage-Backed Securities (Cost $381,831)				394,480

Collateralized Mortgage Obligations — 12.1%

ACC 9/15/2022 ‡		3,060		3,060

Acre 6.25%, 12/22/2021 ‡		3,785		3,747

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		4,306		4,358

Series 2005-1CB, Class 1A6, IF, IO, 6.98%, 3/25/2035 ‡ (h)		551		85

Series 2005-22T1, Class A2, IF, IO, 4.95%, 6/25/2035 ‡ (h)		3,439		520

Series 2005-20CB, Class 3A8, IF, IO, 4.63%, 7/25/2035 ‡ (h)		1,519		197

Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035		1,517		1,520

Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035		66		45

Series 2005-37T1, Class A2, IF, IO, 4.93%, 9/25/2035 ‡ (h)		2,597		381

Series 2005-54CB, Class 1A2, IF, IO, 4.73%, 11/25/2035 ‡ (h)		2,466		354

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		980		929

Series 2005-57CB, Class 3A2, IF, IO, 4.98%, 12/25/2035 ‡ (h)		616		76

Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035		460		461

Series 2006-26CB, Class A9, 6.50%, 9/25/2036		938		683

Banc of America Alternative Loan Trust

Series 2004-6, Class 15, PO, 7/25/2019 ‡		6		5

Series 2006-4, Class 1A4, 6.00%, 5/25/2046		281		276

Banc of America Funding Trust

Series 2004-1, PO, 3/25/2034 ‡		107		85

Series 2004-2, Class 30, PO, 9/20/2034 ‡		86		72

Series 2004-C, Class 1A1, 3.23%, 12/20/2034 (h)		65		67

Series 2005-E, Class 4A1, 3.00%, 3/20/2035 (h)		21		22

Series 2005-6, Class 2A7, 5.50%, 10/25/2035		167		169


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2005-7, Class 30, PO, 11/25/2035 ‡		121		113

Series 2005-8, Class 30, PO, 1/25/2036 ‡		87		65

Series 2006-A, Class 3A2, 2.85%, 2/20/2036 (h)		155		151

Banc of America Mortgage Trust Series 2004-A, Class 2A2, 2.53%, 2/25/2034 (h)		40		41

Bayview Financing Trust Series 2020-3F, Class A, 3.12%, 11/10/2022 ‡ (a) (h)		3,890		3,890

BCAP LLC Trust Series 2009-RR5, Class 8A1, 5.50%, 11/26/2034 (a) (h)		15		15

Bear Stearns ARM Trust

Series 2003-7, Class 3A, 2.60%, 10/25/2033 (h)		35		34

Series 2004-1, Class 12A1, 3.12%, 4/25/2034 (h)		216		215

Series 2004-2, Class 14A, 3.25%, 5/25/2034 (h)		36		36

Series 2006-1, Class A1, 2.37%, 2/25/2036 (h)		527		546

CFMT LLC Series 2020-HB4, Class A, 0.95%, 12/26/2030 (a) (h)		3,868		3,869

CHL Mortgage Pass-Through Trust

Series 2004-8, Class 2A1, 4.50%, 6/25/2019		2		—	(j)

Series 2004-HYB1, Class 2A, 2.66%, 5/20/2034 (h)		37		39

Series 2004-HYB3, Class 2A, 3.01%, 6/20/2034 (h)		200		204

Series 2004-7, Class 2A1, 3.57%, 6/25/2034 (h)		122		123

Series 2004-HYB6, Class A3, 2.77%, 11/20/2034 (h)		163		168

Series 2005-16, Class A23, 5.50%, 9/25/2035		270		239

Series 2005-22, Class 2A1, 2.67%, 11/25/2035 (h)		846		810

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust

Series 2005-5, Class A, PO, 8/25/2035 ‡		34		29

Series 2005-8, Class A, PO, 11/25/2035 ‡		65		54

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class 1, PO, 6/25/2033 ‡		1		1

Series 2003-HYB1, Class A, 2.60%, 9/25/2033 (h)		35		36

Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (a) (h)		384		404


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Citigroup Mortgage Loan Trust, Inc.

Series 2003-1, Class 3, PO, 9/25/2033 ‡		25			23

Series 2003-UP3, Class A3, 7.00%, 9/25/2033		10			10

Series 2003-1, Class 2, PO, 10/25/2033 ‡		5			4

Series 2003-1, Class 2A6, PO, 10/25/2033 ‡		14			13

Series 2003-1, Class 2A5, 5.25%, 10/25/2033		26			27

Series 2004-UST1, Class A6, 2.63%, 8/25/2034 (h)		12			12

Series 2005-1, Class 2A1A, 2.23%, 2/25/2035 (h)		170			160

Series 2005-2, Class 2A11, 5.50%, 5/25/2035		169			175

Series 2005-5, Class 1A2, 2.89%, 8/25/2035 (h)		217			176

Conix Mortgage Asset Trust Series 2013-1, Class A, 0.00%, 12/25/2047 ‡ (h) (k)		1,079			17

Credit Suisse First Boston Mortgage Securities Corp.

Series 2003-1, Class DB1, 6.71%, 2/25/2033 (h)		239			244

Series 2003-21, Class 1A4, 5.25%, 9/25/2033		64			66

Series 2003-25, Class 1P, PO, 10/25/2033 ‡		164			145

CSFB Mortgage-Backed Pass-Through Certificates

Series 2005-4, Class 3A18, 5.50%, 6/25/2035		842			855

Series 2005-4, Class 3A23, 5.50%, 6/25/2035		1,775			1,802

CSMA SFR Holdings II 7/25/2023 ‡		2,967			2,964

CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (a) (h)		7,776			7,768

FHLMC — GNMA Series 8, Class ZA, 7.00%, 3/25/2023		14			15

FHLMC, REMIC

Series 1065, Class J, 9.00%, 4/15/2021		—	(j)		—	(j)

Series 1144, Class KB, 8.50%, 9/15/2021		—	(j)		—	(j)

Series 1250, Class J, 7.00%, 5/15/2022		1			1

Series 1343, Class LB, 7.50%, 8/15/2022		2			2

Series 1343, Class LA, 8.00%, 8/15/2022		1			1

Series 1370, Class JA, 1.26%, 9/15/2022 (h)		3			3

Series 2512, Class PG, 5.50%, 10/15/2022		33			34


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1455, Class WB, IF, 4.61%, 12/15/2022 (h)		3			3

Series 2535, Class BK, 5.50%, 12/15/2022		16			17

Series 1470, Class F, 1.47%, 2/15/2023 (h)		—	(j)		—	(j)

Series 2568, Class KG, 5.50%, 2/15/2023		49			51

Series 1466, Class PZ, 7.50%, 2/15/2023		17			18

Series 1498, Class I, 1.26%, 4/15/2023 (h)		21			22

Series 1502, Class PX, 7.00%, 4/15/2023		34			36

Series 1798, Class F, 5.00%, 5/15/2023		26			27

Series 1505, Class Q, 7.00%, 5/15/2023		4			4

Series 1518, Class G, IF, 8.87%, 5/15/2023 (h)		8			9

Series 1541, Class O, 0.24%, 7/15/2023 (h)		9			9

Series 2638, Class DS, IF, 8.49%, 7/15/2023 (h)		6			7

Series 1541, Class M, HB, IF, 25.64%, 7/15/2023 (h)		3			4

Series 1570, Class F, 1.96%, 8/15/2023 (h)		1			1

Series 1608, Class L, 6.50%, 9/15/2023		90			96

Series 1573, Class PZ, 7.00%, 9/15/2023		28			29

Series 2571, Class SK, HB, IF, 34.02%, 9/15/2023 (h)		12			16

Series 1591, Class PV, 6.25%, 10/15/2023		17			18

Series 1602, Class SA, HB, IF, 22.34%, 10/15/2023 (h)		10			12

Series 2710, Class HB, 5.50%, 11/15/2023		147			153

Series 1642, Class PJ, 6.00%, 11/15/2023		45			47

Series 2716, Class UN, 4.50%, 12/15/2023		101			104

Series 1638, Class H, 6.50%, 12/15/2023		62			66

Series 2283, Class K, 6.50%, 12/15/2023		25			27

Series 1700, Class GA, PO, 2/15/2024		4			4

Series 1865, Class D, PO, 2/15/2024		30			30

Series 1760, Class ZD, 0.61%, 2/15/2024 (h)		74			74

Series 1671, Class QC, IF, 10.00%, 2/15/2024 (h)		11			12

Series 1686, Class SH, IF, 18.95%, 2/15/2024 (h)		2			2

Series 1709, Class FA, 0.26%, 3/15/2024 (h)		1			1

Series 1699, Class FC, 0.73%, 3/15/2024 (h)		3			3

Series 1695, Class EB, 7.00%, 3/15/2024		15			15

Series 1706, Class K, 7.00%, 3/15/2024		43			46

Series 2033, Class SN, HB, IF, 29.36%, 3/15/2024 (h)		7			1


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2306, Class K, PO, 5/15/2024		8		8

Series 2306, Class SE, IF, IO, 9.49%, 5/15/2024 (h)		19		2

Series 1745, Class D, 7.50%, 8/15/2024		11		12

Series 3720, Class A, 4.50%, 9/15/2025		84		89

Series 3131, Class BK, 5.50%, 3/15/2026		304		326

Series 1829, Class ZB, 6.50%, 3/15/2026		8		8

Series 1863, Class Z, 6.50%, 7/15/2026		9		9

Series 1890, Class H, 7.50%, 9/15/2026		12		13

Series 1899, Class ZE, 8.00%, 9/15/2026		36		42

Series 3229, Class HE, 5.00%, 10/15/2026		320		340

Series 1963, Class Z, 7.50%, 1/15/2027		31		36

Series 1935, Class FL, 0.81%, 2/15/2027 (h)		2		2

Series 1981, Class Z, 6.00%, 5/15/2027		45		49

Series 1970, Class PG, 7.25%, 7/15/2027		3		3

Series 1987, Class PE, 7.50%, 9/15/2027		18		21

Series 2019, Class Z, 6.50%, 12/15/2027		39		44

Series 2038, Class PN, IO, 7.00%, 3/15/2028		34		5

Series 2040, Class PE, 7.50%, 3/15/2028		72		84

Series 4251, Class KW, 2.50%, 4/15/2028		3,684		3,841

Series 2043, Class CJ, 6.50%, 4/15/2028		10		12

Series 2054, Class PV, 7.50%, 5/15/2028		52		59

Series 2075, Class PM, 6.25%, 8/15/2028		113		127

Series 2075, Class PH, 6.50%, 8/15/2028		101		115

Series 2086, Class GB, 6.00%, 9/15/2028		31		35

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		49		5

Series 2095, Class PE, 6.00%, 11/15/2028		131		147

Series 2125, Class JZ, 6.00%, 2/15/2029		43		48

Series 2136, Class PG, 6.00%, 3/15/2029		51		57

Series 2132, Class SB, HB, IF, 30.02%, 3/15/2029 (h)		9		15

Series 2141, IO, 7.00%, 4/15/2029		15		1

Series 2169, Class TB, 7.00%, 6/15/2029		169		194

Series 2163, Class PC, IO, 7.50%, 6/15/2029		17		2

Series 2172, Class QC, 7.00%, 7/15/2029		111		130

Series 2176, Class OJ, 7.00%, 8/15/2029		81		95

Series 2201, Class C, 8.00%, 11/15/2029		42		48

Series 2209, Class TC, 8.00%, 1/15/2030		43		52

Series 2210, Class Z, 8.00%, 1/15/2030		83		99

Series 2224, Class CB, 8.00%, 3/15/2030		20		24

Series 2230, Class Z, 8.00%, 4/15/2030		52		62

Series 2234, Class PZ, 7.50%, 5/15/2030		35		42


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2247, Class Z, 7.50%, 8/15/2030		38		44

Series 2256, Class MC, 7.25%, 9/15/2030		50		60

Series 2259, Class ZM, 7.00%, 10/15/2030		73		87

Series 2262, Class Z, 7.50%, 10/15/2030		11		13

Series 2271, Class PC, 7.25%, 12/15/2030		82		98

Series 2296, Class PD, 7.00%, 3/15/2031		49		58

Series 2313, Class LA, 6.50%, 5/15/2031		38		44

Series 2325, Class PM, 7.00%, 6/15/2031		59		70

Series 2359, Class ZB, 8.50%, 6/15/2031		138		169

Series 2344, Class ZD, 6.50%, 8/15/2031		465		540

Series 2344, Class ZJ, 6.50%, 8/15/2031		41		48

Series 2345, Class NE, 6.50%, 8/15/2031		32		38

Series 2351, Class PZ, 6.50%, 8/15/2031		38		44

Series 2353, Class AZ, 6.00%, 9/15/2031		251		281

Series 2367, Class ME, 6.50%, 10/15/2031		81		92

Series 2396, Class FM, 0.56%, 12/15/2031 (h)		133		134

Series 2399, Class OH, 6.50%, 1/15/2032		100		117

Series 2399, Class TH, 6.50%, 1/15/2032		120		141

Series 2410, Class OE, 6.38%, 2/15/2032		35		38

Series 2410, Class NG, 6.50%, 2/15/2032		112		131

Series 2420, Class XK, 6.50%, 2/15/2032		163		191

Series 2464, Class SI, IF, IO, 7.89%, 2/15/2032 (h)		218		39

Series 2410, Class QX, IF, IO, 8.54%, 2/15/2032 (h)		49		10

Series 2412, Class SP, IF, 15.88%, 2/15/2032 (h)		101		134

Series 2410, Class QS, IF, 19.21%, 2/15/2032 (h)		85		124

Series 2430, Class WF, 6.50%, 3/15/2032		227		268

Series 2423, Class MC, 7.00%, 3/15/2032		126		149

Series 2423, Class MT, 7.00%, 3/15/2032		107		128

Series 2444, Class ES, IF, IO, 7.84%, 3/15/2032 (h)		88		16

Series 2450, Class SW, IF, IO, 7.89%, 3/15/2032 (h)		70		13

Series 2435, Class CJ, 6.50%, 4/15/2032		159		186

Series 2434, Class TC, 7.00%, 4/15/2032		120		143

Series 2436, Class MC, 7.00%, 4/15/2032		76		87

Series 2455, Class GK, 6.50%, 5/15/2032		238		279

Series 2450, Class GZ, 7.00%, 5/15/2032		68		81

Series 2462, Class JG, 6.50%, 6/15/2032		106		125

Series 2466, Class PH, 6.50%, 6/15/2032		177		208

Series 2474, Class NR, 6.50%, 7/15/2032		101		116

Series 2484, Class LZ, 6.50%, 7/15/2032		123		147


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2500, Class MC, 6.00%, 9/15/2032		117		137

Series 2835, Class QO, PO, 12/15/2032		17		16

Series 2543, Class YX, 6.00%, 12/15/2032		225		258

Series 2544, Class HC, 6.00%, 12/15/2032		191		229

Series 2552, Class ME, 6.00%, 1/15/2033		254		297

Series 2567, Class QD, 6.00%, 2/15/2033		277		326

Series 2575, Class ME, 6.00%, 2/15/2033		631		732

Series 2596, Class QG, 6.00%, 3/15/2033		157		176

Series 2586, Class WI, IO, 6.50%, 3/15/2033		77		15

Series 2692, Class SC, IF, 13.06%, 7/15/2033 (h)		43		57

Series 4240, Class B, 3.00%, 8/15/2033		2,501		2,722

Series 3920, Class LP, 5.00%, 1/15/2034		639		734

Series 2744, Class PE, 5.50%, 2/15/2034		12		13

Series 3611, PO, 7/15/2034		42		39

Series 2990, Class UZ, 5.75%, 6/15/2035		1,536		1,774

Series 3004, Class EK, 5.50%, 7/15/2035		1,233		1,488

Series 3014, Class OD, PO, 8/15/2035		42		38

Series 3085, Class WF, 0.91%, 8/15/2035 (h)		108		110

Series 3047, Class OD, 5.50%, 10/15/2035		802		897

Series 3074, Class BH, 5.00%, 11/15/2035		255		280

Series 3064, Class MC, 5.50%, 11/15/2035		3,095		3,677

Series 3102, Class FB, 0.41%, 1/15/2036 (h)		111		112

Series 3102, Class HS, HB, IF, 24.16%, 1/15/2036 (h)		33		47

Series 3117, Class EO, PO, 2/15/2036		264		244

Series 3117, Class OK, PO, 2/15/2036		155		144

Series 3134, PO, 3/15/2036		39		37

Series 3152, Class MO, PO, 3/15/2036		210		196

Series 3122, Class ZB, 6.00%, 3/15/2036		26		38

Series 3138, PO, 4/15/2036		167		154

Series 3607, Class BO, PO, 4/15/2036		87		82

Series 3219, Class DI, IO, 6.00%, 4/15/2036		135		28

Series 3819, Class ZQ, 6.00%, 4/15/2036		839		993

Series 3149, Class SO, PO, 5/15/2036		29		24

Series 3233, Class OP, PO, 5/15/2036		57		53

Series 3171, Class MO, PO, 6/15/2036		32		31

Series 3179, Class OA, PO, 7/15/2036		152		137

Series 3194, Class SA, IF, IO, 6.99%, 7/15/2036 (h)		29		6

Series 3211, Class SO, PO, 9/15/2036		182		171

Series 3218, Class AO, PO, 9/15/2036		85		72


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 3232, Class ST, IF, IO, 6.59%, 10/15/2036 (h)		208			43

Series 3256, PO, 12/15/2036		116			107

Series 3261, Class OA, PO, 1/15/2037		140			128

Series 3260, Class CS, IF, IO, 6.03%, 1/15/2037 (h)		232			46

Series 3274, Class JO, PO, 2/15/2037		33			32

Series 3275, Class FL, 0.55%, 2/15/2037 (h)		41			41

Series 3290, Class SB, IF, IO, 6.34%, 3/15/2037 (h)		293			53

Series 3318, Class AO, PO, 5/15/2037		9			9

Series 3607, PO, 5/15/2037		177			161

Series 3315, Class HZ, 6.00%, 5/15/2037		193			221

Series 3326, Class JO, PO, 6/15/2037		10			10

Series 3331, PO, 6/15/2037		127			118

Series 3607, Class OP, PO, 7/15/2037		383			344

Series 4048, Class FJ, 0.54%, 7/15/2037 (h)		541			541

Series 3385, Class SN, IF, IO, 5.89%, 11/15/2037 (h)		37			6

Series 3387, Class SA, IF, IO, 6.31%, 11/15/2037 (h)		170			32

Series 3422, Class AI, IO, 0.25%, 1/15/2038 (f)		1,091			8

Series 3404, Class SC, IF, IO, 5.89%, 1/15/2038 (h)		306			61

Series 3424, Class PI, IF, IO, 6.69%, 4/15/2038 (h)		264			63

Series 3481, Class SJ, IF, IO, 5.74%, 8/15/2038 (h)		348			66

Series 3511, Class SA, IF, IO, 5.89%, 2/15/2039 (h)		240			39

Series 3549, Class FA, 1.31%, 7/15/2039 (h)		27			28

Series 3997, Class PF, 0.56%, 11/15/2039 (h)		—	(j)		—	(j)

Series 3621, Class BO, PO, 1/15/2040		126			117

Series 3747, Class PY, 4.00%, 10/15/2040		1,000			1,132

Series 3925, Class FL, 0.56%, 1/15/2041 (h)		270			271

Series 3852, Class QN, IF, 5.50%, 5/15/2041 (h)		157			170

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h)		477			511

Series 3957, Class B, 4.00%, 11/15/2041		209			230

Series 3966, Class NA, 4.00%, 12/15/2041		415			461

Series 4217, Class KY, 3.00%, 6/15/2043		2,000			2,131

Series 4822, Class ZB, 4.00%, 7/15/2048		3,867			4,163


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


FHLMC, STRIPS

Series 134, Class B, IO, 9.00%, 4/1/2022		—	(j)		—	(j)

Series 233, Class 11, IO, 5.00%, 9/15/2035		288			53

Series 233, Class 13, IO, 5.00%, 9/15/2035		410			75

Series 299, Class 300, 3.00%, 1/15/2043		2,613			2,715

Series 310, PO, 9/15/2043		1,049			912

Series 323, Class 300, 3.00%, 1/15/2044		1,994			2,095

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.15%, 7/25/2032 (h)		266			299

Series T-76, Class 2A, 1.71%, 10/25/2037 (h)		767			781

Series T-51, Class 2A, 7.50%, 8/25/2042 (h)		177			223

Series T-54, Class 2A, 6.50%, 2/25/2043		1,012			1,202

Series T-54, Class 3A, 7.00%, 2/25/2043		282			339

Series T-58, Class A, PO, 9/25/2043		92			78

Series T-59, Class 1AP, PO, 10/25/2043		217			153

First Horizon Alternative Mortgage Securities Trust

Series 2004-AA4, Class A1, 2.40%, 10/25/2034 (h)		181			187

Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035		500			370

Series 2007-FA4, Class 1A2, IF, IO, 5.53%, 8/25/2037 ‡ (h)		1,062			234

FMC GMSR Issuer Trust Series 2020-GT1, Class A, 4.45%, 1/25/2026 (a) (h)		5,000			5,006

FNMA Trust, Whole Loan

Series 2004-W1, Class 2A2, 7.00%, 12/25/2033		88			104

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		181			214

Series 2004-W15, Class 2AF, 0.37%, 8/25/2044 (h)		253			252

Series 2005-W3, Class 2AF, 0.34%, 3/25/2045 (h)		724			721

Series 2006-W2, Class 1AF1, 0.34%, 2/25/2046 (h)		231			231

FNMA, Grantor Trust, Whole Loan

Series 2002-T19, Class A2, 7.00%, 7/25/2042		518			621

Series 2004-T3, Class 1A3, 7.00%, 2/25/2044		277			331

FNMA, REMIC

Series 2001-48, Class Z, 6.50%, 9/25/2021		15			15

Series G-51, Class SA, HB, IF, 27.90%, 12/25/2021 (h)		—	(j)		—	(j)


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2002-1, Class HC, 6.50%, 2/25/2022		2			2

Series 2007-15, Class NO, PO, 3/25/2022		5			5

Series 1992-101, Class J, 7.50%, 6/25/2022		—	(j)		—	(j)

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(j)		—	(j)

Series G92-35, Class E, 7.50%, 7/25/2022		4			4

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(j)		—	(j)

Series G92-35, Class G, HB, 1,184.78%, 7/25/2022		—	(j)		—	(j)

Series 1992-136, Class PK, 6.00%, 8/25/2022		3			4

Series 1996-59, Class J, 6.50%, 8/25/2022		2			2

Series G92-52, Class FD, 0.15%, 9/25/2022 (h)		1			1

Series 1992-143, Class MA, 5.50%, 9/25/2022		1			2

Series G92-54, Class ZQ, 7.50%, 9/25/2022		2			2

Series 1992-163, Class M, 7.75%, 9/25/2022		5			5

Series G92-62, Class B, PO, 10/25/2022		2			2

Series G92-59, Class F, 1.16%, 10/25/2022 (h)		1			1

Series G92-61, Class Z, 7.00%, 10/25/2022		2			2

Series 1992-188, Class PZ, 7.50%, 10/25/2022		14			14

Series G93-1, Class KA, 7.90%, 1/25/2023		9			9

Series G93-5, Class Z, 6.50%, 2/25/2023		3			3

Series 1997-61, Class ZC, 7.00%, 2/25/2023		55			58

Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (h)		2			2

Series G93-14, Class J, 6.50%, 3/25/2023		4			4

Series 1993-25, Class J, 7.50%, 3/25/2023		8			9

Series 1993-21, Class KA, 7.70%, 3/25/2023		5			6

Series 1998-4, Class C, PO, 4/25/2023		2			2

Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (h)		8			9

Series 1993-62, Class SA, IF, 19.46%, 4/25/2023 (h)		3			4

Series 1998-43, Class SA, HB, IF, 20.48%, 4/25/2023 (h)		11			2

Series 2003-39, Class LW, 5.50%, 5/25/2023		105			109

Series 2003-41, Class PE, 5.50%, 5/25/2023		44			46


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2008-47, Class SI, IF, IO, 6.38%, 6/25/2023 (h)		6			—	(j)

Series G93-27, Class FD, 1.00%, 8/25/2023 (h)		7			7

Series 2002-83, Class CS, 6.88%, 8/25/2023		73			77

Series 1999-38, Class SK, IF, IO, 7.93%, 8/25/2023 (h)		2			—	(j)

Series 1996-14, Class SE, IF, IO, 9.64%, 8/25/2023 (h)		37			3

Series 1993-205, Class H, PO, 9/25/2023		5			5

Series G93-37, Class H, PO, 9/25/2023		1			1

Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (h)		5			5

Series 1993-165, Class SD, IF, 13.88%, 9/25/2023 (h)		2			2

Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (h)		2			2

Series 1999-52, Class NS, HB, IF, 23.05%, 10/25/2023 (h)		6			7

Series 1993-179, Class SB, HB, IF, 27.74%, 10/25/2023 (h)		3			4

Series 1995-19, Class Z, 6.50%, 11/25/2023		44			47

Series 1993-230, Class FA, 0.73%, 12/25/2023 (h)		4			4

Series 1993-247, Class FE, 1.12%, 12/25/2023 (h)		8			8

Series 1993-225, Class UB, 6.50%, 12/25/2023		11			11

Series 1993-247, Class SU, IF, 12.49%, 12/25/2023 (h)		4			4

Series 2002-1, Class UD, HB, IF, 24.09%, 12/25/2023 (h)		8			10

Series 2009-9, IO, 5.00%, 2/25/2024		—	(j)		—

Series 2009-18, IO, 5.00%, 3/25/2024		—	(j)		—

Series 1994-37, Class L, 6.50%, 3/25/2024		33			35

Series 1994-40, Class Z, 6.50%, 3/25/2024		207			222

Series 2004-53, Class NC, 5.50%, 7/25/2024		33			34

Series 1995-2, Class Z, 8.50%, 1/25/2025		8			9

Series G95-1, Class C, 8.80%, 1/25/2025		8			9

Series 1997-20, IO, 1.84%, 3/25/2027 (h)		17			—	(j)

Series 1997-27, Class J, 7.50%, 4/18/2027		6			6

Series 1997-29, Class J, 7.50%, 4/20/2027		12			14

Series 1997-39, Class PD, 7.50%, 5/20/2027		71			81


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1997-42, Class ZC, 6.50%, 7/18/2027		5		6

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		20		2

Series 1998-36, Class ZB, 6.00%, 7/18/2028		32		36

Series 1998-66, Class SB, IF, IO, 8.03%, 12/25/2028 (h)		15		1

Series 1999-18, Class Z, 5.50%, 4/18/2029		43		47

Series 1999-17, Class C, 6.35%, 4/25/2029		22		24

Series 1999-62, Class PB, 7.50%, 12/18/2029		35		41

Series 2000-2, Class ZE, 7.50%, 2/25/2030		109		127

Series 2013-103, Class VG, 3.00%, 3/25/2030		3,500		3,572

Series 2000-20, Class SA, IF, IO, 8.98%, 7/25/2030 (h)		51		6

Series 2000-52, IO, 8.50%, 1/25/2031		11		2

Series 2001-7, Class PF, 7.00%, 3/25/2031		24		28

Series 2011-31, Class DB, 3.50%, 4/25/2031		1,555		1,681

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		88		13

Series 2001-30, Class PM, 7.00%, 7/25/2031		75		90

Series 2001-36, Class DE, 7.00%, 8/25/2031		80		95

Series 2001-49, Class Z, 6.50%, 9/25/2031		21		25

Series 2001-44, Class MY, 7.00%, 9/25/2031		201		241

Series 2001-44, Class PD, 7.00%, 9/25/2031		28		34

Series 2001-44, Class PU, 7.00%, 9/25/2031		26		31

Series 2001-52, Class KB, 6.50%, 10/25/2031		27		31

Series 2003-52, Class SX, HB, IF, 22.60%, 10/25/2031 (h)		44		64

Series 2001-61, Class Z, 7.00%, 11/25/2031		289		347

Series 2001-72, Class SX, IF, 17.19%, 12/25/2031 (h)		7		10

Series 2002-1, Class SA, HB, IF, 24.81%, 2/25/2032 (h)		12		18

Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (h)		240		8

Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (h)		3		4


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2002-21, Class LO, PO, 4/25/2032		8		8

Series 2002-21, Class PE, 6.50%, 4/25/2032		74		87

Series 2002-28, Class PK, 6.50%, 5/25/2032		192		225

Series 2012-66, Class CB, 3.00%, 6/25/2032		3,000		3,273

Series 2002-37, Class Z, 6.50%, 6/25/2032		51		58

Series 2006-130, Class GI, IO, 6.50%, 7/25/2032		208		31

Series 2002-48, Class GH, 6.50%, 8/25/2032		298		353

Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (h)		34		40

Series 2004-59, Class BG, PO, 12/25/2032		93		87

Series 2002-77, Class S, IF, 14.27%, 12/25/2032 (h)		41		51

Series 2003-22, Class UD, 4.00%, 4/25/2033		866		961

Series 2003-35, Class UC, 3.75%, 5/25/2033		9		10

Series 2003-42, Class GB, 4.00%, 5/25/2033		61		68

Series 2003-34, Class AX, 6.00%, 5/25/2033		169		198

Series 2003-34, Class ED, 6.00%, 5/25/2033		777		906

Series 2003-39, IO, 6.00%, 5/25/2033 (h)		35		6

Series 2003-33, Class IA, IO, 6.50%, 5/25/2033		287		59

Series 2007-97, Class KI, IO, 7.00%, 5/25/2033		515		54

Series 2003-47, Class PE, 5.75%, 6/25/2033		133		151

Series 2004-4, Class QI, IF, IO, 6.98%, 6/25/2033 (h)		145		6

Series 2004-4, Class QM, IF, 13.96%, 6/25/2033 (h)		14		15

Series 2003-64, Class SX, IF, 13.44%, 7/25/2033 (h)		39		50

Series 2003-132, Class OA, PO, 8/25/2033		18		17

Series 2003-72, Class IE, IO, 5.50%, 8/25/2033		276		47

Series 2003-71, Class DS, IF, 7.30%, 8/25/2033 (h)		302		340

Series 2003-74, Class SH, IF, 9.96%, 8/25/2033 (h)		61		72

Series 2003-91, Class SD, IF, 12.30%, 9/25/2033 (h)		62		76


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2013-101, Class AE, 3.00%, 10/25/2033		3,349		3,641

Series 2013-101, Class E, 3.00%, 10/25/2033		3,000		3,253

Series 2013-108, Class GU, 3.00%, 10/25/2033		4,000		4,343

Series 2003-116, Class SB, IF, IO, 7.48%, 11/25/2033 (h)		398		79

Series 2006-44, Class P, PO, 12/25/2033		678		634

Series 2003-130, Class SX, IF, 11.34%, 1/25/2034 (h)		9		10

Series 2004-25, Class SA, IF, 19.20%, 4/25/2034 (h)		181		261

Series 2004-46, Class SK, IF, 16.18%, 5/25/2034 (h)		347		463

Series 2004-36, Class SA, IF, 19.20%, 5/25/2034 (h)		395		582

Series 2004-46, Class QB, HB, IF, 23.53%, 5/25/2034 (h)		135		204

Series 2004-51, Class SY, IF, 14.00%, 7/25/2034 (h)		70		86

Series 2005-74, Class CS, IF, 19.70%, 5/25/2035 (h)		119		150

Series 2005-56, Class S, IF, IO, 6.59%, 7/25/2035 (h)		388		81

Series 2005-66, Class SG, IF, 17.08%, 7/25/2035 (h)		114		160

Series 2005-68, Class PG, 5.50%, 8/25/2035		350		399

Series 2005-84, Class XM, 5.75%, 10/25/2035		978		1,108

Series 2005-110, Class GL, 5.50%, 12/25/2035		2,771		3,139

Series 2006-46, Class UC, 5.50%, 12/25/2035		275		295

Series 2005-109, Class PC, 6.00%, 12/25/2035		333		374

Series 2006-39, Class WC, 5.50%, 1/25/2036		291		315

Series 2006-16, Class OA, PO, 3/25/2036		132		123

Series 2006-22, Class AO, PO, 4/25/2036		218		203

Series 2006-23, Class KO, PO, 4/25/2036		38		37

Series 2006-44, Class GO, PO, 6/25/2036		286		268

Series 2006-53, Class US, IF, IO, 6.46%, 6/25/2036 (h)		435		84

Series 2006-56, PO, 7/25/2036		231		216

Series 2006-58, PO, 7/25/2036		121		113

Series 2006-58, Class AP, PO, 7/25/2036		257		237


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2006-65, Class QO, PO, 7/25/2036		192		181

Series 2006-56, Class FC, 0.41%, 7/25/2036 (h)		420		421

Series 2006-58, Class FL, 0.58%, 7/25/2036 (h)		30		31

Series 2006-60, Class DZ, 6.50%, 7/25/2036		4,727		5,433

Series 2006-72, Class TO, PO, 8/25/2036		37		34

Series 2006-79, Class DO, PO, 8/25/2036		152		147

Series 2007-7, Class SG, IF, IO, 6.38%, 8/25/2036 (h)		785		233

Series 2006-77, Class PC, 6.50%, 8/25/2036		513		594

Series 2006-90, Class AO, PO, 9/25/2036		109		103

Series 2008-42, Class AO, PO, 9/25/2036		59		54

Series 2009-19, Class IP, IO, 5.50%, 10/25/2036		773		161

Series 2006-109, PO, 11/25/2036		58		53

Series 2006-110, PO, 11/25/2036		366		341

Series 2006-111, Class EO, PO, 11/25/2036		40		37

Series 2006-124, Class HB, 2.24%, 11/25/2036 (h)		520		530

Series 2006-119, PO, 12/25/2036		42		40

Series 2006-118, Class A2, 0.19%, 12/25/2036 (h)		190		189

Series 2009-70, Class CO, PO, 1/25/2037		311		289

Series 2006-128, Class BP, 5.50%, 1/25/2037		103		113

Series 2007-77, Class FG, 0.62%, 3/25/2037 (h)		56		57

Series 2007-16, Class FC, 0.87%, 3/25/2037 (h)		72		75

Series 2007-14, Class ES, IF, IO, 6.32%, 3/25/2037 (h)		547		101

Series 2007-42, Class AO, PO, 5/25/2037		24		22

Series 2007-48, PO, 5/25/2037		88		85

Series 2007-60, Class AX, IF, IO, 7.03%, 7/25/2037 (h)		1,520		386

Series 2007-81, Class GE, 6.00%, 8/25/2037		178		205

Series 2007-88, Class VI, IF, IO, 6.42%, 9/25/2037 (h)		990		215

Series 2007-91, Class ES, IF, IO, 6.34%, 10/25/2037 (h)		738		158

Series 2007-116, Class HI, IO, 1.45%, 1/25/2038 (h)		439		19

Series 2008-1, Class BI, IF, IO, 5.79%, 2/25/2038 (h)		243		47


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2008-16, Class IS, IF, IO, 6.08%, 3/25/2038 (h)		90		15

Series 2008-10, Class XI, IF, IO, 6.11%, 3/25/2038 (h)		226		43

Series 2008-27, Class SN, IF, IO, 6.78%, 4/25/2038 (h)		129		23

Series 2008-44, PO, 5/25/2038		7		7

Series 2008-53, Class CI, IF, IO, 7.08%, 7/25/2038 (h)		181		33

Series 2008-80, Class SA, IF, IO, 5.73%, 9/25/2038 (h)		438		81

Series 2008-81, Class SB, IF, IO, 5.73%, 9/25/2038 (h)		419		70

Series 2009-6, Class GS, IF, IO, 6.43%, 2/25/2039 (h)		382		86

Series 2009-62, Class HJ, 6.00%, 5/25/2039		89		94

Series 2009-60, Class HT, 6.00%, 8/25/2039		318		373

Series 2009-103, Class MB, 2.92%, 12/25/2039 (h)		156		162

Series 2009-99, Class SC, IF, IO, 6.06%, 12/25/2039 (h)		91		14

Series 2010-49, Class SC, IF, 12.42%, 3/25/2040 (h)		298		378

Series 2010-64, Class DM, 5.00%, 6/25/2040		147		166

Series 2010-71, Class HJ, 5.50%, 7/25/2040		240		278

Series 2010-147, Class SA, IF, IO, 6.41%, 1/25/2041 (h)		1,017		241

Series 2011-30, Class LS, IO, 2.44%, 4/25/2041 (h)		444		31

Series 2011-75, Class FA, 0.67%, 8/25/2041 (h)		134		135

Series 2011-118, Class MT, 7.00%, 11/25/2041		334		405

Series 2011-130, Class CA, 6.00%, 12/25/2041		596		698

Series 2013-81, Class TA, 3.00%, 2/25/2043		2,000		2,075

Series 2013-92, PO, 9/25/2043		929		858

Series 2013-90, Class PM, 3.50%, 9/25/2043		1,694		1,821

Series 2013-101, Class DO, PO, 10/25/2043		1,487		1,296

Series 2013-128, PO, 12/25/2043		1,768		1,570

Series 2011-2, Class WA, 5.86%, 2/25/2051 (h)		216		247


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 38.47%, 7/25/2037 (h)		10		17

Series 2003-W4, Class 2A, 5.74%, 10/25/2042 (h)		44		51

Series 2003-W1, Class 1A1, 5.15%, 12/25/2042 (h)		390		426

Series 2003-W1, Class 2A, 5.64%, 12/25/2042 (h)		161		179

Series 2009-W1, Class A, 6.00%, 12/25/2049		487		562

FNMA, REMIC, Whole Loan

Series 2007-101, Class A2, 0.34%, 6/27/2036 (h)		276		272

Series 2007-54, Class FA, 0.52%, 6/25/2037 (h)		194		196

Series 2007-106, Class A7, 6.25%, 10/25/2037 (h)		114		132

FNMA, STRIPS

Series 218, Class 2, IO, 7.50%, 4/25/2023		1		—	(j)

Series 265, Class 2, 9.00%, 3/25/2024		1		2

Series 329, Class 1, PO, 1/25/2033		34		32

Series 345, Class 6, IO, 5.00%, 12/25/2033 (h)		50		7

Series 351, Class 7, IO, 5.00%, 4/25/2034 (h)		164		21

Series 355, Class 11, IO, 6.00%, 7/25/2034		140		25

Series 365, Class 8, IO, 5.50%, 5/25/2036		209		42

Series 374, Class 5, IO, 5.50%, 8/25/2036		111		20

Series 393, Class 6, IO, 5.50%, 4/25/2037		41		6

Series 383, Class 32, IO, 6.00%, 1/25/2038		53		12

Series 383, Class 33, IO, 6.00%, 1/25/2038		137		26

Freedom Series 2021-SAVF 1, 0.00%, 6/25/2021 ‡		4,400		4,400

GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 3.48%, 6/19/2035 (h)		581		566

GNMA

Series 1999-4, Class ZB, 6.00%, 2/20/2029		225		225

Series 2001-35, Class SA, IF, IO, 8.14%, 8/16/2031 (h)		74		—	(j)

Series 2002-52, Class GH, 6.50%, 7/20/2032		327		327

Series 2002-75, Class PB, 6.00%, 11/20/2032		645		655

Series 2003-58, Class BE, 6.50%, 1/20/2033		470		509

Series 2003-12, Class SP, IF, IO, 7.59%, 2/20/2033 (h)		109		13

Series 2003-24, PO, 3/16/2033		21		21


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-40, Class TJ, 6.50%, 3/20/2033		566		617

Series 2003-46, Class TC, 6.50%, 3/20/2033		268		295

Series 2003-46, Class MG, 6.50%, 5/20/2033		354		399

Series 2003-52, Class AP, PO, 6/16/2033		101		96

Series 2003-90, PO, 10/20/2033		29		28

Series 2003-112, Class SA, IF, IO, 6.44%, 12/16/2033 (h)		363		41

Series 2004-28, Class S, IF, 19.37%, 4/16/2034 (h)		167		241

Series 2004-73, Class AE, IF, 14.63%, 8/17/2034 (h)		10		10

Series 2004-90, Class SI, IF, IO, 5.99%, 10/20/2034 (h)		507		82

Series 2005-68, Class DP, IF, 16.17%, 6/17/2035 (h)		56		71

Series 2010-14, Class CO, PO, 8/20/2035		176		164

Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (h)		802		127

Series 2005-68, Class KI, IF, IO, 6.19%, 9/20/2035 (h)		1,144		240

Series 2005-91, Class PI, IO, 6.00%, 12/20/2035		164		26

Series 2006-16, Class OP, PO, 3/20/2036		75		70

Series 2006-38, Class SW, IF, IO, 6.39%, 6/20/2036 (h)		101		6

Series 2006-38, Class ZK, 6.50%, 8/20/2036		891		1,009

Series 2006-59, Class SD, IF, IO, 6.59%, 10/20/2036 (h)		237		36

Series 2006-65, Class SA, IF, IO, 6.69%, 11/20/2036 (h)		403		53

Series 2011-22, Class WA, 5.84%, 2/20/2037 (h)		382		440

Series 2007-57, PO, 3/20/2037		118		114

Series 2007-17, Class JO, PO, 4/16/2037		72		65

Series 2007-17, Class JI, IF, IO, 6.70%, 4/16/2037 (h)		673		149

Series 2007-19, Class SD, IF, IO, 6.09%, 4/20/2037 (h)		365		37

Series 2007-28, Class BO, PO, 5/20/2037		77		71

Series 2007-26, Class SC, IF, IO, 6.09%, 5/20/2037 (h)		305		51

Series 2007-27, Class SA, IF, IO, 6.09%, 5/20/2037 (h)		311		45

Series 2007-36, Class SE, IF, IO, 6.36%, 6/16/2037 (h)		192		25


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2007-47, Class PH, 6.00%, 7/16/2037		2,500		2,893

Series 2007-40, Class SB, IF, IO, 6.64%, 7/20/2037 (h)		633		126

Series 2007-42, Class SB, IF, IO, 6.64%, 7/20/2037 (h)		379		63

Series 2007-50, Class AI, IF, IO, 6.66%, 8/20/2037 (h)		226		12

Series 2007-53, Class SW, IF, 19.87%, 9/20/2037 (h)		32		43

Series 2008-32, Class PI, IO, 5.50%, 10/16/2037		76		4

Series 2009-79, Class OK, PO, 11/16/2037		108		102

Series 2007-73, Class MI, IF, IO, 5.89%, 11/20/2037 (h)		212		27

Series 2007-76, Class SA, IF, IO, 6.42%, 11/20/2037 (h)		417		57

Series 2007-72, Class US, IF, IO, 6.44%, 11/20/2037 (h)		203		27

Series 2007-79, Class SY, IF, IO, 6.44%, 12/20/2037 (h)		189		28

Series 2008-2, Class NS, IF, IO, 6.43%, 1/16/2038 (h)		366		51

Series 2008-2, Class MS, IF, IO, 7.05%, 1/16/2038 (h)		110		21

Series 2008-10, Class S, IF, IO, 5.72%, 2/20/2038 (h)		223		30

Series 2008-36, Class SH, IF, IO, 6.19%, 4/20/2038 (h)		314		1

Series 2008-40, Class SA, IF, IO, 6.29%, 5/16/2038 (h)		1,936		358

Series 2008-55, Class SA, IF, IO, 6.09%, 6/20/2038 (h)		170		29

Series 2008-71, Class SC, IF, IO, 5.89%, 8/20/2038 (h)		83		12

Series 2009-25, Class SE, IF, IO, 7.49%, 9/20/2038 (h)		150		24

Series 2008-93, Class AS, IF, IO, 5.59%, 12/20/2038 (h)		219		29

Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038		72		3

Series 2009-6, Class SA, IF, IO, 5.99%, 2/16/2039 (h)		223		25

Series 2009-12, Class IE, IO, 5.50%, 3/20/2039		495		75

Series 2009-14, Class KI, IO, 6.50%, 3/20/2039		210		38

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		205		46


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2009-22, Class SA, IF, IO, 6.16%, 4/20/2039 (h)		468			75

Series 2009-33, Class CI, IO, 5.50%, 5/20/2039		108			15

Series 2009-33, Class TI, IO, 6.00%, 5/20/2039		114			21

Series 2009-43, Class SA, IF, IO, 5.84%, 6/20/2039 (h)		203			28

Series 2009-72, Class SM, IF, IO, 6.14%, 8/16/2039 (h)		465			74

Series 2010-31, Class NO, PO, 3/20/2040		822			764

Series 2013-75, Class WA, 5.14%, 6/20/2040 (h)		986			1,125

Series 2010-130, Class CP, 7.00%, 10/16/2040		128			154

Series 2010-157, Class OP, PO, 12/20/2040		865			793

Series 2011-75, Class SM, IF, IO, 6.49%, 5/20/2041 (h)		620			94

Series 2014-188, Class W, 4.59%, 10/20/2041 (h)		432			481

Series 2012-141, Class WC, 3.68%, 1/20/2042 (h)		264			288

Series 2013-54, Class WA, 4.85%, 11/20/2042 (h)		1,529			1,737

Series 2013-91, Class WA, 4.48%, 4/20/2043 (h)		693			765

Series 2013-116, Class JY, 4.00%, 8/16/2043		1,300			1,503

Series 2018-160, Class PA, 3.50%, 7/20/2046		3,964			4,121

Series 2012-H24, Class FG, 0.57%, 4/20/2060 (h)		10			10

Series 2013-H03, Class FA, 0.44%, 8/20/2060 (h)		1			1

Series 2012-H21, Class CF, 0.84%, 5/20/2061 (h)		15			15

Series 2013-H05, Class FB, 0.54%, 2/20/2062 (h)		86			86

Series 2012-H15, Class FA, 0.59%, 5/20/2062 (h)		—	(j)		—	(j)

Series 2012-H26, Class MA, 0.69%, 7/20/2062 (h)		3			3

Series 2012-H28, Class FA, 0.72%, 9/20/2062 (h)		9			9

Series 2012-H29, Class FA, 0.66%, 10/20/2062 (h)		746			747

Series 2012-H31, Class FD, 0.48%, 12/20/2062 (h)		963			962


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2013-H01, Class FA, 1.65%, 1/20/2063		105		105

Series 2013-H08, Class FC, 0.59%, 2/20/2063 (h)		856		856

Series 2013-H04, Class BA, 1.65%, 2/20/2063		59		59

Series 2013-H07, Class HA, 0.55%, 3/20/2063 (h)		892		893

Series 2013-H09, Class HA, 1.65%, 4/20/2063		132		132

Series 2013-H18, Class JA, 0.74%, 8/20/2063 (h)		1,557		1,564

Series 2014-H01, Class FD, 0.79%, 1/20/2064 (h)		1,103		1,109

Series 2014-H09, Class TA, 0.75%, 4/20/2064 (h)		1,165		1,170

Series 2015-H15, Class FD, 0.58%, 6/20/2065 (h)		1,450		1,451

Series 2015-H15, Class FJ, 0.58%, 6/20/2065 (h)		3,249		3,253

Series 2015-H16, Class FG, 0.58%, 7/20/2065 (h)		2,111		2,114

Series 2015-H23, Class FB, 0.66%, 9/20/2065 (h)		2,161		2,170

Series 2015-H32, Class FH, 0.80%, 12/20/2065 (h)		1,621		1,636

Series 2017-H08, Class XI, IO, 2.12%, 3/20/2067 (h)		7,579		744

GSMPS Mortgage Loan Trust

Series 2001-2, Class A, 7.50%, 6/19/2032 (a) (h)		394		396

Series 2005-RP3, Class 1AF, 0.47%, 9/25/2035 (a) (h)		669		561

Series 2005-RP3, Class 1AS, IO, 4.25%, 9/25/2035 ‡ (a) (h)		505		59

Series 2006-RP2, Class 1AS2, IF, IO, 5.93%, 4/25/2036 ‡ (a) (h)		2,062		310

GSR Mortgage Loan Trust

Series 2004-6F, Class 3A4, 6.50%, 5/25/2034		169		183

Series 2004-8F, Class 2A3, 6.00%, 9/25/2034		84		86

Series 2004-13F, Class 3A3, 6.00%, 11/25/2034		223		234

Series 2005-4F, Class AP, PO, 5/25/2035 ‡		4		4

Series 2005-7F, Class 3A9, 6.00%, 9/25/2035		419		436

Series 2006-1F, Class 2A4, 6.00%, 2/25/2036		984		714


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Headlands Residential LLC Series 2019-RPL1, Class NOTE, 3.97%, 6/25/2024 (a) (f)		4,600		4,628

Impac CMB Trust

Series 2004-7, Class 1A1, 0.86%, 11/25/2034 (h)		684		700

Series 2005-4, Class 2A1, 0.72%, 5/25/2035 (h)		103		103

Impac Secured Assets Trust

Series 2006-1, Class 2A1, 0.47%, 5/25/2036 (h)		182		183

Series 2006-2, Class 2A1, 0.47%, 8/25/2036 (h)		38		38

JPMorgan Mortgage Trust

Series 2006-A2, Class 5A3, 2.54%, 11/25/2033 (h)		259		271

Series 2006-A3, Class 6A1, 3.02%, 8/25/2034 (h)		56		56

Series 2006-A2, Class 4A1, 3.06%, 8/25/2034 (h)		201		211

Lehman Mortgage Trust

Series 2006-2, Class 1A1, 5.97%, 4/25/2036 (h)		221		187

Series 2008-2, Class 1A6, 6.00%, 3/25/2038		527		300

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 3.00%, 4/21/2034 (h)		119		121

Series 2004-4, Class 2A1, 2.92%, 5/25/2034 (h)		32		31

Series 2004-13, Class 3A7, 3.18%, 11/21/2034 (h)		286		298

Series 2004-15, Class 3A1, 3.14%, 12/25/2034 (h)		150		144

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		4		4

Series 2004-8, Class 6A1, 5.50%, 9/25/2019		2		3

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		141		143

Series 2003-3, Class 1A1, 6.50%, 5/25/2033		106		110

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		229		238

Series 2004-3, Class 2A1, 6.25%, 4/25/2034		179		183

Series 2004-6, Class 30, PO, 7/25/2034 ‡		156		131

Series 2004-6, Class 7A1, 6.00%, 7/25/2034		270		284

Series 2004-7, Class 30, PO, 8/25/2034 ‡		80		68


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


MASTR Asset Securitization Trust

Series 2004-6, Class 15, PO, 7/25/2019 ‡		—	(j)		—	(j)

Series 2003-12, Class 30, PO, 12/25/2033 ‡		11			10

Series 2004-1, Class 30, PO, 2/25/2034 ‡		9			8

MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 0.47%, 5/25/2035 (a) (h)		1,396			765

MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (a)		91			76

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 0.74%, 10/25/2028 (h)		64			65

Series 2003-F, Class A1, 0.76%, 10/25/2028 (h)		543			546

Series 2004-A, Class A1, 0.58%, 4/25/2029 (h)		110			110

Series 2004-1, Class 2A1, 2.25%, 12/25/2034 (h)		168			171

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (h)		219			217

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		34			35

Series 2003-A1, Class A1, 5.50%, 5/25/2033		10			11

Series 2003-A1, Class A2, 6.00%, 5/25/2033		57			58

P-stla 7.25%, 10/11/2026 ‡		2,600			2,600

PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (a) (h)		4,150			4,148

RALI Trust

Series 2002-QS16, Class A3, IF, 16.38%, 10/25/2017 (h)		—	(j)		—	(j)

Series 2003-QS9, Class A3, IF, IO, 7.43%, 5/25/2018 ‡ (h)		3			—	(j)

Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡		—	(j)		—

Series 2003-QS12, Class A2A, IF, IO, 7.48%, 6/25/2018 ‡ (h)		—	(j)		—	(j)

Series 2003-QS14, Class A1, 5.00%, 7/25/2018		6			6

Series 2004-QA6, Class NB2, 3.01%, 12/26/2034 (h)		531			477

RBSSP Resecuritization Trust Series 2009-12, Class 1A1, 5.33%, 11/25/2033 (a) (h)		73			73


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Residential Asset Securitization Trust

Series 2005-A2, Class A4, IF, IO, 4.93%, 3/25/2035 ‡ (h)		1,090			190

Series 2006-A4, Class 2A5, 6.00%, 5/25/2036		245			247

RFMSI Trust

Series 2004-S9, Class 2A1, 4.75%, 12/25/2019		—	(j)		—	(j)

Series 2005-SA4, Class 1A1, 2.95%, 9/25/2035 (h)		101			91

RMIP 5.60%, 8/25/2021 ‡		1,696			1,665

SART

4.75%, 7/15/2024		2,259			2,286

4.76%, 6/15/2025		2,354			2,401

Seasoned Credit Risk Transfer Trust

Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡		3,667			4,010

Series 2019-3, Class MB, 3.50%, 10/25/2058 ‡		1,725			1,939

Structured Asset Mortgage INVESTMENTS II Trust Series 2004-AR5, Class 1A1, 0.77%, 10/19/2034 (h)		244			239

Thornburg Mortgage Securities Trust

Series 2003-4, Class A1, 0.76%, 9/25/2043 (h)		109			111

Series 2004-4, Class 3A, 1.87%, 12/25/2044 (h)		237			244

Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (f)		2,795			2,833

Vendee Mortgage Trust

Series 1994-1, Class 1, 5.22%, 2/15/2024 (h)		82			86

Series 1994-1, Class 2ZB, 6.50%, 2/15/2024		112			119

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		183			206

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		139			156

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		280			318

Series 1998-1, Class 2E, 7.00%, 3/15/2028		344			385

Series 1999-1, Class 2Z, 6.50%, 1/15/2029		669			747

Series 2003-2, Class Z, 5.00%, 5/15/2033		2,993			3,397

vMobo, Inc. 7.50%, 5/31/2024		3,131			3,131

VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 3/27/2051 (a) (f)		7,155			7,151

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (f)		5,120			5,118

WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033		487			504


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR8, Class A, 2.92%, 8/25/2033 (h)		36		37

Series 2003-AR9, Class 2A, 2.78%, 9/25/2033 (h)		69		68

Series 2003-AR9, Class 1A6, 2.79%, 9/25/2033 (h)		608		614

Series 2003-S9, Class P, PO, 10/25/2033 ‡		19		16

Series 2003-S9, Class A8, 5.25%, 10/25/2033		278		287

Series 2004-AR3, Class A1, 3.62%, 6/25/2034 (h)		44		46

Series 2004-AR3, Class A2, 3.62%, 6/25/2034 (h)		37		38

Series 2006-AR10, Class 2P, 3.06%, 9/25/2036 ‡ (h)		60		49

Series 2006-AR12, Class 2P, 2.63%, 10/25/2036 ‡ (h)		61		60

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

Series 2005-2, Class 2A3, IF, IO, 4.88%, 4/25/2035 ‡ (h)		700		100

Series 2005-2, Class 1A4, IF, IO, 4.93%, 4/25/2035 ‡ (h)		2,915		383

Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡		841		144

Series 2005-4, Class CB7, 5.50%, 6/25/2035		930		887

Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡		779		137

Series 2005-6, Class 2A4, 5.50%, 8/25/2035		168		167

Series 2005-6, Class 2A9, 5.50%, 8/25/2035		1,077		1,067

Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037		178		178


Total Collateralized Mortgage Obligations (Cost $251,078)				268,217

Asset-Backed Securities — 9.2%

Academic Loan Funding Trust Series 2013-1A, Class A, 0.92%, 12/26/2044 (a) (h)		823		821

ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (a)		934		941

Air Canada Pass-Through Trust (Canada)

Series 2013-1, Class A, 4.13%, 5/15/2025 (a)		560		550

Series 2015-2, Class AA, 3.75%, 12/15/2027 (a)		211		213


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2017-1, Class AA, 3.30%, 1/15/2030 (a)		428		418

Series 2017-1, Class A, 3.55%, 1/15/2030 (a)		606		557

American Airlines Pass-Through Trust

Series 2016-3, Class AA, 3.00%, 10/15/2028		336		333

Series 2017-1, Class AA, 3.65%, 2/15/2029		455		460

American Homes 4 Rent

Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (a)		3,795		4,097

Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (a)		1,275		1,388

American Homes 4 Rent Trust

Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (a)		3,565		3,827

Series 2014-SFR2, Class D, 5.15%, 10/17/2036 ‡ (a)		2,000		2,179

Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (a)		850		936

Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (a)		2,663		2,859

Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (a)		500		539

Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (a)		2,380		2,645

American Tower Trust #1 3.07%, 3/15/2023 (a)		750		759

AMSR Trust

Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (a)		3,500		3,578

Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (a)		4,000		4,016

British Airways Pass-Through Trust (United Kingdom)

Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)		539		558

Series 2018-1, Class A, 4.13%, 9/20/2031 (a)		864		857

Series 2019-1, Class AA, 3.30%, 12/15/2032 (a)		686		679

Business Jet Securities LLC

Series 2018-2, Class B, 5.44%, 6/15/2033 (a)		1,477		1,502

Series 2019-1, Class A, 4.21%, 7/15/2034 (a)		1,425		1,451

Series 2019-1, Class B, 5.19%, 7/15/2034 ‡ (a)		2,961		2,966


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2020-1A, Class A, 2.98%, 11/15/2035 (a)		1,273		1,296

Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡		4,825		4,952

Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (a)		804		819

Carvana Auto Receivables Trust

Series 2019-4A, Class A3, 2.30%, 9/15/2023 (a)		1,125		1,134

Series 2019-2A, Class C, 3.00%, 6/17/2024 (a)		4,675		4,810

Series 2019-3A, Class C, 2.71%, 10/15/2024 (a)		5,240		5,397

Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 ‡ (f)		374		393

Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039		800		1,139

Continental Airlines Pass-Through Trust Series 2007-1, Class A, 5.98%, 4/19/2022		259		266

Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (a)		2,070		2,092

CoreVest American Finance Trust

Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (a)		2,000		2,160

Series 2020-3, Class B, 2.20%, 8/15/2053 ‡ (a)		2,855		2,743

CPS Auto Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (a)		2,964		3,065

Credit Acceptance Auto Loan Trust

Series 2018-3A, Class B, 3.89%, 10/15/2027 (a)		2,097		2,147

Series 2021-2A, Class C, 1.64%, 6/17/2030 (a)		7,280		7,262

Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (a)		3,224		3,295

CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 1.02%, 10/25/2034 (h)		71		69

DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) (i)		2,700		2,700

Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027		251		256

Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (a)		3,426		3,546


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Drive Auto Receivables Trust

Series 2017-1, Class D, 3.84%, 3/15/2023		866		874

Series 2017-3, Class D, 3.53%, 12/15/2023 (a)		2,007		2,034

Series 2016-CA, Class D, 4.18%, 3/15/2024 (a)		1,302		1,312

Series 2019-4, Class C, 2.51%, 11/17/2025		1,960		2,003

Exeter Automobile Receivables Trust

Series 2019-4A, Class C, 2.44%, 9/16/2024 (a)		2,170		2,211

Series 2019-3A, Class D, 3.11%, 8/15/2025 (a)		3,540		3,676

FirstKey Homes Trust Series 2020-SFR2, Class E, 2.67%, 10/19/2037 ‡ (a)		3,000		3,066

Flagship Credit Auto Trust Series 2016-2, Class C, 6.22%, 9/15/2022 (a)		1,145		1,148

FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027		4,850		5,275

Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (a)		899		931

FREED ABS Trust Series 2019-2, Class A, 2.62%, 11/18/2026 (a)		486		488

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (h)		60		54

Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (a)		180		182

Goodgreen Series 2019-2A, Class A, 2.76%, 10/15/2054 (a)		2,148		2,198

Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (a)		456		476

HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (a)		615		584

HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (a)		1,393		1,447

HERO Funding Trust (Cayman Islands)

Series 2016-3A, Class A1, 3.08%, 9/20/2042 (a)		601		615

Series 2017-1A, Class A2, 4.46%, 9/20/2047 (a)		1,383		1,468

Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (a)		141		145

Home Equity Mortgage Loan Asset-Backed Trust Series 2006-A, Class A3, 0.52%, 3/25/2036 ‡ (h)		22		22

KGS-Alpha SBA COOF Trust

Series 2012-2, Class A, IO, 0.76%, 8/25/2038 ‡ (a) (h)		2,470		51


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2013-2, Class A, IO, 1.79%, 3/25/2039 ‡ (a) (h)		2,421		97

Series 2015-2, Class A, IO, 3.18%, 7/25/2041 ‡ (a) (h)		850		98

Lendmark Funding Trust Series 2019-1A, Class B, 3.40%, 12/20/2027 ‡ (a)		3,319		3,432

LV Tower 52 Issuer

Series 2013-1, Class A, 5.75%, 7/15/2019 ‡ (a)		2,680		2,703

Series 2013-1, Class M, 7.75%, 7/15/2019 ‡ (a)		984		993

Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (a)		567		605

MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (a)		3,316		3,390

New Century Home Equity Loan Trust Series 2003-5, Class AI6, 6.00%, 11/25/2033 ‡ (f)		316		325

NRZ Excess Spread-Collateralized Notes Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a)		1,964		1,973

OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (a)		1,863		1,897

Oportun Funding X LLC Series 2018-C, Class A, 4.10%, 10/8/2024 (a)		5,756		5,845

Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (a)		3,010		3,090

Pretium Mortgage Credit Partners I LLC Series 2020-CFL1, Class A1, 3.10%, 2/27/2060 (a) (f)		3,354		3,358

Progress Residential Trust

Series 2020-SFR3, Class C, 1.70%, 10/17/2027 ‡ (a)		3,250		3,242

Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (a)		5,000		5,111

Prosper Marketplace Issuance Trust Series 2019-3A, Class A, 3.19%, 7/15/2025 (a)		72		72

Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (f)		287		112

Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (a)		587		608

Santander Retail Auto Lease Trust Series 2020-A, Class A4, 1.76%, 3/20/2024 (a)		3,955		4,050

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.08%, 1/25/2036 ‡ (f)		180		182


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 ‡ (a)		1,840		1,868

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		334		334

Spruce ABS Trust Series 2016-E1, Class A, 4.32%, 6/15/2028 (a)		89		90

Synchrony Card Funding LLC

Series 2019-A1, Class A, 2.95%, 3/15/2025		4,681		4,814

Series 2019-A2, Class A, 2.34%, 6/15/2025		5,000		5,132

Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024		2,600		2,645

Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (a)		3,351		3,355

United Airlines Pass-Through Trust

Series 2016-2, Class B, 3.65%, 10/7/2025		1,115		1,093

Series 2018-1, Class B, 4.60%, 3/1/2026		176		179

Series 2016-1, Class A, 3.45%, 7/7/2028		640		642

Series 2016-2, Class A, 3.10%, 10/7/2028		1,123		1,110

Series 2018-1, Class AA, 3.50%, 3/1/2030		966		985

Series 2018-1, Class A, 3.70%, 3/1/2030		857		873

Series 2019-1, Class AA, 4.15%, 8/25/2031		944		987

Series 2019-1, Class A, 4.55%, 8/25/2031		843		863

Series 2019-2, Class AA, 2.70%, 5/1/2032		1,295		1,285

Upstart Securitization Trust Series 2020-1, Class A, 2.32%, 4/22/2030 (a)		2,847		2,876

Vericrest Opportunity Loan Trust Series 2020-NPL2, Class A1A, 2.98%, 2/25/2050 ‡ (a) (f)		1,933		1,940

Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023		1,409		1,426

VOLT LXXXV LLC Series 2020-NPL1, Class A1A, 3.23%, 1/25/2050 ‡ (a) (f)		1,728		1,735

VOLT LXXXVII LLC Series 2020-NPL3, Class A1A, 2.98%, 2/25/2050 ‡ (a) (f)		1,992		1,999

Westgate Resorts LLC Series 2017-1A, Class A, 3.05%, 12/20/2030 (a)		351		352

Westlake Automobile Receivables Trust Series 2019-2A, Class D, 3.20%, 11/15/2024 (a)		2,500		2,594

World Financial Network Credit Card Master Trust Series 2019-A, Class A, 3.14%, 12/15/2025		2,245		2,306


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023		2,958		2,993


Total Asset-Backed Securities (Cost $200,499)				204,589

Commercial Mortgage-Backed Securities — 3.4%

BAMLL Commercial Mortgage Securities Trust

Series 2012-PARK, Class A, 2.96%, 12/10/2030 (a)		560		582

Series 2014-520M, Class C, 4.21%, 8/15/2046 ‡ (a) (h)		1,300		1,353

BAMLL Re-REMIC Trust Series 2016-FR16, Class A, 0.49%, 5/27/2021 (a) (h)		2,600		2,595

BB-UBS Trust

Series 2012-TFT, Class A, 2.89%, 6/5/2030 (a)		483		479

Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (a)		4,400		4,619

Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.72%, 6/11/2041 ‡ (a) (h)		13		—	(j)

COBALT CMBS Commercial Mortgage Trust Series 2006-C1, IO, 0.40%, 8/15/2048 ‡ (h)		88		—	(j)

Commercial Mortgage Trust

Series 2013-300P, Class A1, 4.35%, 8/10/2030 (a)		3,500		3,748

Series 2013-SFS, Class A2, 2.99%, 4/12/2035 (a) (h)		1,060		1,088

Series 2012-CR2, Class XA, IO, 1.62%, 8/15/2045 ‡ (h)		2,286		36

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KJ09, Class A2, 2.84%, 9/25/2022		1,146		1,178

Series KS01, Class A2, 2.52%, 1/25/2023		885		907

Series KPLB, Class A, 2.77%, 5/25/2025		353		376

Series K052, Class A2, 3.15%, 11/25/2025		3,560		3,919

Series K065, Class A2, 3.24%, 4/25/2027		2,467		2,769

Series K065, Class AM, 3.33%, 5/25/2027		1,322		1,487

Series K070, Class A2, 3.30%, 11/25/2027 (h)		1,748		1,973

FNMA ACES

Series 2014-M3, Class A2, 3.49%, 1/25/2024 (h)		1,502		1,611

Series 2017-M3, Class A2, 2.48%, 12/25/2026 (h)		1,181		1,258

Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h)		8,528		9,317


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Commercial Mortgage-Backed Securities — continued

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h)		3,815		4,199

Series 2018-M8, Class A2, 3.32%, 6/25/2028 (h)		2,580		2,920

Series 2018-M10, Class A2, 3.37%, 7/25/2028 (h)		3,335		3,770

Series 2017-M5, Class A2, 3.16%, 4/25/2029 (h)		3,376		3,817

Series 2020-M50, Class A1, 0.67%, 10/25/2030		3,902		3,833

Series 2020-M50, Class A2, 1.20%, 10/25/2030		1,325		1,305

Series 2020-M50, Class X1, IO, 1.92%, 10/25/2030 (h)		22,482		2,624

Series 2021-M3, Class 1A1, 1.00%, 11/25/2033		912		904

Series 2021-M3, Class X1, IO, 2.01%, 11/25/2033 (h)		4,017		576

Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (a)		998		1,120

LB-UBS Commercial Mortgage Trust Series 2006-C7, Class XW, IO, 0.81%, 11/15/2038 ‡ (a) (h)		1,384		—	(j)

ML-CFC Commercial Mortgage Trust Series 2006-4, Class XC, IO, 0.54%, 12/12/2049 ‡ (a) (h)		21		—	(j)

Morgan Stanley Capital I Trust

Series 2006-IQ12, Class X1, IO, 0.29%, 12/15/2043 ‡ (a) (h)		321		—	(j)

Series 2007-HQ11, Class X, IO, 0.36%, 2/12/2044 ‡ (a) (h)		233		—	(j)

MRCD MARK Mortgage Trust

Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a)		2,050		2,146

Series 2019-PARK, Class D, 2.72%, 12/15/2036 ‡ (a)		2,685		2,703

RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (a)		664		682

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)		2,236		2,256

UBS-Barclays Commercial Mortgage Trust

Series 2013-C6, Class A4, 3.24%, 4/10/2046		857		893

Series 2012-C2, Class XA, IO, 1.29%, 5/10/2063 ‡ (a) (h)		6,790		92

VNDO Mortgage Trust Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (a)		1,398		1,447


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


WFRBS Commercial Mortgage Trust

Series 2011-C3, Class A4, 4.38%, 3/15/2044 (a)		277		277

Series 2013-C11, Class D, 4.26%, 3/15/2045 ‡ (a) (h)		400		390

Series 2012-C6, Class A4, 3.44%, 4/15/2045		749		756


Total Commercial Mortgage-Backed Securities (Cost $71,507)				76,005

U.S. Government Agency Securities — 0.7%

Tennessee Valley Authority

5.88%, 4/1/2036		6,839		10,127

4.63%, 9/15/2060		304		437

Tennessee Valley Authority STRIPS

DN, 3.83%, 11/1/2025 (g)		5,000		4,813

DN, 5.07%, 6/15/2035 (g)		800		579


Total U.S. Government Agency Securities (Cost $13,877)				15,956

Foreign Government Securities — 0.6%

Kingdom of Saudi Arabia (Saudi Arabia)

2.25%, 2/2/2033 (a)		622		594

3.45%, 2/2/2061 (a)		550		511

Province of Quebec (Canada) 7.36%, 3/6/2026 (f)		377		487

Republic of Chile (Chile) 2.55%, 1/27/2032		497		503

Republic of Colombia (Colombia)

4.00%, 2/26/2024		922		980

4.50%, 1/28/2026		581		641

7.38%, 9/18/2037		200		265

5.63%, 2/26/2044		200		230

5.00%, 6/15/2045		515		554

4.13%, 5/15/2051		295		283

Republic of Panama (Panama) 4.50%, 4/16/2050		325		361

Republic of Peru (Peru) 5.63%, 11/18/2050		88		120

Republic of South Africa (South Africa) 5.88%, 9/16/2025		640		712

United Mexican States (Mexico)

3.60%, 1/30/2025		788		864

4.13%, 1/21/2026		316		353

3.75%, 1/11/2028		1,216		1,315

2.66%, 5/24/2031		1,075		1,025

4.60%, 1/23/2046		2,113		2,172

3.77%, 5/24/2061		772		676


Total Foreign Government Securities (Cost $12,349)				12,646


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 0.5% (l)

California — 0.0% (b)

City of Los Angeles Department of Airports, International Airport Series 2009C, Rev., 6.58%, 5/15/2039		440		588

State of California, Various Purpose GO, 7.30%, 10/1/2039		350		552


Total California				1,140


New York — 0.3%

New York State Dormitory Authority, State Personal Income Tax, Build America Bonds, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040		360		487

Port Authority of New York and New Jersey, Consolidated

Series 164, Rev., 5.65%, 11/1/2040		1,825		2,536

Series 165, Rev., 5.65%, 11/1/2040		440		611

Series 174, Rev., 4.46%, 10/1/2062		2,060		2,642


Total New York				6,276


Ohio — 0.2%

American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050		1,315		2,101

Ohio State University (The), General Receipts

Series 2016A, Rev., 4.05%, 12/1/2056		325		398

Series 2011-A, Rev., 4.80%, 6/1/2111		1,563		2,068

Rev., 5.59%, 12/1/2114		200		266


Total Ohio				4,833


Total Municipal Bonds (Cost $9,153)				12,249


	SHARES (000)
Short-Term Investments — 4.9%

Investment Companies — 4.9%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.09% (m) (n) (Cost $108,285)		108,241		108,295

Total Investments — 104.1% (Cost $2,222,298)				2,312,227
Liabilities in Excess of Other Assets — (4.1)%				(91,541	)

NET ASSETS — 100.0%				2,220,686

Percentages indicated are based on net assets.

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 February 28, 2021.
CMBS		Commercial Mortgage-Backed Security
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
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
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 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 rate in effect as of February 28, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown 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 refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
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 extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
REMIC		Real Estate Mortgage Investment Conduit
Re-REMIC		Combined Real Estate Mortgage Investment Conduit
Rev.		Revenue
SOFR		Secured Overnight Financing Rate
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(b)		Amount rounds to less than 0.1% of net assets.


(c)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2021.
(d)		Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2021.
(e)		Security is an interest bearing note with preferred security characteristics.
(f)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2021.
(g)		The rate shown is the effective yield as of February 28, 2021.
(h)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2021.
(i)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(j)		Amount rounds to less than one thousand.
(k)		Defaulted security.
(l)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(m)		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.
(n)		The rate shown is the current yield as of February 28, 2021.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 29.7%

Aerospace & Defense — 1.1%

Airbus Finance BV (France) 2.70%, 4/17/2023 (a)		43		45

Boeing Co. (The)

1.43%, 2/4/2024		70		70

4.88%, 5/1/2025		54		61

2.20%, 2/4/2026		86		86

3.10%, 5/1/2026		250		263

L3Harris Technologies, Inc. 3.85%, 12/15/2026		70		80

Leidos, Inc. 2.30%, 2/15/2031 (a)		40		39

Lockheed Martin Corp. 3.10%, 1/15/2023		174		182

Northrop Grumman Corp. 2.93%, 1/15/2025		150		160

Raytheon Technologies Corp. 4.13%, 11/16/2028		100		115

Textron, Inc. 3.00%, 6/1/2030		100		104


				1,205


Automobiles — 0.4%

Daimler Finance North America LLC (Germany) 2.13%, 3/10/2025 (a)		150		156

General Motors Co. 6.13%, 10/1/2025		50		59

Hyundai Capital America 2.85%, 11/1/2022 (a)		200		206


				421


Banks — 4.6%

Bank of America Corp.

3.30%, 1/11/2023		90		95

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (b)		42		45

Series L, 3.95%, 4/21/2025		154		171

(SOFR + 1.15%), 1.32%, 6/19/2026 (b)		60		60

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (b)		400		441

Bank of Montreal (Canada) 2.35%, 9/11/2022		200		206

Bank of Nova Scotia (The) (Canada) 2.00%, 11/15/2022		150		154

Barclays plc (United Kingdom) 3.68%, 1/10/2023		100		103

Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024		150		161

Citigroup, Inc.

4.40%, 6/10/2025		115		129

4.45%, 9/29/2027		150		173

(SOFR + 1.15%), 2.67%, 1/29/2031 (b)		350		362

Citizens Financial Group, Inc. 2.64%, 9/30/2032 (a)		50		50

Commonwealth Bank of Australia (Australia) 4.50%, 12/9/2025 (a)		201		229


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Banks — continued

Cooperatieve Rabobank UA (Netherlands) 3.88%, 2/8/2022		118		122

Discover Bank 3.35%, 2/6/2023		250		263

Fifth Third Bancorp 2.38%, 1/28/2025		64		67

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.14%), 2.63%, 11/7/2025 (b)		200		211

(SOFR + 1.29%), 1.59%, 5/24/2027 (b)		200		200

Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027		250		279

Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025		225		234

Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (a)		200		221

US Bancorp Series X, 3.15%, 4/27/2027		68		75

Wells Fargo & Co.

3.00%, 2/19/2025		99		106

4.10%, 6/3/2026		21		24

4.30%, 7/22/2027		30		35

(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (b)		250		277

Westpac Banking Corp. (Australia) 2.50%, 6/28/2022		300		309


				4,802


Beverages — 0.5%

Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029		265		313

Constellation Brands, Inc. 2.88%, 5/1/2030		11		12

Keurig Dr Pepper, Inc.

4.42%, 5/25/2025		75		85

4.60%, 5/25/2028		50		59

PepsiCo, Inc. 1.63%, 5/1/2030		33		32


				501


Biotechnology — 0.5%

AbbVie, Inc.

3.45%, 3/15/2022		69		71

4.25%, 11/14/2028		100		116

Amgen, Inc. 2.20%, 2/21/2027		43		45

Baxalta, Inc. 3.60%, 6/23/2022		23		24

Biogen, Inc.

3.63%, 9/15/2022		30		31

2.25%, 5/1/2030		40		40

Gilead Sciences, Inc.

3.70%, 4/1/2024		36		39

3.50%, 2/1/2025		25		27

3.65%, 3/1/2026		57		63


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Biotechnology — continued

Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030		28		27


				483


Building Products — 0.0% (c)

Johnson Controls International plc 3.75%, 12/1/2021		3		3


Capital Markets — 1.6%

Blackstone Secured Lending Fund 3.65%, 7/14/2023 (a)		55		58

Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029		47		56

Charles Schwab Corp. (The)

3.23%, 9/1/2022		40		42

3.20%, 1/25/2028		200		221

Goldman Sachs Group, Inc. (The)

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (b)		249		280

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (b)		80		92

Invesco Finance plc

4.00%, 1/30/2024		71		78

3.75%, 1/15/2026		125		139

Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (a)		100		112

Morgan Stanley

5.50%, 7/28/2021		100		102

3.70%, 10/23/2024		83		92

(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (b)		250		279

(SOFR + 1.03%), 1.79%, 2/13/2032 (b)		90		86

Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (b)		17		18


				1,655


Chemicals — 0.4%

Ecolab, Inc. 3.25%, 12/1/2027		43		48

International Flavors & Fragrances, Inc. 4.45%, 9/26/2028		9		10

LYB International Finance III LLC 2.25%, 10/1/2030		75		75

Mosaic Co. (The) 3.25%, 11/15/2022		21		22

Nutrien Ltd. (Canada) 3.38%, 3/15/2025		45		49

Nutrition & Biosciences, Inc. 1.83%, 10/15/2027 (a)		40		40


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Chemicals — continued

Sherwin-Williams Co. (The)

3.30%, 2/1/2025		110		118

3.45%, 6/1/2027		51		56


				418


Commercial Services & Supplies — 0.2%

Republic Services, Inc. 3.38%, 11/15/2027		200		223


Construction & Engineering — 0.0% (c)

Quanta Services, Inc. 2.90%, 10/1/2030		21		22


Construction Materials — 0.1%

Martin Marietta Materials, Inc. 3.45%, 6/1/2027		78		87


Consumer Finance — 1.3%

AerCap Ireland Capital DAC (Ireland)

3.50%, 5/26/2022		150		154

4.13%, 7/3/2023		200		213

Avolon Holdings Funding Ltd. (Ireland)

5.13%, 10/1/2023 (a)		150		161

3.95%, 7/1/2024 (a)		120		125

4.25%, 4/15/2026 (a)		90		95

Caterpillar Financial Services Corp. 2.85%, 6/1/2022		58		60

General Motors Financial Co., Inc. 2.35%, 1/8/2031		200		195

John Deere Capital Corp. 2.65%, 6/24/2024		100		107

Park Aerospace Holdings Ltd. (Ireland) 5.25%, 8/15/2022 (a)		200		209


				1,319


Containers & Packaging — 0.2%

Packaging Corp. of America 3.00%, 12/15/2029		100		107

WRKCo, Inc. 3.00%, 9/15/2024		80		86


				193


Diversified Financial Services — 1.1%

National Rural Utilities Cooperative Finance Corp. 2.30%, 9/15/2022		200		205

ORIX Corp. (Japan) 2.90%, 7/18/2022		81		84

Private Export Funding Corp.

Series EE, 2.80%, 5/15/2022		500		515

Series KK, 3.55%, 1/15/2024		200		217

Shell International Finance BV (Netherlands) 3.25%, 5/11/2025		100		109


				1,130


Diversified Telecommunication Services — 0.8%

AT&T, Inc. 7.88%, 2/15/2030		350		486


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Diversified Telecommunication Services — continued

Qwest Corp. 6.75%, 12/1/2021		148		154

Verizon Communications, Inc. 4.50%, 8/10/2033		208		248


				888


Electric Utilities — 2.0%

American Electric Power Co., Inc. 2.30%, 3/1/2030		100		100

Baltimore Gas and Electric Co. 2.80%, 8/15/2022		43		44

Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027		200		218

DTE Electric Co. 2.65%, 6/15/2022		20		21

Duke Energy Corp. 3.75%, 4/15/2024		150		163

Duke Energy Progress LLC 2.80%, 5/15/2022		40		41

Duquesne Light Holdings, Inc. 2.53%, 10/1/2030 (a)		51		51

Edison International 4.13%, 3/15/2028		150		164

Enel Finance International NV (Italy) 3.63%, 5/25/2027 (a)		200		222

Entergy Mississippi LLC 2.85%, 6/1/2028		186		200

Evergy Metro, Inc. 3.15%, 3/15/2023		47		49

ITC Holdings Corp. 2.95%, 5/14/2030 (a)		39		41

NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027		89		100

Niagara Mohawk Power Corp.

3.51%, 10/1/2024 (a)		28		31

1.96%, 6/27/2030 (a)		29		29

NRG Energy, Inc. 2.45%, 12/2/2027 (a)		37		37

Pacific Gas and Electric Co.

(ICE LIBOR USD 3 Month + 1.38%), 1.57%, 11/15/2021 (b)		81		81

4.55%, 7/1/2030		150		168

Pennsylvania Electric Co. 3.25%, 3/15/2028 (a)		132		137

SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038		25		25

Southern California Edison Co. 1.85%, 2/1/2022		8		8

Southern Co. (The) 3.25%, 7/1/2026		167		182

Virginia Electric and Power Co. 3.45%, 2/15/2024		21		23


				2,135


Electrical Equipment — 0.2%

ABB Finance USA, Inc. (Switzerland) 2.88%, 5/8/2022		41		42

Eaton Corp. 3.10%, 9/15/2027		140		154


				196


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.50%, 3/1/2023		16		17

3.88%, 1/12/2028		100		111


				128


Energy Equipment & Services — 0.2%

Baker Hughes a GE Co. LLC 2.77%, 12/15/2022		150		156

Halliburton Co. 3.80%, 11/15/2025		7		8

Schlumberger Investment SA 2.65%, 6/26/2030		94		98


				262


Entertainment — 0.1%

Walt Disney Co. (The) 7.70%, 10/30/2025		50		65


Equity Real Estate Investment Trusts (REITs) — 1.7%

Alexandria Real Estate Equities, Inc. 2.00%, 5/18/2032		30		29

American Tower Corp.

3.50%, 1/31/2023		80		85

5.00%, 2/15/2024		38		43

1.50%, 1/31/2028		68		66

AvalonBay Communities, Inc.

3.35%, 5/15/2027		28		31

2.45%, 1/15/2031		100		103

Boston Properties LP 3.20%, 1/15/2025		152		163

Brixmor Operating Partnership LP 3.85%, 2/1/2025		50		54

Crown Castle International Corp. 2.25%, 1/15/2031		72		71

Essex Portfolio LP 1.65%, 1/15/2031		53		50

Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a)		52		56

Healthcare Trust of America Holdings LP

3.10%, 2/15/2030		68		72

2.00%, 3/15/2031		29		28

Healthpeak Properties, Inc. 3.40%, 2/1/2025		38		41

Kimco Realty Corp. 2.70%, 10/1/2030		9		9

Life Storage LP 2.20%, 10/15/2030		25		25

Mid-America Apartments LP 1.70%, 2/15/2031		36		35

Prologis LP 1.25%, 10/15/2030		45		42

Realty Income Corp.

3.88%, 7/15/2024		50		55

3.65%, 1/15/2028		150		167

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a)		150		161

SITE Centers Corp. 3.63%, 2/1/2025		12		13

UDR, Inc. 2.10%, 8/1/2032		48		47


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Equity Real Estate Investment Trusts (REITs) — continued

Ventas Realty LP

3.75%, 5/1/2024		44		48

3.50%, 2/1/2025		27		29

4.13%, 1/15/2026		62		70

Welltower, Inc. 4.50%, 1/15/2024		100		110

WP Carey, Inc.

2.40%, 2/1/2031		12		12

2.25%, 4/1/2033		100		97


				1,812


Food & Staples Retailing — 0.4%

7-Eleven, Inc. 1.30%, 2/10/2028 (a)		80		78

Alimentation Couche-Tard, Inc. (Canada) 2.95%, 1/25/2030 (a)		100		105

Costco Wholesale Corp. 1.60%, 4/20/2030		95		93

CVS Pass-Through Trust 5.93%, 1/10/2034 (a)		41		48

Kroger Co. (The) 4.00%, 2/1/2024		90		98


				422


Food Products — 0.6%

Archer-Daniels-Midland Co. 3.25%, 3/27/2030		53		59

Bunge Ltd. Finance Corp. 1.63%, 8/17/2025		50		51

Campbell Soup Co.

3.95%, 3/15/2025		50		55

2.38%, 4/24/2030		74		75

Kellogg Co. 3.40%, 11/15/2027		95		106

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		92		104

Mondelez International, Inc. 1.88%, 10/15/2032		125		120

Smithfield Foods, Inc.

5.20%, 4/1/2029 (a)		7		8

3.00%, 10/15/2030 (a)		18		18

Tyson Foods, Inc. 3.95%, 8/15/2024		73		81


				677


Gas Utilities — 0.1%

Atmos Energy Corp. 2.63%, 9/15/2029		42		44

ONE Gas, Inc. 2.00%, 5/15/2030		26		26


				70


Health Care Equipment & Supplies — 0.3%

Becton Dickinson and Co. 1.96%, 2/11/2031		150		147

Boston Scientific Corp.

3.75%, 3/1/2026		31		34

4.00%, 3/1/2029		19		22


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Health Care Equipment & Supplies — continued

Zimmer Biomet Holdings, Inc.

3.70%, 3/19/2023		19		20

3.55%, 4/1/2025		50		55


				278


Health Care Providers & Services — 0.5%

Aetna, Inc. 2.80%, 6/15/2023		200		210

Cigna Corp. 3.50%, 6/15/2024		72		78

CommonSpirit Health 2.78%, 10/1/2030		50		52

HCA, Inc. 4.13%, 6/15/2029		150		169

Universal Health Services, Inc. 2.65%, 10/15/2030 (a)		56		55


				564


Hotels, Restaurants & Leisure — 0.2%

McDonald’s Corp. 2.13%, 3/1/2030		58		58

Starbucks Corp. 3.80%, 8/15/2025		150		168


				226


Household Durables — 0.1%

DR Horton, Inc. 1.40%, 10/15/2027		140		139


Industrial Conglomerates — 0.2%

Roper Technologies, Inc.

3.80%, 12/15/2026		15		17

1.40%, 9/15/2027		174		172

Trane Technologies Global Holding Co. Ltd. 4.25%, 6/15/2023		34		37


				226


Insurance — 1.5%

American International Group, Inc. 3.75%, 7/10/2025		161		178

Aon plc 3.88%, 12/15/2025		143		160

Assurant, Inc. 4.20%, 9/27/2023		90		98

Athene Global Funding 2.95%, 11/12/2026 (a)		150		160

CNA Financial Corp.

3.95%, 5/15/2024		52		57

4.50%, 3/1/2026		38		43

Guardian Life Global Funding 2.50%, 5/8/2022 (a)		125		128

Lincoln National Corp. 4.20%, 3/15/2022		35		36

Marsh & McLennan Cos., Inc. 3.30%, 3/14/2023		50		53

New York Life Global Funding 1.20%, 8/7/2030 (a)		150		141

Principal Financial Group, Inc. 3.10%, 11/15/2026		150		164


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Insurance — continued

Protective Life Global Funding 2.62%, 8/22/2022 (a)		200		207

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (a)		150		193


				1,618


Internet & Direct Marketing Retail — 0.1%

Amazon.com, Inc. 1.20%, 6/3/2027		105		105


IT Services — 0.2%

Global Payments, Inc. 3.20%, 8/15/2029		50		53

International Business Machines Corp. 3.50%, 5/15/2029		100		111


				164


Leisure Products — 0.1%

Hasbro, Inc. 3.90%, 11/19/2029		75		83


Life Sciences Tools & Services — 0.1%

Thermo Fisher Scientific, Inc. 3.20%, 8/15/2027		100		110


Machinery — 0.1%

Caterpillar, Inc. 2.60%, 6/26/2022		31		32

Otis Worldwide Corp. 2.57%, 2/15/2030		44		45


				77


Media — 0.8%

Charter Communications Operating LLC

4.91%, 7/23/2025		160		183

2.30%, 2/1/2032		150		144

Comcast Corp.

3.00%, 2/1/2024		117		125

3.38%, 2/15/2025		77		84

3.38%, 8/15/2025		80		88

3.95%, 10/15/2025		14		16

3.15%, 3/1/2026		16		17

Cox Communications, Inc. 1.80%, 10/1/2030 (a)		67		64

Fox Corp. 4.71%, 1/25/2029		35		41

ViacomCBS, Inc. 4.00%, 1/15/2026		100		112


				874


Metals & Mining — 0.1%

Glencore Funding LLC (Australia) 2.50%, 9/1/2030 (a)		60		59

Nucor Corp. 4.00%, 8/1/2023		27		29

Steel Dynamics, Inc.

1.65%, 10/15/2027		33		33

3.45%, 4/15/2030		21		23


				144


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Multiline Retail — 0.2%

Dollar General Corp. 4.13%, 5/1/2028		150		174

Kohl’s Corp. 9.50%, 5/15/2025		50		65


				239


Multi-Utilities — 0.4%

Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028		155		176

Public Service Enterprise Group, Inc. 2.88%, 6/15/2024		100		107

Sempra Energy 4.05%, 12/1/2023		48		52

WEC Energy Group, Inc. 3.55%, 6/15/2025		73		80


				415


Oil, Gas & Consumable Fuels — 2.4%

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (a)		100		113

BP Capital Markets plc (United Kingdom) 3.81%, 2/10/2024		166		181

Cameron LNG LLC 2.90%, 7/15/2031 (a)		84		89

Cheniere Corpus Christi Holdings LLC

5.88%, 3/31/2025		50		58

5.13%, 6/30/2027		81		94

Chevron Corp.

2.36%, 12/5/2022		40		41

2.00%, 5/11/2027		19		20

Chevron USA, Inc. 3.85%, 1/15/2028		100		114

Cimarex Energy Co. 3.90%, 5/15/2027		60		66

ConocoPhillips

3.75%, 10/1/2027 (a)		60		68

2.40%, 2/15/2031 (a)		14		14

Diamondback Energy, Inc. 3.25%, 12/1/2026		100		106

Ecopetrol SA (Colombia) 4.13%, 1/16/2025		58		62

Energy Transfer Operating LP

3.60%, 2/1/2023		28		29

4.90%, 2/1/2024		61		67

4.05%, 3/15/2025		91		99

Enterprise Products Operating LLC 3.90%, 2/15/2024		49		53

Gray Oak Pipeline LLC

2.60%, 10/15/2025 (a)		40		41

3.45%, 10/15/2027 (a)		50		52

Gulf South Pipeline Co. LP 4.00%, 6/15/2022		50		52

HollyFrontier Corp.

2.63%, 10/1/2023		12		13

5.88%, 4/1/2026		40		45


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Oil, Gas & Consumable Fuels — continued

Marathon Petroleum Corp.

4.50%, 5/1/2023		62		67

3.63%, 9/15/2024		67		73

4.70%, 5/1/2025		38		43

MPLX LP

3.38%, 3/15/2023		32		33

4.25%, 12/1/2027		27		31

ONEOK Partners LP

3.38%, 10/1/2022		12		12

5.00%, 9/15/2023		28		31

ONEOK, Inc. 3.40%, 9/1/2029		150		157

Ovintiv Exploration, Inc. 5.38%, 1/1/2026		40		44

Phillips 66 1.30%, 2/15/2026		28		28

Pioneer Natural Resources Co.

1.13%, 1/15/2026		50		50

1.90%, 8/15/2030		72		69

Plains All American Pipeline LP 3.60%, 11/1/2024		100		107

Sabine Pass Liquefaction LLC 4.50%, 5/15/2030		20		23

TC PipeLines LP 3.90%, 5/25/2027		42		47

TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023		172		185

Williams Cos., Inc. (The) 3.90%, 1/15/2025		86		94


				2,571


Pharmaceuticals — 0.7%

AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030		77		73

Bristol-Myers Squibb Co.

3.40%, 7/26/2029		71		79

1.45%, 11/13/2030		100		96

Eli Lilly and Co. 3.38%, 3/15/2029		70		78

Mylan, Inc. 4.55%, 4/15/2028		75		87

Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030		200		197

Zoetis, Inc. 2.00%, 5/15/2030		80		79


				689


Real Estate Management & Development — 0.2%

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (a)		200		205


Road & Rail — 0.7%

Canadian Pacific Railway Co. (Canada) 4.50%, 1/15/2022		55		57

CSX Corp. 3.25%, 6/1/2027		162		179


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Road & Rail — continued

ERAC USA Finance LLC 4.50%, 8/16/2021 (a)		27		28

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		60		67

Norfolk Southern Corp. 2.55%, 11/1/2029		150		157

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (a)		200		216


				704


Semiconductors & Semiconductor Equipment — 0.4%

Broadcom, Inc.

4.75%, 4/15/2029		50		57

4.15%, 11/15/2030		150		166

Microchip Technology, Inc. 0.97%, 2/15/2024 (a)		72		72

QUALCOMM, Inc. 3.25%, 5/20/2027		94		104


				399


Software — 0.1%

Citrix Systems, Inc. 1.25%, 3/1/2026		25		25

Intuit, Inc. 1.65%, 7/15/2030		125		123


				148


Specialty Retail — 0.6%

AutoZone, Inc. 4.00%, 4/15/2030		83		95

Home Depot, Inc. (The) 2.50%, 4/15/2027		88		94

Lowe’s Cos., Inc. 3.65%, 4/5/2029		200		225

O’Reilly Automotive, Inc.

3.55%, 3/15/2026		100		111

3.60%, 9/1/2027		62		69


				594


Technology Hardware, Storage & Peripherals — 0.2%

Apple, Inc. 2.38%, 2/8/2041		100		94

Dell International LLC 5.30%, 10/1/2029 (a)		100		119


				213


Tobacco — 0.4%

Altria Group, Inc. 2.45%, 2/4/2032		84		82

BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024		200		215

Philip Morris International, Inc. 3.38%, 8/11/2025		150		164


				461


Trading Companies & Distributors — 0.5%

Air Lease Corp.

3.00%, 9/15/2023		250		262

3.63%, 12/1/2027		100		107


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — continued

Trading Companies & Distributors — continued

Aviation Capital Group LLC 3.88%, 5/1/2023 (a)		100		105


				474


Water Utilities — 0.2%

American Water Capital Corp. 3.85%, 3/1/2024		150		163


Wireless Telecommunication Services — 0.2%

T-Mobile USA, Inc.

3.88%, 4/15/2030 (a)		150		165

2.25%, 11/15/2031 (a)		100		96


				261


Total Corporate Bonds (Cost $29,388)				31,261

U.S. Treasury Obligations — 22.1%

U.S. Treasury Bonds 6.13%, 8/15/2029		500		698

U.S. Treasury Notes

1.13%, 2/28/2025		3,000		3,073

0.38%, 9/30/2027		580		555

3.13%, 11/15/2028		1,000		1,142

2.63%, 2/15/2029		1,600		1,771

1.50%, 2/15/2030		3,000		3,046

0.63%, 8/15/2030		2,550		2,381

0.88%, 11/15/2030		80		76

U.S. Treasury STRIPS Bonds

2.97%, 11/15/2022 (d)		1,300		1,297

2.87%, 5/15/2023 (d)		685		682

2.28%, 8/15/2023 (d)		3,890		3,870

2.53%, 2/15/2024 (d)		3,206		3,177

2.32%, 5/15/2024 (d)		200		198

3.08%, 5/15/2025 (d)		200		195

2.46%, 5/15/2026 (d)		200		191

3.71%, 8/15/2026 (d)		47		45

3.87%, 11/15/2026 (d)		300		283

3.06%, 2/15/2027 (d)		100		94

4.17%, 8/15/2027 (d)		100		93

4.21%, 11/15/2027 (d)		140		129

3.23%, 2/15/2028 (d)		53		49

2.61%, 5/15/2028 (d)		10		9

3.44%, 8/15/2028 (d)		200		181


Total U.S. Treasury Obligations (Cost $22,855)				23,235

Collateralized Mortgage Obligations — 17.2%

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		578		585


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)



Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		81			76

Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 ‡		10			8

CHL Mortgage Pass-Through Trust

Series 2004-HYB3, Class 2A, 3.01%, 6/20/2034 (e)		8			8

Series 2004-5, Class 1A4, 5.50%, 6/25/2034		18			19

Series 2005-22, Class 2A1, 2.67%, 11/25/2035 (e)		82			79

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class 1, PO, 6/25/2033 ‡		—	(f)		—	(f)

Series 2003-HYB1, Class A, 2.60%, 9/25/2033 (e)		8			9

Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033		3			3

FHLMC — GNMA Series 24, Class ZE, 6.25%, 11/25/2023		6			6

FHLMC, REMIC

Series 1144, Class KB, 8.50%, 9/15/2021		—	(f)		—	(f)

Series 1206, Class IA, 7.00%, 3/15/2022		—	(f)		—	(f)

Series 1250, Class J, 7.00%, 5/15/2022		—	(f)		—	(f)

Series 1343, Class LA, 8.00%, 8/15/2022		1			1

Series 2512, Class PG, 5.50%, 10/15/2022		18			18

Series 2535, Class BK, 5.50%, 12/15/2022		3			3

Series 1470, Class F, 1.47%, 2/15/2023 (e)		—	(f)		—	(f)

Series 2568, Class KG, 5.50%, 2/15/2023		29			30

Series 1466, Class PZ, 7.50%, 2/15/2023		6			6

Series 1491, Class I, 7.50%, 4/15/2023		2			3

Series 1798, Class F, 5.00%, 5/15/2023		3			3

Series 1518, Class G, IF, 8.87%, 5/15/2023 (e)		2			3

Series 1541, Class O, 0.24%, 7/15/2023 (e)		3			3

Series 1608, Class L, 6.50%, 9/15/2023		9			10

Series 1602, Class SA, HB, IF, 22.34%, 10/15/2023 (e)		1			1

Series 2283, Class K, 6.50%, 12/15/2023		3			3

Series 1700, Class GA, PO, 2/15/2024		—	(f)		—	(f)

Series 1671, Class L, 7.00%, 2/15/2024		3			3

Series 1706, Class K, 7.00%, 3/15/2024		17			18

Series 2033, Class SN, HB, IF, 29.36%, 3/15/2024 (e)		1			—	(f)

Series 1720, Class PL, 7.50%, 4/15/2024		49			52

Series 2306, Class K, PO, 5/15/2024		2			2


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2306, Class SE, IF, IO, 9.49%, 5/15/2024 (e)		5			1

Series 1745, Class D, 7.50%, 8/15/2024		4			4

Series 1927, Class PH, 7.50%, 1/15/2027		30			35

Series 1981, Class Z, 6.00%, 5/15/2027		12			13

Series 1987, Class PE, 7.50%, 9/15/2027		4			5

Series 2038, Class PN, IO, 7.00%, 3/15/2028		5			1

Series 2040, Class PE, 7.50%, 3/15/2028		25			30

Series 2063, Class PG, 6.50%, 6/15/2028		28			32

Series 2064, Class TE, 7.00%, 6/15/2028		4			4

Series 2075, Class PM, 6.25%, 8/15/2028		19			22

Series 2075, Class PH, 6.50%, 8/15/2028		20			23

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		6			1

Series 2125, Class JZ, 6.00%, 2/15/2029		12			13

Series 2169, Class TB, 7.00%, 6/15/2029		57			65

Series 2163, Class PC, IO, 7.50%, 6/15/2029		3			—	(f)

Series 2172, Class QC, 7.00%, 7/15/2029		24			28

Series 2196, Class TL, 7.50%, 11/15/2029		—	(f)		—	(f)

Series 2201, Class C, 8.00%, 11/15/2029		9			10

Series 2210, Class Z, 8.00%, 1/15/2030		28			33

Series 2224, Class CB, 8.00%, 3/15/2030		9			11

Series 2256, Class MC, 7.25%, 9/15/2030		15			18

Series 2259, Class ZM, 7.00%, 10/15/2030		16			19

Series 2271, Class PC, 7.25%, 12/15/2030		14			16

Series 2296, Class PD, 7.00%, 3/15/2031		8			9

Series 2333, Class HC, 6.00%, 7/15/2031		22			25

Series 2344, Class ZD, 6.50%, 8/15/2031		141			164

Series 2344, Class ZJ, 6.50%, 8/15/2031		18			21

Series 2345, Class NE, 6.50%, 8/15/2031		10			12

Series 2351, Class PZ, 6.50%, 8/15/2031		15			17

Series 2410, Class OE, 6.38%, 2/15/2032		13			14

Series 2410, Class NG, 6.50%, 2/15/2032		10			12

Series 2410, Class QX, IF, IO, 8.54%, 2/15/2032 (e)		8			2

Series 2412, Class SP, IF, 15.88%, 2/15/2032 (e)		30			40

Series 2423, Class MC, 7.00%, 3/15/2032		9			11

Series 2423, Class MT, 7.00%, 3/15/2032		17			21

Series 2444, Class ES, IF, IO, 7.84%, 3/15/2032 (e)		19			4

Series 2450, Class SW, IF, IO, 7.89%, 3/15/2032 (e)		8			1

Series 2435, Class CJ, 6.50%, 4/15/2032		68			80

Series 2441, Class GF, 6.50%, 4/15/2032		18			22

Series 2455, Class GK, 6.50%, 5/15/2032		25			29

Series 2450, Class GZ, 7.00%, 5/15/2032		27			32


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2466, Class DH, 6.50%, 6/15/2032		37			43

Series 2474, Class NR, 6.50%, 7/15/2032		22			25

Series 2484, Class LZ, 6.50%, 7/15/2032		37			44

Series 2500, Class MC, 6.00%, 9/15/2032		31			37

Series 2543, Class YX, 6.00%, 12/15/2032		73			84

Series 2575, Class ME, 6.00%, 2/15/2033		136			157

Series 2586, Class WI, IO, 6.50%, 3/15/2033		11			2

Series 2990, Class SL, HB, IF, 24.08%, 6/15/2034 (e)		15			18

Series 3611, PO, 7/15/2034		17			16

Series 2990, Class UZ, 5.75%, 6/15/2035		443			512

Series 3117, Class EO, PO, 2/15/2036		42			39

Series 3117, Class OK, PO, 2/15/2036		5			4

Series 3122, Class OH, PO, 3/15/2036		35			32

Series 3152, Class MO, PO, 3/15/2036		105			98

Series 3607, Class AO, PO, 4/15/2036		25			23

Series 3137, Class XP, 6.00%, 4/15/2036		58			69

Series 3819, Class ZQ, 6.00%, 4/15/2036		168			199

Series 3149, Class SO, PO, 5/15/2036		6			5

Series 3171, Class MO, PO, 6/15/2036		25			24

Series 3179, Class OA, PO, 7/15/2036		14			13

Series 3202, Class HI, IF, IO, 6.54%, 8/15/2036 (e)		133			28

Series 3232, Class ST, IF, IO, 6.59%, 10/15/2036 (e)		26			5

Series 3417, Class EO, PO, 11/15/2036		230			218

Series 3316, Class JO, PO, 5/15/2037		4			3

Series 3607, Class OP, PO, 7/15/2037		123			110

Series 3481, Class SJ, IF, IO, 5.74%, 8/15/2038 (e)		70			13

Series 3680, Class MA, 4.50%, 7/15/2039		91			96

Series 4219, Class JA, 3.50%, 8/15/2039		113			115

Series 3997, Class PF, 0.56%, 11/15/2039 (e)		—	(f)		—	(f)

Series 4096, Class HA, 2.00%, 12/15/2041		192			197

FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042		321			345

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 5.15%, 7/25/2032 (e)		21			23

Series T-76, Class 2A, 1.71%, 10/25/2037 (e)		96			98

Series T-51, Class 2A, 7.50%, 8/25/2042 (e)		19			24

Series T-54, Class 2A, 6.50%, 2/25/2043		188			223

Series T-54, Class 3A, 7.00%, 2/25/2043		61			73

Series T-56, Class A5, 5.23%, 5/25/2043		452			515

Series T-58, Class A, PO, 9/25/2043		12			10


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

FNMA Trust, Whole Loan

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		22			26

Series 2005-W3, Class 2AF, 0.34%, 3/25/2045 (e)		75			74

FNMA, REMIC

Series 1991-42, Class S, IF, 17.47%, 5/25/2021 (e)		—	(f)		—	(f)

Series 2001-48, Class Z, 6.50%, 9/25/2021		2			2

Series 2002-1, Class HC, 6.50%, 2/25/2022		1			1

Series 1992-107, Class SB, HB, IF, 29.68%, 6/25/2022 (e)		1			2

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(f)		—	(f)

Series G92-35, Class E, 7.50%, 7/25/2022		1			1

Series G92-44, Class ZQ, 8.00%, 7/25/2022		—	(f)		—	(f)

Series 1996-59, Class J, 6.50%, 8/25/2022		1			1

Series 1992-143, Class MA, 5.50%, 9/25/2022		—	(f)		—	(f)

Series G92-54, Class ZQ, 7.50%, 9/25/2022		—	(f)		1

Series G93-5, Class Z, 6.50%, 2/25/2023		1			1

Series 1993-37, Class PX, 7.00%, 3/25/2023		16			16

Series 1993-25, Class J, 7.50%, 3/25/2023		2			2

Series 1998-4, Class C, PO, 4/25/2023		—	(f)		—	(f)

Series 1998-43, Class EA, PO, 4/25/2023		21			21

Series 1993-54, Class Z, 7.00%, 4/25/2023		5			5

Series 1993-62, Class SA, IF, 19.46%, 4/25/2023 (e)		1			1

Series 1993-122, Class M, 6.50%, 7/25/2023		1			1

Series 1996-14, Class SE, IF, IO, 9.64%, 8/25/2023 (e)		11			1

Series 1993-178, Class PK, 6.50%, 9/25/2023		3			3

Series 1993-165, Class SD, IF, 13.88%, 9/25/2023 (e)		1			1

Series 1993-183, Class KA, 6.50%, 10/25/2023		38			40

Series 1993-189, Class PL, 6.50%, 10/25/2023		13			14

Series 1994-9, Class E, PO, 11/25/2023		—	(f)		—	(f)

Series 1993-247, Class SA, HB, IF, 28.97%, 12/25/2023 (e)		4			4

Series G95-1, Class C, 8.80%, 1/25/2025		2			3

Series 2005-121, Class DX, 5.50%, 1/25/2026		116			124

Series 1997-20, IO, 1.84%, 3/25/2027 (e)		3			—	(f)

Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (e)		3			—	(f)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 1997-27, Class J, 7.50%, 4/18/2027		6		7

Series 1997-29, Class J, 7.50%, 4/20/2027		7		8

Series 1997-39, Class PD, 7.50%, 5/20/2027		14		16

Series 2012-47, Class HF, 0.52%, 5/25/2027 (e)		61		61

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		4		—	(f)

Series 1998-36, Class ZB, 6.00%, 7/18/2028		3		4

Series 2000-2, Class ZE, 7.50%, 2/25/2030		29		34

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		22		3

Series 2001-36, Class DE, 7.00%, 8/25/2031		27		31

Series 2001-49, Class Z, 6.50%, 9/25/2031		5		6

Series 2001-44, Class PD, 7.00%, 9/25/2031		6		7

Series 2003-52, Class SX, HB, IF, 22.60%, 10/25/2031 (e)		7		10

Series 2004-74, Class SW, IF, 15.28%, 11/25/2031 (e)		19		26

Series 2001-81, Class LO, PO, 1/25/2032		3		3

Series 2002-1, Class SA, HB, IF, 24.81%, 2/25/2032 (e)		2		4

Series 2002-21, Class PE, 6.50%, 4/25/2032		14		17

Series 2002-28, Class PK, 6.50%, 5/25/2032		15		17

Series 2002-37, Class Z, 6.50%, 6/25/2032		18		21

Series 2004-61, Class SH, HB, IF, 23.52%, 11/25/2032 (e)		22		33

Series 2003-22, Class UD, 4.00%, 4/25/2033		63		70

Series 2003-34, Class GE, 6.00%, 5/25/2033		149		171

Series 2003-39, IO, 6.00%, 5/25/2033 (e)		4		1

Series 2003-47, Class PE, 5.75%, 6/25/2033		65		74

Series 2003-64, Class SX, IF, 13.44%, 7/25/2033 (e)		8		11

Series 2003-71, Class DS, IF, 7.30%, 8/25/2033 (e)		68		76

Series 2005-56, Class TP, IF, 17.80%, 8/25/2033 (e)		34		41

Series 2003-91, Class SD, IF, 12.30%, 9/25/2033 (e)		6		7

Series 2003-116, Class SB, IF, IO, 7.48%, 11/25/2033 (e)		53		11

Series 2006-44, Class P, PO, 12/25/2033		19		18

Series 2003-130, Class SX, IF, 11.34%, 1/25/2034 (e)		2		2

Series 2004-25, Class SA, IF, 19.20%, 4/25/2034 (e)		24		35

Series 2004-46, Class SK, IF, 16.18%, 5/25/2034 (e)		17		23


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-36, Class SA, IF, 19.20%, 5/25/2034 (e)		39		57

Series 2004-50, Class VZ, 5.50%, 7/25/2034		231		264

Series 2005-74, Class CS, IF, 19.70%, 5/25/2035 (e)		20		25

Series 2005-45, Class DC, HB, IF, 23.88%, 6/25/2035 (e)		37		55

Series 2005-56, Class S, IF, IO, 6.59%, 7/25/2035 (e)		26		5

Series 2005-68, Class PG, 5.50%, 8/25/2035		138		157

Series 2005-73, Class PS, IF, 16.41%, 8/25/2035 (e)		69		91

Series 2005-106, Class US, HB, IF, 24.14%, 11/25/2035 (e)		42		62

Series 2006-27, Class OH, PO, 4/25/2036		33		31

Series 2006-65, Class QO, PO, 7/25/2036		19		18

Series 2006-56, Class FC, 0.41%, 7/25/2036 (e)		126		126

Series 2006-72, Class GO, PO, 8/25/2036		28		27

Series 2006-79, Class DO, PO, 8/25/2036		22		21

Series 2006-77, Class PC, 6.50%, 8/25/2036		39		45

Series 2006-110, PO, 11/25/2036		36		34

Series 2006-124, Class HB, 2.24%, 11/25/2036 (e)		52		53

Series 2007-14, Class ES, IF, IO, 6.32%, 3/25/2037 (e)		27		5

Series 2007-81, Class GE, 6.00%, 8/25/2037		64		73

Series 2007-79, Class SB, HB, IF, 23.59%, 8/25/2037 (e)		25		39

Series 2007-88, Class VI, IF, IO, 6.42%, 9/25/2037 (e)		66		14

Series 2007-91, Class ES, IF, IO, 6.34%, 10/25/2037 (e)		185		39

Series 2007-116, Class HI, IO, 1.45%, 1/25/2038 (e)		32		1

Series 2008-16, Class IS, IF, IO, 6.08%, 3/25/2038 (e)		9		1

Series 2008-10, Class XI, IF, IO, 6.11%, 3/25/2038 (e)		16		3

Series 2008-28, Class QS, HB, IF, 20.35%, 4/25/2038 (e)		21		31

Series 2008-46, Class HI, IO, 1.69%, 6/25/2038 (e)		34		2

Series 2013-25, Class DC, 2.50%, 6/25/2039		244		253

Series 2009-69, PO, 9/25/2039		33		31

Series 2009-103, Class MB, 2.92%, 12/25/2039 (e)		39		41

Series 2010-71, Class HJ, 5.50%, 7/25/2040		96		111


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


Series 2011-118, Class MT, 7.00%, 11/25/2041		111			135

Series 2011-118, Class NT, 7.00%, 11/25/2041		103			122

Series 2013-101, Class DO, PO, 10/25/2043		198			172

Series 2013-128, PO, 12/25/2043		177			157

Series 2019-65, Class PA, 2.50%, 5/25/2048		309			323

FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 38.47%, 7/25/2037 (e)		6			10

Series 2003-W4, Class 2A, 5.74%, 10/25/2042 (e)		13			14

Series 2003-W1, Class 1A1, 5.15%, 12/25/2042 (e)		66			73

FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.25%, 10/25/2037 (e)		23			27

FNMA, STRIPS

Series 218, Class 2, IO, 7.50%, 4/25/2023		—	(f)		—	(f)

Series 300, Class 1, PO, 9/25/2024		11			11

Series 329, Class 1, PO, 1/25/2033		3			3

GNMA

Series 2003-24, PO, 3/16/2033		6			6

Series 2003-40, Class TJ, 6.50%, 3/20/2033		131			142

Series 2003-52, Class AP, PO, 6/16/2033		34			32

Series 2004-28, Class S, IF, 19.37%, 4/16/2034 (e)		10			14

Series 2004-73, Class AE, IF, 14.63%, 8/17/2034 (e)		3			3

Series 2004-71, Class SB, HB, IF, 28.92%, 9/20/2034 (e)		16			26

Series 2004-90, Class SI, IF, IO, 5.99%, 10/20/2034 (e)		99			16

Series 2005-68, Class DP, IF, 16.17%, 6/17/2035 (e)		19			23

Series 2005-68, Class KI, IF, IO, 6.19%, 9/20/2035 (e)		179			37

Series 2006-38, Class ZK, 6.50%, 8/20/2036		297			336

Series 2006-59, Class SD, IF, IO, 6.59%, 10/20/2036 (e)		19			3

Series 2007-17, Class JI, IF, IO, 6.70%, 4/16/2037 (e)		78			17

Series 2007-27, Class SA, IF, IO, 6.09%, 5/20/2037 (e)		93			14

Series 2007-45, Class QA, IF, IO, 6.53%, 7/20/2037 (e)		78			12

Series 2007-40, Class SB, IF, IO, 6.64%, 7/20/2037 (e)		127			25


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-50, Class AI, IF, IO, 6.66%, 8/20/2037 (e)		65			4

Series 2007-53, Class ES, IF, IO, 6.44%, 9/20/2037 (e)		22			3

Series 2007-53, Class SW, IF, 19.87%, 9/20/2037 (e)		16			22

Series 2009-79, Class OK, PO, 11/16/2037		61			58

Series 2007-76, Class SA, IF, IO, 6.42%, 11/20/2037 (e)		42			6

Series 2007-72, Class US, IF, IO, 6.44%, 11/20/2037 (e)		41			5

Series 2009-106, Class ST, IF, IO, 5.89%, 2/20/2038 (e)		136			23

Series 2008-33, Class XS, IF, IO, 7.59%, 4/16/2038 (e)		31			5

Series 2008-40, Class SA, IF, IO, 6.29%, 5/16/2038 (e)		81			15

Series 2008-50, Class KB, 6.00%, 6/20/2038		100			116

Series 2008-55, Class SA, IF, IO, 6.09%, 6/20/2038 (e)		49			8

Series 2008-93, Class AS, IF, IO, 5.59%, 12/20/2038 (e)		55			7

Series 2009-6, Class SA, IF, IO, 5.99%, 2/16/2039 (e)		15			2

Series 2009-31, Class TS, IF, IO, 6.19%, 3/20/2039 (e)		50			4

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		25			6

Series 2009-22, Class SA, IF, IO, 6.16%, 4/20/2039 (e)		69			11

Series 2009-92, Class ZC, 5.00%, 10/20/2039		384			436

Series 2011-137, Class WA, 5.57%, 7/20/2040 (e)		176			206

Series 2010-105, Class B, 5.00%, 8/20/2040		499			570

Series 2010-130, Class CP, 7.00%, 10/16/2040		43			51

Series 2013-91, Class WA, 4.48%, 4/20/2043 (e)		346			382

Series 2012-H24, Class FA, 0.59%, 3/20/2060 (e)		5			5

Series 2013-H03, Class FA, 0.44%, 8/20/2060 (e)		—	(f)		—	(f)

Series 2012-H21, Class DF, 0.79%, 5/20/2061 (e)		2			2

Series 2012-H26, Class MA, 0.69%, 7/20/2062 (e)		1			1

Series 2012-H29, Class FA, 0.66%, 10/20/2062 (e)		336			336


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2014-H15, Class FA, 0.64%, 7/20/2064 (e)		563		565

Series 2014-H17, Class FC, 0.64%, 7/20/2064 (e)		473		475

Series 2015-H15, Class FJ, 0.58%, 6/20/2065 (e)		542		542

Series 2015-H18, Class FA, 0.59%, 6/20/2065 (e)		371		371

Series 2015-H20, Class FA, 0.61%, 8/20/2065 (e)		483		484

Series 2015-H26, Class FG, 0.66%, 10/20/2065 (e)		557		559

GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036		40		55

Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 ‡		1		1

JPMorgan Mortgage Trust

Series 2003-A1, Class 1A1, 2.27%, 10/25/2033 (e)		148		149

Series 2006-A2, Class 5A3, 2.54%, 11/25/2033 (e)		33		35

Series 2006-A2, Class 4A1, 3.06%, 8/25/2034 (e)		10		11

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 3.00%, 4/21/2034 (e)		30		31

Series 2004-3, Class 4A2, 2.70%, 4/25/2034 (e)		7		7

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		1		—	(f)

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		60		61

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		65		68

Series 2004-7, Class 30, PO, 8/25/2034 ‡		7		6

Series 2005-6, Class 3A1, 5.50%, 12/25/2035		12		12

MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (a)		6		5

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 0.74%, 10/25/2028 (e)		70		71

Series 2004-A, Class A1, 0.58%, 4/25/2029 (e)		22		22

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (a) (e)		29		29


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		7			7

Series 2003-A1, Class A1, 5.50%, 5/25/2033		2			2

Series 2003-A1, Class A2, 6.00%, 5/25/2033		12			12

RALI Trust

Series 2002-QS16, Class A3, IF, 16.38%, 10/25/2017 (e)		—	(f)		—	(f)

Series 2003-QS9, Class A3, IF, IO, 7.43%, 5/25/2018 ‡ (e)		1			—	(f)

Series 2004-QS3, Class CB, 5.00%, 3/25/2019		—	(f)		1

Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 ‡ (a)		42			29

Seasoned Credit Risk Transfer Trust

Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡		468			512

Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡		84			93

Series 2019-4, Class M55D, 4.00%, 2/25/2059		296			326

Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028		354			375

Vendee Mortgage Trust

Series 1993-1, Class ZB, 7.25%, 2/15/2023		49			51

Series 1994-1, Class 1, 5.22%, 2/15/2024 (e)		41			43

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		91			103

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		29			33

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		134			152

Series 1998-1, Class 2E, 7.00%, 3/15/2028		34			37

VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 3/27/2051 (a) (g)		100			100

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (g)		138			138

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR5, Class A7, 3.71%, 6/25/2033 (e)		28			29

Series 2004-AR3, Class A2, 3.62%, 6/25/2034 (e)		15			15

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035		87			83

Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡		—	(f)		—	(f)


Total Collateralized Mortgage Obligations (Cost $16,906)					18,037


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Mortgage-Backed Securities — 11.0%

FHLMC

Pool # 785618, ARM, 2.50%, 7/1/2026 (e)		7		7

Pool # 611141, ARM, 2.71%, 1/1/2027 (e)		6		6

Pool # 1B2656, ARM, 2.29%, 12/1/2034 (e)		35		35

Pool # 1G2557, ARM, 3.48%, 6/1/2036 (e)		51		54

Pool # 1A1085, ARM, 2.03%, 8/1/2036 (e)		51		54

Pool # 1Q0105, ARM, 2.60%, 9/1/2036 (e)		19		20

Pool # 1B7242, ARM, 3.01%, 9/1/2036 (e)		48		51

Pool # 1Q0737, ARM, 2.35%, 11/1/2036 (e)		22		23

Pool # 1N1511, ARM, 1.91%, 1/1/2037 (e)		33		33

Pool # 1J1543, ARM, 4.10%, 2/1/2037 (e)		6		5

Pool # 1Q0739, ARM, 2.21%, 3/1/2037 (e)		23		24

Pool # 1Q0722, ARM, 3.09%, 4/1/2038 (e)		23		25

FHLMC Gold Pools, 15 Year Pool # G12825, 6.50%, 3/1/2022		1		1

FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026		6		7

FHLMC Gold Pools, 30 Year

Pool # G00245, 8.00%, 8/1/2024		1		1

Pool # C00376, 8.00%, 11/1/2024		1		—	(f)

Pool # C00414, 7.50%, 8/1/2025		2		2

Pool # C00452, 7.00%, 4/1/2026		2		2

Pool # G00981, 8.50%, 7/1/2028		4		4

Pool # A17537, 6.00%, 1/1/2034		22		27

Pool # G02682, 7.00%, 2/1/2037		17		20

Pool # Q58054, 4.50%, 11/1/2046		218		244

FHLMC Gold Pools, Other

Pool # G20027, 10.00%, 10/1/2030		4		4

Pool # U80336, 3.50%, 5/1/2033		353		379

Pool # U90690, 3.50%, 6/1/2042		167		182

Pool # U90975, 4.00%, 6/1/2042		136		149

Pool # U91427, 3.50%, 5/1/2043		476		522

FNMA

Pool # 54844, ARM, 2.30%, 9/1/2027 (e)		2		2

Pool # 303532, ARM, 3.93%, 3/1/2029 (e)		1		2

Pool # 745446, ARM, 2.59%, 4/1/2033 (e)		25		26

Pool # 746299, ARM, 2.39%, 9/1/2033 (e)		41		43

Pool # 743546, ARM, 1.99%, 11/1/2033 (e)		37		37

Pool # 735332, ARM, 2.87%, 8/1/2034 (e)		41		42

Pool # 790964, ARM, 2.27%, 9/1/2034 (e)		15		15

Pool # 896463, ARM, 2.65%, 10/1/2034 (e)		39		41

Pool # 810896, ARM, 1.76%, 1/1/2035 (e)		27		28

Pool # 816361, ARM, 1.82%, 1/1/2035 (e)		91		91

Pool # 816594, ARM, 1.80%, 2/1/2035 (e)		17		18

Pool # 816597, ARM, 1.92%, 2/1/2035 (e)		11		11


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 745862, ARM, 2.86%, 4/1/2035 (e)		26			26

Pool # 843026, ARM, 1.78%, 9/1/2035 (e)		39			40

Pool # 832801, ARM, 2.10%, 9/1/2035 (e)		47			48

Pool # 920340, ARM, 3.04%, 2/1/2036 (e)		38			38

Pool # 886558, ARM, 2.40%, 8/1/2036 (e)		9			10

Pool # 893424, ARM, 2.17%, 9/1/2036 (e)		33			34

Pool # 913984, ARM, 1.71%, 2/1/2037 (e)		13			14

Pool # 915645, ARM, 2.28%, 2/1/2037 (e)		39			41

Pool # 887094, ARM, 2.93%, 7/1/2046 (e)		47			50

FNMA UMBS, 15 Year

Pool # 745406, 6.00%, 3/1/2021		—	(f)		—	(f)

Pool # 995381, 6.00%, 1/1/2024		9			9

FNMA UMBS, 20 Year Pool # 254305, 6.50%, 5/1/2022		5			5

FNMA UMBS, 30 Year

Pool # 189190, 7.50%, 11/1/2022		1			1

Pool # 250066, 8.00%, 5/1/2024		—	(f)		—	(f)

Pool # 250103, 8.50%, 7/1/2024		1			1

Pool # 303031, 7.50%, 10/1/2024		1			1

Pool # 308499, 8.50%, 5/1/2025		—	(f)		—	(f)

Pool # 695533, 8.00%, 6/1/2027		5			6

Pool # 313687, 7.00%, 9/1/2027		1			1

Pool # 755973, 8.00%, 11/1/2028		8			9

Pool # 598559, 6.50%, 8/1/2031		11			13

Pool # 995409, 8.00%, 11/1/2032		101			119

Pool # 675555, 6.00%, 12/1/2032		18			21

Pool # 674349, 6.00%, 3/1/2033		9			10

Pool # 702901, 6.00%, 5/1/2033		32			39

Pool # 721535, 5.00%, 7/1/2033		54			63

Pool # 723852, 5.00%, 7/1/2033		17			19

Pool # 729296, 5.00%, 7/1/2033		38			43

Pool # 713700, 4.50%, 8/1/2033		21			24

Pool # 737825, 6.00%, 9/1/2033		8			9

Pool # 725027, 5.00%, 11/1/2033		34			39

Pool # 725017, 5.50%, 12/1/2033		35			41

Pool # AA0922, 6.00%, 9/1/2036		46			56

Pool # 986648, 6.00%, 9/1/2037		23			28

Pool # AD9151, 5.00%, 8/1/2040		118			137

Pool # BM3375, 4.00%, 1/1/2048		243			269

Pool # BK8753, 4.50%, 6/1/2049		323			355

Pool # BP6363, 3.00%, 4/1/2050		478			502

FNMA, 30 Year

Pool # 252409, 6.50%, 3/1/2029		8			9

Pool # 752786, 6.00%, 9/1/2033		10			11


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)


FNMA, Other

Pool # AL0569, 4.45%, 6/1/2021 (e)		93			93

Pool # AM8317, 2.96%, 3/1/2025		180			195

Pool # AN2309, 2.21%, 7/1/2026		457			485

Pool # AM6381, 3.29%, 8/1/2026		992			1,094

Pool # AM7515, 3.34%, 2/1/2027		500			557

Pool # BL1211, 4.01%, 2/1/2027		196			223

Pool # BL1040, 3.81%, 12/1/2028		150			174

Pool # BL0907, 3.88%, 12/1/2028		300			348

Pool # AM6892, 3.76%, 9/1/2029		225			257

Pool # BM4162, 3.20%, 10/1/2029 (e)		295			327

Pool # BL4333, 2.52%, 11/1/2029		398			428

Pool # 888408, 6.00%, 3/1/2037		19			20

Pool # 257172, 5.50%, 4/1/2038		7			8

Pool # MA1125, 4.00%, 7/1/2042		237			260

FNMA/FHLMC UMBS, Single Family, 15 Year TBA, 2.00%, 4/25/2036 (h)		40			41

FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.00%, 4/25/2051 (h)		605			610

GNMA I, 30 Year

Pool # 352108, 7.00%, 8/15/2023		—	(f)		—	(f)

Pool # 363030, 7.00%, 9/15/2023		10			10

Pool # 352022, 7.00%, 11/15/2023		1			1

Pool # 366706, 6.50%, 1/15/2024		4			5

Pool # 371281, 7.00%, 2/15/2024		2			2

Pool # 782507, 9.50%, 10/15/2024		—	(f)		—	(f)

Pool # 780029, 9.00%, 11/15/2024		—	(f)		—	(f)

Pool # 780965, 9.50%, 12/15/2025		—	(f)		—	(f)

Pool # 442119, 7.50%, 11/15/2026		1			1

Pool # 411829, 7.50%, 7/15/2027		2			2

Pool # 468149, 8.00%, 8/15/2028		1			1

Pool # 468236, 6.50%, 9/15/2028		32			35

Pool # 486537, 7.50%, 9/15/2028		2			3

Pool # 466406, 6.00%, 11/15/2028		20			22

Pool # 607645, 6.50%, 2/15/2033		8			10

Pool # 781614, 7.00%, 6/15/2033		14			17

Pool # 782615, 7.00%, 6/15/2035		37			44

Pool # 782025, 6.50%, 12/15/2035		49			57

Pool # 681638, 6.00%, 12/15/2038		66			74

GNMA II, 30 Year

Pool # 1974, 8.50%, 3/20/2025		—	(f)		—	(f)

Pool # 1989, 8.50%, 4/20/2025		2			2

Pool # 2006, 8.50%, 5/20/2025		2			2

Pool # 2141, 8.00%, 12/20/2025		—	(f)		1

Pool # 2234, 8.00%, 6/20/2026		1			1


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Mortgage-Backed Securities — continued

Pool # 2270, 8.00%, 8/20/2026		1			1

Pool # 2285, 8.00%, 9/20/2026		1			1

Pool # 2324, 8.00%, 11/20/2026		1			1

Pool # 2499, 8.00%, 10/20/2027		2			2

Pool # 2512, 8.00%, 11/20/2027		2			2

Pool # 2525, 8.00%, 12/20/2027		1			1

Pool # 2549, 7.50%, 2/20/2028		1			1

Pool # 2562, 6.00%, 3/20/2028		10			12

Pool # 2606, 8.00%, 6/20/2028		1			1

Pool # 2633, 8.00%, 8/20/2028		—	(f)		—	(f)

Pool # 2646, 7.50%, 9/20/2028		2			3

Pool # 4245, 6.00%, 9/20/2038		54			64

Pool # BA7567, 4.50%, 5/20/2048		182			197

Pool # BI0416, 4.50%, 11/20/2048		211			231

Pool # BM9692, 4.50%, 7/20/2049		164			179

Pool # BQ3224, 4.50%, 9/20/2049		480			537

Pool # MA7136, 2.50%, 1/20/2051		135			140

GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033		351			377


Total Mortgage-Backed Securities (Cost $10,846)					11,538

Asset-Backed Securities — 9.0%

ACC Trust Series 2019-2, Class A, 2.82%, 2/21/2023 (a)		50			50

Ally Auto Receivables Trust

Series 2018-2, Class A3, 2.92%, 11/15/2022		59			60

Series 2019-1, Class A3, 2.91%, 9/15/2023		49			50

American Airlines Pass-Through Trust Series 2016-3, Class AA, 3.00%, 10/15/2028		67			67

American Credit Acceptance Receivables Trust

Series 2019-4, Class B, 2.43%, 10/12/2023 (a)		135			136

Series 2020-3, Class A, 0.62%, 10/13/2023 (a)		50			50

Series 2021-1, Class A, 0.35%, 5/13/2024 (a)		68			68

American Express Credit Account Master Trust Series 2019-1, Class A, 2.87%, 10/15/2024		135			139

AmeriCredit Automobile Receivables Trust

Series 2018-1, Class A3, 3.07%, 12/19/2022		12			12

Series 2018-2, Class A3, 3.15%, 3/20/2023		49			50

Series 2019-1, Class A3, 2.97%, 11/20/2023		45			45

Series 2019-2, Class A3, 2.28%, 1/18/2024		246			249

Series 2020-1, Class A3, 1.11%, 8/19/2024		70			71

Series 2020-2, Class A3, 0.66%, 12/18/2024		21			21

Series 2020-3, Class B, 0.76%, 12/18/2025		75			75


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (a)		100		105

BA Credit Card Trust

Series 2019-A1, Class A1, 1.74%, 1/15/2025		230		235

Series 2020-A1, Class A1, 0.34%, 5/15/2026		88		88

British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (a)		57		59

CarMax Auto Owner Trust

Series 2018-2, Class A3, 2.98%, 1/17/2023		54		55

Series 2018-3, Class A3, 3.13%, 6/15/2023		130		132

Series 2019-1, Class A3, 3.05%, 3/15/2024		183		186

Series 2020-1, Class A3, 1.89%, 12/16/2024		87		89

Series 2020-3, Class A3, 0.62%, 3/17/2025		85		85

Series 2021-1, Class A3, 0.34%, 12/15/2025		41		41

Carvana Auto Receivables Trust Series 2019-2A, Class A3, 2.58%, 3/15/2023 (a)		100		100

CoreVest American Finance Trust Series 2019-3, Class A, 2.71%, 10/15/2052 (a)		86		90

CPS Auto Receivables Trust

Series 2019-D, Class A, 2.17%, 12/15/2022 (a)		10		10

Series 2020-A, Class A, 2.09%, 5/15/2023 (a)		31		31

Credit Acceptance Auto Loan Trust

Series 2018-2A, Class A, 3.47%, 5/17/2027 (a)		33		33

Series 2019-3A, Class A, 2.38%, 11/15/2028 (a)		250		256

Series 2020-1A, Class A, 2.01%, 2/15/2029 (a)		250		256

Series 2021-2A, Class A, 0.96%, 2/15/2030 (a)		250		249

Drive Auto Receivables Trust

Series 2019-4, Class A3, 2.16%, 5/15/2023		20		20

Series 2020-1, Class A3, 2.02%, 11/15/2023		42		42

Series 2020-2, Class B, 1.42%, 3/17/2025		20		21

DT Auto Owner Trust

Series 2020-3A, Class B, 0.91%, 12/16/2024 (a)		65		65

Series 2021-1A, Class B, 0.62%, 9/15/2025 (a)		20		20

Exeter Automobile Receivables Trust

Series 2019-4A, Class A, 2.18%, 1/17/2023 (a)		7		7

Series 2020-1A, Class A, 2.05%, 6/15/2023 (a)		18		18


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Series 2020-3A, Class B, 0.79%, 9/16/2024		40		40

Series 2021-1A, Class B, 0.50%, 2/18/2025		78		78

Federal Express Corp. Pass-Through Trust Series 1998, 6.72%, 1/15/2022		27		28

First Investors Auto Owner Trust

Series 2019-1A, Class A, 2.89%, 3/15/2024 (a)		21		21

Series 2021-1A, Class A, 0.45%, 3/16/2026 (a)		41		41

Flagship Credit Auto Trust

Series 2018-3, Class A, 3.07%, 2/15/2023 (a)		4		4

Series 2020-4, Class A, 0.53%, 4/15/2025 (a)		261		262

Series 2019-4, Class C, 2.77%, 12/15/2025 (a)		105		109

Ford Credit Auto Lease Trust

Series 2018-B, Class A4, 3.30%, 2/15/2022		22		22

Series 2019-A, Class A3, 2.90%, 5/15/2022		42		42

Series 2020-A, Class A3, 1.85%, 3/15/2023		55		56

Series 2020-B, Class A4, 0.69%, 10/15/2023		47		47

Series 2021-A, Class A3, 0.26%, 2/15/2024		72		72

FREED ABS Trust Series 2020-FP1, Class A, 2.52%, 3/18/2027 (a)		38		38

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (e)		14		13

GLS Auto Receivables Issuer Trust Series 2020-4A, Class A, 0.52%, 2/15/2024 (a)		73		73

GM Financial Automobile Leasing Trust Series 2019-1, Class A3, 2.98%, 12/20/2021		14		14

GM Financial Consumer Automobile Receivables Trust

Series 2018-2, Class A3, 2.81%, 12/16/2022		49		50

Series 2021-1, Class A3, 0.35%, 10/16/2025		34		34

GM Financial Leasing Trust Series 2021-1, Class A4, 0.33%, 2/20/2025		78		78

Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (a)		16		16

Honda Auto Receivables Owner Trust

Series 2018-2, Class A3, 3.01%, 5/18/2022		33		33

Series 2019-4, Class A3, 1.83%, 1/18/2024		180		184

Hyundai Auto Lease Securitization Trust

Series 2019-A, Class A3, 2.98%, 7/15/2022 (a)		157		158

Series 2020-B, Class A3, 0.51%, 9/15/2023 (a)		135		135


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Hyundai Auto Receivables Trust Series 2018-A, Class A3, 2.79%, 7/15/2022		18		18

LV Tower 52 Issuer Series 2013-1, Class A, 5.75%, 7/15/2019 ‡ (a)		596		601

Mercedes-Benz Auto Lease Trust

Series 2019-A, Class A3, 3.10%, 11/15/2021		9		9

Series 2019-B, Class A3, 2.00%, 10/17/2022		50		51

Series 2020-A, Class A3, 1.84%, 12/15/2022		68		69

Series 2021-A, Class A3, 0.25%, 1/16/2024		59		59

OneMain Direct Auto Receivables Trust Series 2018-1A, Class A, 3.43%, 12/16/2024 (a)		79		80

Oportun Funding VIII LLC Series 2018-A, Class A, 3.61%, 3/8/2024 (a)		491		491

Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (a)		35		35

Santander Drive Auto Receivables Trust

Series 2020-2, Class A3, 0.67%, 4/15/2024		33		33

Series 2020-3, Class B, 0.69%, 3/17/2025		65		65

Series 2021-1, Class B, 0.50%, 4/15/2025		146		146

Series 2020-4, Class C, 1.01%, 1/15/2026		50		51

Santander Retail Auto Lease Trust Series 2019-A, Class A3, 2.77%, 6/20/2022 (a)		217		219

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 3.08%, 1/25/2036 ‡ (g)		25		25

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		39		39

Synchrony Card Issuance Trust Series 2018-A1, Class A, 3.38%, 9/15/2024		260		264

Tesla Auto Lease Trust Series 2019-A, Class A3, 2.16%, 10/20/2022 (a)		168		171

Toyota Auto Receivables Owner Trust

Series 2020-A, Class A2, 1.67%, 11/15/2022		127		127

Series 2020-A, Class A3, 1.66%, 5/15/2024		180		184

Series 2021-A, Class A3, 0.26%, 5/15/2025		131		131

Series 2020-C, Class A4, 0.57%, 10/15/2025		56		56

United Airlines Pass-Through Trust

Series 2016-2, Class AA, 2.88%, 10/7/2028		101		102

Series 2018-1, Class A, 3.70%, 3/1/2030		66		67

US Auto Funding LLC Series 2019-1A, Class B, 3.99%, 12/15/2022 (a)		96		97

Vericrest Opportunity Loan Trust

Series 2020-NPL2, Class A1A, 2.98%, 2/25/2050 ‡ (a) (g)		60		60

Series 2020-NPL6, Class A1A, 3.97%, 4/25/2050 ‡ (a) (g)		101		101


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Asset-Backed Securities — continued

Verizon Owner Trust Series 2018-A, Class A1A, 3.23%, 4/20/2023		59		59

VOLT LXXXVII LLC Series 2020-NPL3, Class A1A, 2.98%, 2/25/2050 ‡ (a) (g)		94		94

Westlake Automobile Receivables Trust

Series 2020-2A, Class A2A, 0.93%, 2/15/2024 (a)		98		98

Series 2020-3A, Class B, 0.78%, 11/17/2025 (a)		90		91

World Financial Network Credit Card Master Trust Series 2018-B, Class A, 3.46%, 7/15/2025		156		159

World Omni Auto Receivables Trust

Series 2020-A, Class A3, 1.70%, 1/17/2023		130		133

Series 2017-B, Class A3, 1.95%, 2/15/2023		26		26

Series 2021-A, Class A3, 0.30%, 1/15/2026		123		123

World Omni Automobile Lease Securitization Trust

Series 2018-B, Class A3, 3.19%, 12/15/2021		23		23

Series 2019-A, Class A3, 2.94%, 5/16/2022		99		100

Series 2020-B, Class A4, 0.52%, 2/17/2026		60		60

World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025		60		60


Total Asset-Backed Securities (Cost $9,365)				9,461

Commercial Mortgage-Backed Securities — 7.6%

20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (a) (e)		145		145

Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048		281		312

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KF12, Class A, 0.82%, 9/25/2022 (e)		9		9

Series KSMC, Class A2, 2.62%, 1/25/2023		500		521

Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (e)		500		547

Series KLU2, Class A7, 2.23%, 9/25/2025 (e)		350		364

Series K737, Class AM, 2.10%, 10/25/2026		305		320

Series K069, Class A2, 3.19%, 9/25/2027 (e)		500		560

Series K081, Class A1, 3.88%, 2/25/2028		112		127

Series K083, Class A2, 4.05%, 9/25/2028 (e)		297		351

Series K088, Class A2, 3.69%, 1/25/2029		480		558

FNMA ACES

Series 2015-M17, Class FA, 1.06%, 11/25/2022 (e)		130		130

Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e)		452		481


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)


Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e)		587		630

Series 2015-M7, Class A2, 2.59%, 12/25/2024		686		726

Series 2018-M2, Class A2, 2.90%, 1/25/2028 (e)		500		545

Series 2018-M13, Class A1, 3.70%, 3/25/2030 (e)		220		252

Series 2020-M50, Class A1, 0.67%, 10/25/2030		489		481

Series 2020-M50, Class A2, 1.20%, 10/25/2030		165		162

Series 2020-M50, Class X1, IO, 1.92%, 10/25/2030 (e)		2,810		328

Series 2021-M3, Class 1A1, 1.00%, 11/25/2033		25		25

Series 2021-M3, Class X1, IO, 2.01%, 11/25/2033 (e)		115		17

MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (a)		200		209

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)		116		117

UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063		104		107


Total Commercial Mortgage-Backed Securities (Cost $7,521)				8,024

U.S. Government Agency Securities — 0.1%

Resolution Funding Corp. STRIPS DN, 3.19%, 1/15/2026 (d)(Cost $52)		60		57


	SHARES (000)
Short-Term Investments — 3.4%
Investment Companies — 3.4%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.09% (i) (j) (Cost $3,631)		3,629		3,631

Total Investments — 100.1% (Cost $100,564)				105,244
Liabilities in Excess of Other Assets — (0.1)%				(94	)

NET ASSETS — 100.0%				105,150

Percentages indicated are based on net assets.

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 February 28, 2021.
DN		Discount Notes
FHLMC		Federal Home Loan Mortgage Corp.
FNMA		Federal National Mortgage Association
GNMA		Government National Mortgage Association
HB		High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IO’s the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
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 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 rate in effect as of February 28, 2021. The rate may be subject to a cap and floor.
IO		Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown 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 refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
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 extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.


REMIC		Real Estate Mortgage Investment Conduit
SOFR		Secured Overnight Financing Rate
STRIPS		Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.
TBA		To Be Announced; Security is subject to delayed delivery.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(b)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2021.
(c)		Amount rounds to less than 0.1% of net assets.
(d)		The rate shown is the effective yield as of February 28, 2021.
(e)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2021.
(f)		Amount rounds to less than one thousand.
(g)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2021.
(h)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(i)		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.
(j)		The rate shown is the current yield as of February 28, 2021.
‡		Value determined using significant unobservable inputs.

JPMorgan Institutional Trust (the “Trust”) was organized on September 14, 2004 as a Delaware statutory trust, pursuant to a Declaration of Trust dated September 14, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The following are two separate diversified series of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report: JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust.

The investment objective of JPMorgan Core Bond Trust (“Core Bond Trust”) is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

The investment objective of JPMorgan Intermediate Bond Trust (“Intermediate Bond Trust”) is to seek current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.

J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ 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.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This 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 Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

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

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

See the tables 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 Funds at February 28, 2021.

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 Funds’ investments are summarized into the three broad levels listed below.

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

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):

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

The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2021, which were valued using significant unobservable inputs (level 3) were as follows:

These amounts are included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.

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 year ended February 28, 2021 for Core Bond Trust.

Transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the year ended February 28, 2021 for Intermediate Bond Trust.

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

B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.

As of February 28, 2021, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.

C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments — The Funds purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date, or purchased delayed delivery securities which generally settle seven days after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.

The Funds may be required to post or receive collateral for delayed delivery securities in the form of cash or securities under a Master Securities Forward Transaction Agreement with the counterparties (each, an “MSFTA”). The collateral requirements are generally calculated by netting the mark-to-market amount for a Fund’s transactions under the MSFTA and comparing that amount to the value of the collateral pledged by a fund and the counterparty. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by a Fund is held in a segregated account at the Fund’s custodian bank and is included on the Statements of Assets and Liabilities as Restricted cash. Collateral received by the Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan. These amounts are not reflected on the Funds’ Statements of Assets and Liabilities.

The Funds had when-issued securities, delayed delivery securities or forward commitments outstanding as of February 28, 2021, which are shown as a Receivable for Investment securities sold — delayed delivery securities and a Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities. The values of these securities held at February 28, 2021 are detailed on the SOIs.

D. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.

The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.

Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.

The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.

The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.

Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.

JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.15% to 0.06%. For the year ended February 28, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:

The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).

E. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the tables below.

F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts.

The Funds invest in treasury inflation protected securities (TIPS). The principal amount of TIPS is adjusted periodically and is increased for inflation or decreased for deflation based on a monthly published index. These adjustments are recorded as increases or decreases to interest income on the Statements of Operations. Coupon payments are based on the adjusted principal at the time the interest is paid.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.

G. Allocation of Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds.

H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of February 28, 2021, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

I. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least monthly. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.

J. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.

A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.28% of each Fund’s respective average daily net assets.

The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.E.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at a rate of 0.10% of the Funds’ average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMCB serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.

Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

D. Placement Agent — J.P. Morgan Institutional Investments, Inc. (the “Placement Agent”), a registered broker-dealer affiliated with the Adviser, serves as the Funds’ Placement Agent. The Placement Agent processes subscriptions for shares and provides various sales support activities in connection with the Funds’ private placement of its shares.

E. Waivers and Reimbursements — The Adviser and Administrator have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ average daily net assets as shown in the table below:

The expense limitation agreements were in effect for the year ended February 28, 2021 and the contractual expense limitation percentages in the table above are in place until at least June 30, 2021.

For the year ended February 28, 2021, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser and Administrator have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.

The amounts of these waivers resulting from investments in these money market funds for the year ended February 28, 2021 were as follows:

F. Other — Certain officers of the Trust are affiliated with the Adviser and the Administrator. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended February 28, 2021, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.

During the year ended February 28, 2021, purchases and sales of investments (excluding short-term investments) were as follows:

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 28, 2021 were as follows:

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to callable bonds.

The tax character of distributions paid during the year ended February 28, 2021 was as follows:

The tax character of distributions paid during the year ended February 29, 2020 was as follows:

As of February 28, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:

Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 28, 2021, the following Fund deferred to March 1, 2021 the following net capital losses of:

During the year ended February 28, 2021, the following Fund utilized capital loss carryforwards as follows:

As of February 28, 2021, the Funds did not have any net capital loss carryforwards.

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Funds had no borrowings outstanding from another fund during the year ended February 28, 2021.

The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 1, 2021.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended February 28, 2021.

The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00%, which has increased to 1.25% pursuant to the amendment referenced below, plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 11, 2020, this agreement has been amended and restated for a term of 364 days, unless extended, and to include the change to the interest rate charged for borrowing from the Credit Facility to 1.25%, as noted above, and an upfront fee of 0.075% of the Credit Facility to be charged and paid by all participating funds of the Credit Facility.

The Funds did not utilize the Credit Facility during the year ended February 28, 2021.

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.

As of February 28, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:

Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.

The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.

The Funds are subject to the risk that, should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deem to be representative of its value, the value of the Funds’ net assets could be adversely affected.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The Funds invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. During periods when interest rates are low or there are negative interest rates, the Funds’ yield (and total return) also may be low or the Funds may be unable to maintain positive returns. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region. The value of a Fund’s investments may be adversely affected if any of the issuers or counterparties it is invested in are subject to an actual or perceived deterioration in their credit quality.

LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London

interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.

The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.

To the Board of Trustees of JPMorgan Institutional Trust and Shareholders of JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust

We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Core Bond Trust and JPMorgan Intermediate Bond Trust (constituting JPMorgan Institutional Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2021, the related statements of operations for the year ended February 28, 2021, the statements of changes in net assets for each of the two years in the period ended February 28, 2021, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended February 28, 2021 and each of the financial highlights for each of the five years in the period ended February 28, 2021 in conformity with accounting principles generally accepted in the United States of America.

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 28, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.

The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.

The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.

As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, September 1, 2020, and continued to hold your shares at the end of the reporting period, February 28, 2021.

Actual Expenses

For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Fund under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs or the costs associated with the investment advisory accounts through which the Fund is held. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.

The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board of Trustees reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.

The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this

assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule), as well as whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (5) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (6) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of each Fund’s investments; and (2) perform additional stress testing. The Report noted that each Fund was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.

Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 28, 2021. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2021. The information necessary to complete your income tax returns for the calendar year ending December 31, 2021 will be provided under separate cover.

Long-Term Capital Gain

Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 28, 2021:


	Long-Term Capital Gain Distribution
JPMorgan Core Bond Trust	$	44,569
JPMorgan Intermediate Bond Trust		1,632

This report is open and authorized for distribution only to qualified and accredited investors who have received a copy of the Funds’ Confidential Offering Memorandum. This document may not be copied, faxed or otherwise distributed to the general public.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. Each Fund’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-343-1113 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record is available on the SEC’s website at www.sec.gov. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

The audit committee financial expert is Dennis P. Harrington. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

On April 1, 2021, Kathleen M. Gallagher replaced Dennis P. Harrington as the audit committee financial expert. Ms. Gallagher is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 28, 2021 and 2020, respectively.

For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the

“Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


REPORTING PERIOD RETURN:
Fund*		2.57%
Bloomberg Barclays U.S. Aggregate Index		1.38%

Net Assets as of 2/28/2021 (In Thousands)	$	2,220,686
Duration as of 2/28/2021		5.8 Years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2021

	INCEPTION DATE OF FUND		1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		2.57	%		4.21	%		4.16	%


REPORTING PERIOD RETURN:
Fund*		2.42%
Bloomberg Barclays Intermediate U.S. Government/Credit Index		2.35%

Net Assets as of 2/28/2021 (In Thousands)	$	105,150
Duration as of 2/28/2021		4.0 Years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2021

	INCEPTION DATE OF CLASS		1 YEAR			5 YEAR			10 YEAR
		February 7, 2005		2.42	%		3.37	%		3.47	%


Letter to Shareholders			1

Market Overview			2

Fund Commentaries:

JPMorgan Core Bond Trust			3

JPMorgan Intermediate Bond Trust			5

Schedules of Portfolio Investments			7

Financial Statements			60

Financial Highlights			64

Notes to Financial Statements			68

Report of Independent Registered Public Accounting Firm			78

Trustees			79

Officers			82

Schedule of Shareholder Expenses			83

Liquidity Risk Management Program			84

Tax Letter			85



	JPMorgan Core Bond Trust		JPMorgan Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	2,203,932	$	101,613
Investments in affiliates, at value		108,295		3,631
Cash		—		13
Receivables:
Due from custodian		846		—
Investment securities sold		6,969		11
Investment securities sold — delayed delivery securities		39,142		513
Fund shares sold		2,035		—
Interest from non-affiliates		10,021		362
Dividends from affiliates		9		—	(a)

Total Assets		2,371,249		106,143


LIABILITIES:
Payables:
Investment securities purchased		8,820		67
Investment securities purchased — delayed delivery securities		141,417		873
Accrued liabilities:
Investment advisory fees		217		1
Administration fees		7		—
Custodian and accounting fees		34		16
Other		68		36

Total Liabilities		150,563		993

Net Assets	$	2,220,686	$	105,150


NET ASSETS:
Paid-in-Capital	$	2,122,779	$	100,194
Total distributable earnings (loss)		97,907		4,956

Total Net Assets	$	2,220,686	$	105,150


Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized):		211,484		10,513
Net asset value, offering and redemption price per share (b)	$	10.50	$	10.00


Cost of investments in non-affiliates	$	2,114,013	$	96,933
Cost of investments in affiliates		108,285		3,631



	JPMorgan Core Bond Trust			JPMorgan Intermediate Bond Trust
INVESTMENT INCOME:
Interest income from non-affiliates	$	61,006		$	3,480
Dividend income from affiliates		156			9
Income from securities lending (net) (See Note 2.D.)		—	(a)		—	(a)

Total investment income		61,162			3,489


EXPENSES:
Investment advisory fees		5,627			351
Administration fees		2,009			125
Custodian and accounting fees		154			67
Interest expense to affiliates		1			—	(a)
Professional fees		108			63
Trustees’ and Chief Compliance Officer’s fees		31			25
Printing and mailing costs		16			6
Transfer agency fees		14			1
Other		131			11

Total expenses		8,091			649

Less fees waived		(5,192	)		(466	)
Less expense reimbursements		—			(1	)

Net expenses		2,899			182

Net investment income (loss)		58,263			3,307


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		48,625			2,759
Investments in affiliates		(4	)		1

Net realized gain (loss)		48,621			2,760

Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(62,700	)		(2,545	)
Investments in affiliates		(2	)		(1	)

Change in net unrealized appreciation/depreciation		(62,702	)		(2,546	)

Net realized/unrealized gains (losses)		(14,081	)		214

Change in net assets resulting from operations	$	44,182		$	3,521


	JPMorgan Core Bond Trust						JPMorgan Intermediate Bond Trust
	Year Ended February 28, 2021			Year Ended February 29, 2020			Year Ended February 28, 2021			Year Ended February 29, 2020
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	58,263		$	64,634		$	3,307		$	4,250
Net realized gain (loss)		48,621			22,238			2,760			482
Change in net unrealized appreciation/depreciation		(62,702	)		140,634			(2,546	)		6,944

Change in net assets resulting from operations		44,182			227,506			3,521			11,676


DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders		(108,836	)		(72,316	)		(4,940	)		(4,272	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		784,534			284,071			5,450			6,805
Distributions reinvested		103,812			67,887			3,651			3,357
Cost of shares redeemed		(662,720	)		(323,722	)		(42,534	)		(20,737	)

Change in net assets resulting from capital transactions		225,626			28,236			(33,433	)		(10,575	)


NET ASSETS:
Change in net assets		160,972			183,426			(34,852	)		(3,171	)
Beginning of period		2,059,714			1,876,288			140,002			143,173

End of period	$	2,220,686		$	2,059,714		$	105,150		$	140,002


SHARE TRANSACTIONS:
Issued		72,882			27,289			535			688
Reinvested		9,653			6,512			358			338
Redeemed		(61,771	)		(31,187	)		(4,135	)		(2,110	)

Change in Shares		20,764			2,614			(3,242	)		(1,084	)


	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss) (a)		Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Total distributions
JPMorgan Core Bond Trust
Year Ended February 28, 2021	$	10.80	$	0.31	$	(0.03	)	$	0.28	$	(0.31	)	$	(0.27	)	$	(0.58	)
Year Ended February 29, 2020		9.97		0.34		0.87			1.21		(0.34	)		(0.04	)		(0.38	)
Year Ended February 28, 2019		10.03		0.34		(0.03	)		0.31		(0.34	)		(0.03	)		(0.37	)
Year Ended February 28, 2018		10.33		0.35		(0.18	)		0.17		(0.35	)		(0.12	)		(0.47	)
Year Ended February 28, 2017		10.58		0.33		(0.14	)		0.19		(0.34	)		(0.10	)		(0.44	)


		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (b)			Net assets, end of period (000’s)		Net expenses (c)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate

$	10.50		2.57	%	$	2,220,686		0.14	%		2.89	%		0.40	%		66	%
	10.80		12.32			2,059,714		0.14			3.25			0.41			32
	9.97		3.16			1,876,288		0.15			3.42			0.42			17
	10.03		1.59			2,218,802		0.15			3.36			0.43			18
	10.33		1.78			3,159,232		0.15			3.15			0.42			16


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Asset-Backed Securities	$	—	$	146,544	$	58,045	$	204,589
Collateralized Mortgage Obligations		—		235,724		32,493		268,217
Commercial Mortgage-Backed Securities		—		71,431		4,574		76,005
Corporate Bonds		—		642,242		—		642,242
Foreign Government Securities		—		12,646		—		12,646
Mortgage-Backed Securities		—		394,480		—		394,480
Municipal Bonds		—		12,249		—		12,249
U.S. Government Agency Securities		—		15,956		—		15,956
U.S. Treasury Obligations		—		577,548		—		577,548
Short-Term Investments
Investment Companies		108,295		—		—		108,295

Total Investments in Securities	$	108,295	$	2,108,820	$	95,112	$	2,312,227


Core Bond Trust	Balance as of February 29, 2020		Realized gain (loss)			Change in net unrealized appreciation (depreciation)			Net accretion (amortization)			Purchases¹		Sales²			Transfers into Level 3		Transfers out of Level 3			Balance as of February 28, 2021
Investments in Securities:
Asset-Backed Securities	$	72,411	$	—	(a)	$	(111	)	$	(83	)	$	21,128	$	(30,455	)	$	3,177	$	(8,022	)	$	58,045
Collateralized Mortgage Obligations		20,213		—	(a)		(794	)		(982	)		12,966		(7,346	)		8,436		—			32,493
Commercial Mortgage-Backed Securities		4,846		—			(167	)		(130	)		26		(1	)		—		—			4,574

Total	$	97,470	$	—	(a)	$	(1,072	)	$	(1,195	)	$	34,120	$	(37,802	)	$	11,613	$	(8,022	)	$	95,112


Intermediate Bond Trust	Balance as of February 29, 2020			Realized gain (loss)			Change in net unrealized appreciation (depreciation)			Net accretion (amortization)			Purchases¹			Sales²			Transfers into Level 3		Transfers out of Level 3		Balance as of February 28, 2021
Asset-Backed Securities	$	1,996		$	—		$	3		$	—	(a)	$	861		$	(2,116	)	$	150	$	—	$	894
Collateralized Mortgage Obligations		60			—	(a)		(7	)		—	(a)		35			(140	)		706		—		654
Commercial Mortgage-Backed Securities		—	(a)		—			—	(a)		—	(a)		—	(a)		—	(a)		—		—		—

Total	$	2,056		$	—	(a)	$	(4	)	$	—	(a)	$	896		$	(2,256	)	$	856	$	—	$	1,548


	Fair Value at February 28, 2021		Valuation Technique(s)	Unobservable Input	Range (Weighted Average) (a)
	$	49,153	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 30.00% (6.27%)
				Constant Default Rate		0.00% - 4.92% (0.10%)
				Yield (Discount Rate of Cash Flows)		0.80% - 5.20% (2.55%)

Asset-Backed Securities		49,153

		9,982	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (63.51%)
				Constant Default Rate		0.00% - 4.92% ( 0.88%)
				Yield (Discount Rate of Cash Flows)		1.29% - 26.19% ( 6.44%)

Collateralized Mortgage Obligations		9,982

		4,574	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% ( 2.70%)
				Yield (Discount Rate of Cash Flows)		-1.05% - 7.75% ( 3.14%)

Commercial Mortgage-Backed Securities		4,574

Total	$	63,709



FEBRUARY 28, 2021	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2021



FEBRUARY 28, 2021	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2021


For the year ended February 28, 2021
Security Description	Value at February 29, 2020		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation/ (Depreciation)			Value at February 28, 2021		Shares at February 28, 2021		Dividend Income			Capital Gain Distributions
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.09% (a) (b)	$	58,446	$	1,083,034	$	1,033,179	$	(4	)	$	(2	)	$	108,295		108,241	$	156		$	—
JPMorgan U.S. Government Money Market Fund Class IM Shares (a)		619		1,680		2,299		—			—			—		—		1	*		—

Total	$	59,065	$	1,084,714	$	1,035,478	$	(4	)	$	(2	)	$	108,295			$	157		$	—


	Paid-in-Capital			Accumulated undistributed (distributions in excess of) net investment income		Accumulated net realized gains (losses)
Core Bond Trust	$	(797	)	$	804	$	(7	)
Intermediate Bond Trust		(95	)		97		(2	)


	Contractual Waivers
	Investment Advisory Fees		Administration Fees		Total		Contractual Reimbursements
Core Bond Trust	$	3,082	$	1,994	$	5,076	$	—
Intermediate Bond Trust		336		125		461		1


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	1,134,110	$	966,107	$	394,259	$	339,735
Intermediate Bond Trust		35,298		55,318		12,621		26,160


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	2,223,173	$	106,731	$	17,677	$	89,054
Intermediate Bond Trust		100,640		5,119		515		4,604


	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	64,267	$	44,569	$	108,836
Intermediate Bond Trust		3,308		1,632		4,940


	Current Distributable Ordinary Income		Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover)		Unrealized Appreciation (Depreciation)
Core Bond Trust	$	833	$	8,094	$	89,054
Intermediate Bond Trust		23		403		4,604


	Net Capital Losses
	Short-Term		Long-Term
Intermediate Bond Trust	$	40	$	—


	Capital Loss Utilized
	Short-Term		Long-Term
Intermediate Bond Trust	$	763	$	–


	Number of individual shareholder and/or Non-Affiliated Omnibus Accounts		% of the Fund
Core Bond Trust		1		16.6	%
Intermediate Bond Trust		3		68.6


Name (Year of Birth); Positions With the Funds ⁽¹⁾	Principal Occupation During Past 5 Years	Number of Funds in Fund Complex Overseen by Trustee ⁽²⁾	Other Directorships Held During the Past 5 Years
Independent Trustees

John F. Finn (1947); Chair since 2020; Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present).	127	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); Director, Cardinal Health, Inc. (CAH) (1994-2014).

Stephen P. Fisher (1959); Trustee of Trust since 2018.	Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies).	127	Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).

Kathleen M. Gallagher (1958); Trustee of Trust since 2018.	Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016).	127	Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, Fiduciary Solutions, State Street Global Advisors (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016).

Dennis P. Harrington* (1950); Trustee of Trust since 2017.	Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012).	127	None

Frankie D. Hughes (1952); Trustee of Trust since 2008.	President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014).	127	None


Name (Year of Birth), Positions Held with the Trust (Since)		Principal Occupations During Past 5 Years

Brian S. Shlissel (1964), President and Principal Executive Officer (2016)*		Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (since 2014).

Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)		Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013.

Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)**		Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010.

Stephen M. Ungerman (1953), Chief Compliance Officer (2005)		Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Elizabeth A. Davin (1964), Assistant Secretary (2005)***		Executive Director and Assistant General Counsel. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004.

Jessica K. Ditullio (1962), Assistant Secretary (2005)***		Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990.

Anthony Geron (1971), Assistant Secretary (2018)**		Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015.

Carmine Lekstutis (1980), Assistant Secretary (2011)**		Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011.

Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)**		Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016.

Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)		Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.). Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012.

Aleksandr Fleytekh (1972), Assistant Treasurer (2019)		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2012.

Shannon Gaines (1977), Assistant Treasurer (2018)***		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014.

Jeffrey D. House (1972), Assistant Treasurer (2017)***		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since July 2006.

Michael Mannarino (1985), Assistant Treasurer (2020)		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since 2014.

Joseph Parascondola (1963), Assistant Treasurer (2011)*		Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) from August 2006 to January 2020.

Gillian I. Sands (1969), Assistant Treasurer (2012)		Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2012.


	Beginning Account Value September 1, 2020		Ending Account Value February 28, 2021		Expenses Paid During the Period*		Annualized Expense Ratio
JPMorgan Core Bond Trust
Actual	$	1,000.00	$	996.90	$	0.69		0.14	%
Hypothetical		1,000.00		1,024.10		0.70		0.14

JPMorgan Intermediate Bond Trust
Actual		1,000.00		997.40		0.74		0.15
Hypothetical		1,000.00		1,024.05		0.75		0.15


	Income from U.S. Treasury Obligations
JPMorgan Core Bond Trust		14.2	%
JPMorgan Intermediate Bond Trust		18.4


		^© JPMorgan Chase & Co., 2021. All rights reserved. February 2021.		AN-INSTT-221


JPMorgan Institutional Trust

By:		/s/ Brian S. Shlissel
		Brian S. Shlissel
		President and Principal Executive Officer
		May 3, 2021