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 Reports. 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.

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,

While the economic rebound and recovery from the depths of the pandemic continued through 2021 and into 2022, the emergence of coronavirus variants and the military conflict in Ukraine stoked increased volatility in financial markets. While U.S. corporate profits remained at record highs throughout the period, accelerating inflation consumed a growing portion of those earnings during the twelve months ended February 28, 2022.

“Regardless of the path of the economy, we believe investors may benefit most from a diversified portfolio and a long-term approach.” — Andrea L. Lisher

Equity markets in the U.S. and other developed markets generated strong returns for investors during the period, while bond markets brought mixed returns amid low interest rates and rising inflation. Notably, the U.S. real estate sector boomed during the period amid low mortgage rates, rising consumer wealth and limited housing supply. More broadly, growth in jobs, wages and strong consumer spending largely continued despite renewed social restrictions in response to the emergence of the Omicron variant of COVID-19 toward the end of the period.

Globally, energy prices generally rose in 2021 amid surging demand and supply chain bottlenecks and have since spiked higher amid the conflict in Ukraine. Russia’s military invasion and the financial and trade sanctions imposed on Russia by an alliance of developed and emerging market nations have fed investor uncertainty and weighed on global financial markets.

In the months ahead, economists generally expect that the U.S. economy is likely to maintain its growth momentum given expectations that the pandemic will recede and consumers will continue to spend amid a boom in household wealth. Meanwhile, the U.S. Federal Reserve, which responded to tight labor markets, rising wages and accelerating inflation by raising interest rates in mid-March for the first time since December 2018, has signaled its intent to raise rates six more times in 2022. The timing and magnitude of further interest rate increases and the duration and scope of the conflict in Ukraine are likely to remain key factors in the performance of the global economy and financial markets in the year ahead.

Regardless of the path of the economy, we believe investors may benefit most from a diversified portfolio and a long-term approach. Meanwhile, J.P. Morgan Asset Management will seek to deliver superior client outcomes across a broad range of innovative solutions and risk management processes built on the same fundamental practices and principles that have driven our success for more than a century.

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

Bond markets underperformed equity markets throughout the period amid low interest rates and accelerating inflationary pressure as the global economy rebounded from 2020. While leading central banks in developed markets largely maintained monetary stimulus programs and historically low interest rates, soaring inflation led select emerging market nations to raise interest rates. Simultaneously, a year-long rally in global equity markets largely drew investors away from in low-yielding fixed income assets.

In the first half of the period, high yield bonds (also called “junk bonds”) and emerging markets debt outperformed investment grade corporate bonds as well as U.S. Treasury bonds and other developed market sovereign debt. However, equity markets largely outperformed all bond markets by a wide margin during the first half of the period.

As the global economic rebound accelerated during 2021, pent up demand and the effects of the pandemic led to bottlenecks in global supply chains and fueled rising inflationary pressure. While U.S. Federal Reserve stated that rising inflation was likely a temporary consequence of the global economic rebound, it said at its July meeting that it could begin tapering off its $120 billion combined monthly asset purchasing programs by the end of 2021. As inflation and job growth surged in the second half of the year the Fed began to reduce monthly asset purchases and signaled in November that it was prepared to raise rates in the months ahead.

The final two months of the period were marked by a further building in inflationary pressure and Russia’s military buildup and subsequent invasion of Ukraine at the end of February 2022. The invasion — and swift imposition of financial and trade sanctions on Russia — led to a spike in global prices for petroleum, natural gas and a range of other commodities. Financial market volatility rose sharply amid investor uncertainty about the duration and scope of fighting in Ukraine.

For the twelve month period ended February 28, 2022, the Bloomberg U.S. Aggregate Index returned -2.64%.

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, 2022, the Fund outperformed the Bloomberg U.S. Aggregate Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s shorter duration was a leading contributor to performance as interest rates rose during the period. Generally, bonds with shorter duration will experience a smaller decrease in price compared with longer duration bonds when interest rates rise. The Fund allocation to agency mortgage-backed securities and securitized credit, including non-agency mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities also helped relative performance.

The Fund’s underweight allocation to U.S. Treasury securities and its underweight position in the 30-year portion of the yield curve in the first half of the period were leading detractors from 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’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 and agency mortgages.


PORTFOLIO COMPOSITION AS OF FEBRUARY 28, 2022	PERCENT OF TOTAL INVESTMENTS
U.S. Treasury Obligations		26.6	%
Corporate Bonds		26.4
Mortgage-Backed Securities		15.8
Collateralized Mortgage Obligations		11.0
Asset-Backed Securities		10.7
Commercial Mortgage-Backed Securities		3.8
Others (each less than 1.0%)		1.9
Short-Term Investments		3.8

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.

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 U.S. Aggregate Index from February 29, 2012 to February 28, 2022. 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 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 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, 2022, the Fund outperformed the Bloomberg Intermediate U.S. Government/Credit Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s shorter duration was a leading contributor to performance as interest rates rose during the period. Generally, bonds of shorter duration will experience a smaller decrease in prices compared with longer duration bonds when interest rates rise. The Fund’s out-of-Benchmark allocation to non-agency mortgage-backed securities and asset-backed securities also contributed to relative performance.

The Fund’s underweight allocation to U.S. Treasury securities and its out-of-Benchmark allocations to agency mortgage-backed securities were leading detractors from relative performance.

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 AS OF FEBRUARY 28, 2022	PERCENT OF TOTAL INVESTMENTS
Corporate Bonds		29.2	%
U.S. Treasury Obligations		25.2
Collateralized Mortgage Obligations		16.1
Mortgage-Backed Securities		9.9
Asset-Backed Securities		9.6
Commercial Mortgage-Backed Securities		8.1
Others (each less than 1.0%)		0.3
Short-Term Investments		1.6

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

The graph illustrates comparative performance for $5,000,000 invested in the JPMorgan Intermediate Bond Trust and the Bloomberg Intermediate U.S. Government/Credit Index from February 29, 2012 to February 28, 2022. 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 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 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)
U.S. Treasury Obligations — 27.3%

U.S. Treasury Bonds

4.38%, 2/15/2038		447		593

3.50%, 2/15/2039		961		1,156

4.25%, 5/15/2039		3,300		4,338

1.13%, 5/15/2040		11,555		9,610

4.38%, 5/15/2040		11,000		14,701

3.88%, 8/15/2040		21,115		26,516

1.88%, 2/15/2041		7,095		6,670

2.25%, 5/15/2041		18,355		18,297

1.75%, 8/15/2041		980		898

2.00%, 11/15/2041		1,160		1,111

2.38%, 2/15/2042		6,300		6,433

2.75%, 11/15/2042		3,800		4,089

3.63%, 8/15/2043		5,214		6,393

3.75%, 11/15/2043		238		297

3.00%, 11/15/2044		8,200		9,202

2.88%, 8/15/2045		2,795		3,083

2.25%, 8/15/2046		13,193		13,055

3.00%, 2/15/2047		548		622

3.13%, 5/15/2048		3,757		4,428

2.25%, 8/15/2049		8,965		9,040

2.38%, 11/15/2049		3,700		3,836

2.00%, 2/15/2050		5,329		5,103

1.25%, 5/15/2050		6,152		4,908

1.38%, 8/15/2050		565		465

1.63%, 11/15/2050		8,800		7,710

1.88%, 2/15/2051		19,731		18,369

2.00%, 8/15/2051		16,100		15,443

1.88%, 11/15/2051		7,225		6,741

2.25%, 2/15/2052		6,650		6,775

U.S. Treasury Inflation Indexed Bonds

1.75%, 1/15/2028		300		469

3.63%, 4/15/2028		799		1,793

2.50%, 1/15/2029		300		488

U.S. Treasury Notes

1.75%, 7/15/2022		5,000		5,022

1.63%, 8/31/2022		3,000		3,014

2.00%, 10/31/2022		1,650		1,663

1.50%, 2/28/2023		3,000		3,011

1.75%, 5/15/2023		2,221		2,235

2.13%, 3/31/2024		30,000		30,384

2.50%, 5/15/2024		8,840		9,025

1.88%, 8/31/2024		569		573

2.25%, 11/15/2024		400		407

1.75%, 12/31/2024		14,070		14,121


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


2.88%, 4/30/2025		21,212		21,997

2.13%, 5/15/2025		355		360

0.38%, 12/31/2025		10,000		9,503

0.38%, 1/31/2026		1,840		1,745

0.50%, 2/28/2026		7,870		7,495

2.50%, 2/28/2026		560		576

0.75%, 4/30/2026		1,130		1,085

0.88%, 6/30/2026		3,195		3,079

0.88%, 9/30/2026		21,887		21,042

1.75%, 12/31/2026		9,369		9,369

0.38%, 9/30/2027		4,690		4,340

0.75%, 1/31/2028		4,500		4,234

1.25%, 3/31/2028		9,800		9,487

1.25%, 4/30/2028		17,110		16,555

1.25%, 6/30/2028		26,962		26,043

1.00%, 7/31/2028		9,500		9,027

1.75%, 1/31/2029		3,850		3,830

1.63%, 8/15/2029		130		128

1.50%, 2/15/2030		895		874

0.63%, 8/15/2030		2,345		2,125

U.S. Treasury STRIPS Bonds

2.72%, 5/15/2022 (a)		9,795		9,789

3.31%, 8/15/2022 (a)		1,905		1,900

2.28%, 11/15/2022 (a)		18,375		18,274

3.82%, 2/15/2023 (a)		38,462		38,072

3.32%, 5/15/2023 (a)		14,070		13,875

2.50%, 8/15/2023 (a)		13,900		13,647

2.81%, 11/15/2023 (a)		1,052		1,028

1.92%, 2/15/2024 (a)		11,355		11,037

1.76%, 8/15/2024 (a)		20,600		19,826

7.84%, 5/15/2026 (a)		1,500		1,396

3.84%, 8/15/2026 (a)		1,592		1,475

2.49%, 11/15/2041 (a)		500		309


Total U.S. Treasury Obligations (Cost $576,941)				565,609

Corporate Bonds — 27.1%

Aerospace & Defense — 0.9%

Airbus SE (France) 3.95%, 4/10/2047 (b)		150		160

BAE Systems plc (United Kingdom)

1.90%, 2/15/2031 (b)		1,007		909

3.00%, 9/15/2050 (b)		502		442

Boeing Co. (The)

1.17%, 2/4/2023		1,115		1,110

1.95%, 2/1/2024		1,030		1,026

1.43%, 2/4/2024		2,265		2,229


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

Aerospace & Defense — continued

4.88%, 5/1/2025		605		643

2.75%, 2/1/2026		995		996

2.20%, 2/4/2026		1,385		1,351

3.10%, 5/1/2026		320		323

5.04%, 5/1/2027		960		1,043

3.25%, 3/1/2028		840		839

5.15%, 5/1/2030		940		1,038

5.71%, 5/1/2040		745		868

L3Harris Technologies, Inc. 1.80%, 1/15/2031		840		757

Leidos, Inc. 2.30%, 2/15/2031		465		419

Northrop Grumman Corp. 3.25%, 1/15/2028		200		204

Raytheon Technologies Corp.

3.20%, 3/15/2024		350		358

4.50%, 6/1/2042		2,799		3,130

4.15%, 5/15/2045		543		573

4.35%, 4/15/2047		199		219


				18,637


Airlines — 0.0% (c)

Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024		127		130


Auto Components — 0.0% (c)

Lear Corp. 2.60%, 1/15/2032		445		412


Automobiles — 0.5%

General Motors Co. 6.13%, 10/1/2025		515		570

Hyundai Capital America

1.15%, 11/10/2022 (b)		1,500		1,495

1.80%, 10/15/2025 (b)		490		473

1.30%, 1/8/2026 (b)		425		401

1.50%, 6/15/2026 (b)		775		730

3.00%, 2/10/2027 (b)		355		354

2.38%, 10/15/2027 (b)		530		510

1.80%, 1/10/2028 (b)		805		745

Nissan Motor Co. Ltd. (Japan)

4.35%, 9/17/2027 (b)		2,393		2,464

4.81%, 9/17/2030 (b)		1,102		1,155

Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b)		785		727

Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b)		705		664


				10,288


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


Banks — 4.7%

ABN AMRO Bank NV (Netherlands) 4.75%, 7/28/2025 (b)		1,216		1,279

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (d)		800		765

AIB Group plc (Ireland) 4.75%, 10/12/2023 (b)		1,165		1,207

ANZ New Zealand Int’l Ltd. (New Zealand) 2.55%, 2/13/2030 (b)		778		766

Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b)		263		278

Banco Nacional de Panama (Panama) 2.50%, 8/11/2030 (b)		1,250		1,098

Banco Santander SA (Spain)

3.13%, 2/23/2023		400		403

2.75%, 5/28/2025		800		801

1.85%, 3/25/2026		1,000		960

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (d)		400		378

2.75%, 12/3/2030		600		547

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.22%, 11/22/2032 (d)		1,000		927

Bank of America Corp.

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (d)		547		556

(ICE LIBOR USD 3 Month + 1.09%), 3.09%, 10/1/2025 (d)		526		533

Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (d)		590		565

(SOFR + 0.96%), 1.73%, 7/22/2027 (d)		545		520

(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (d)		1,700		1,761

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (d)		6,211		6,349

(SOFR + 2.15%), 2.59%, 4/29/2031 (d)		1,510		1,443

(SOFR + 1.21%), 2.57%, 10/20/2032 (d)		1,120		1,060

(SOFR + 1.33%), 2.97%, 2/4/2033 (d)		435		426

(SOFR + 1.93%), 2.68%, 6/19/2041 (d)		3,685		3,236

Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (d)		755		710

Bank of Montreal (Canada) 1.85%, 5/1/2025		950		939


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

Banks — continued

Banque Federative du Credit Mutuel SA (France)

3.75%, 7/20/2023 (b)		540		554

2.38%, 11/21/2024 (b)		813		813

Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (d)		1,452		1,415

3.65%, 3/16/2025		1,000		1,025

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 11/24/2032 (d)		585		554

BNP Paribas SA (France) 3.38%, 1/9/2025 (b)		425		433

(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (d)		407		399

(SOFR + 1.00%), 1.32%, 1/13/2027 (b) (d)		323		304

(SOFR + 1.22%), 2.16%, 9/15/2029 (b) (d)		1,446		1,339

(SOFR + 1.51%), 3.05%, 1/13/2031 (b) (d)		1,065		1,036

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 2.59%, 8/12/2035 (b) (d)		1,200		1,083

BNZ International Funding Ltd. (New Zealand) 2.65%, 11/3/2022 (b)		632		638

Citigroup, Inc.

4.40%, 6/10/2025		865		908

4.30%, 11/20/2026		1,200		1,276

6.63%, 1/15/2028		250		299

(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (d)		1,573		1,628

(SOFR + 1.17%), 2.56%, 5/1/2032 (d)		2,145		2,035

(SOFR + 1.18%), 2.52%, 11/3/2032 (d)		885		833

(SOFR + 1.35%), 3.06%, 1/25/2033 (d)		719		709

8.13%, 7/15/2039		223		349

Citizens Bank NA 3.70%, 3/29/2023		720		734

Commonwealth Bank of Australia (Australia) 3.31%, 3/11/2041 (b)		525		484

Cooperatieve Rabobank UA (Netherlands)

4.38%, 8/4/2025		783		820

3.75%, 7/21/2026		945		974

Credit Agricole SA (France) 4.38%, 3/17/2025 (b)		1,250		1,293

(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (d)		500		487

(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (d)		1,500		1,410


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


Banks — continued

2.81%, 1/11/2041 (b)		470		404

Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.03%), 1.17%, 12/8/2023 (b) (d)		2,110		2,095

Discover Bank

3.35%, 2/6/2023		343		348

4.25%, 3/13/2026		1,205		1,276

HSBC Holdings plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.99%),

3.95%, 5/18/2024 (d)		1,054		1,077

4.25%, 8/18/2025		939		976

3.90%, 5/25/2026		200		208

(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (d)		904		937

(SOFR + 1.73%), 2.01%, 9/22/2028 (d)		1,215		1,141

(SOFR + 1.29%), 2.21%, 8/17/2029 (d)		815		760

(SOFR + 1.95%), 2.36%, 8/18/2031 (d)		1,160		1,065

6.10%, 1/14/2042		700		920

ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (d)		705		674

KeyBank NA 3.18%, 5/22/2022		729		733

Lloyds Banking Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 0.81%),

2.91%, 11/7/2023 (d)		612		616

4.58%, 12/10/2025		400		420

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.63%, 5/11/2027 (d)		980		931

4.38%, 3/22/2028		475		506

Mitsubishi UFJ Financial Group, Inc. (Japan) 3.75%, 7/18/2039		760		797

Mizuho Financial Group, Inc. (Japan)

(ICE LIBOR USD 3 Month + 0.83%), 2.23%, 5/25/2026 (d)		875		864

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.67%), 1.23%, 5/22/2027 (d)		1,057		990

(SOFR + 1.57%), 2.87%, 9/13/2030 (d)		720		706

National Australia Bank Ltd. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.88%), 3.93%, 8/2/2034 (b) (d)		1,025		1,038

NatWest Group plc (United Kingdom)

(ICE LIBOR USD 3 Month + 1.76%),

4.27%, 3/22/2025 (d)		480		496

4.80%, 4/5/2026		2,010		2,156

(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (d)		290		316


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

Banks — continued

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.10%), 3.75%, 11/1/2029 (d)		900		910

(ICE LIBOR USD 3 Month + 1.87%), 4.44%, 5/8/2030 (d)		640		683

NatWest Markets plc (United Kingdom) 1.60%, 9/29/2026 (b)		435		413

Nordea Bank Abp (Finland)

4.25%, 9/21/2022 (b)		945		960

1.50%, 9/30/2026 (b)		556		529

Royal Bank of Canada (Canada) 4.65%, 1/27/2026		337		363

Santander UK Group Holdings plc (United Kingdom) (SOFR + 0.99%), 1.67%, 6/14/2027 (d)		930		879

Societe Generale SA (France)

5.00%, 1/17/2024 (b)		370		383

4.25%, 8/19/2026 (b)		1,742		1,785

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (b) (d)		2,205		2,061

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (d)		395		369

3.00%, 1/22/2030 (b)		235		226

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.89%, 6/9/2032 (b) (d)		915		850

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.90%), 4.03%, 1/21/2043 (b) (d)		755		687

Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (b)		700		729

(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (b) (d)		400		407

(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (b) (d)		570		567

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.46%, 1/14/2027 (b) (d)		485		455

(USD ICE Swap Rate 5 Year + 1.97%), 4.87%, 3/15/2033 (b) (d)		200		206

Sumitomo Mitsui Financial Group, Inc. (Japan)

4.44%, 4/2/2024 (b)		500		520

1.47%, 7/8/2025		542		523

2.63%, 7/14/2026		872		874

3.04%, 7/16/2029		1,315		1,311


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


Banks — continued

Truist Financial Corp. 4.00%, 5/1/2025		265		278

UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 2.57%, 9/22/2026 (b) (d)		905		866

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (d)		665		620

(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (d)		200		202

(USD ICE Swap Rate 5 Year + 4.91%), 7.30%, 4/2/2034 (b) (d)		300		326

US Bancorp 7.50%, 6/1/2026		1,277		1,528

Wells Fargo & Co.

4.48%, 1/16/2024		702		734

(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (d)		1,827		1,855

4.65%, 11/4/2044		1,180		1,296

4.40%, 6/14/2046		300		321

Westpac Banking Corp. (Australia) 3.13%, 11/18/2041		882		792


				99,297


Beverages — 0.4%

Anheuser-Busch Cos. LLC (Belgium) 4.70%, 2/1/2036		2,583		2,880

Anheuser-Busch InBev Finance, Inc. (Belgium) 4.63%, 2/1/2044		70		76

Anheuser-Busch InBev Worldwide, Inc. (Belgium)

4.44%, 10/6/2048		780		834

4.60%, 6/1/2060		375		410

Coca-Cola Femsa SAB de CV (Mexico)

2.75%, 1/22/2030		790		759

1.85%, 9/1/2032		675		588

Constellation Brands, Inc.

4.40%, 11/15/2025		325		345

5.25%, 11/15/2048		220		256

Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022		255		264

Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050		1,060		984

Keurig Dr Pepper, Inc.

4.42%, 5/25/2025		149		158

3.43%, 6/15/2027		250		259

4.99%, 5/25/2038		215		244


				8,057


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

Biotechnology — 0.5%

AbbVie, Inc.

2.80%, 3/15/2023		525		527

3.85%, 6/15/2024		443		458

3.20%, 11/21/2029		1,832		1,855

4.05%, 11/21/2039		1,809		1,899

4.63%, 10/1/2042		480		531

4.40%, 11/6/2042		790		852

4.45%, 5/14/2046		190		205

Amgen, Inc. 3.00%, 1/15/2052		845		724

Baxalta, Inc.

3.60%, 6/23/2022		149		150

5.25%, 6/23/2045		50		59

Biogen, Inc. 2.25%, 5/1/2030		1,150		1,051

Gilead Sciences, Inc. 2.60%, 10/1/2040		1,225		1,058

Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030		1,270		1,134


				10,503


Building Products — 0.1%

Masco Corp.

2.00%, 10/1/2030		340		310

6.50%, 8/15/2032		600		753


				1,063


Capital Markets — 2.1%

Bank of New York Mellon Corp. (The) 2.80%, 5/4/2026		254		260

Blackstone Holdings Finance Co. LLC 4.45%, 7/15/2045 (b)		429		463

Blackstone Secured Lending Fund 3.65%, 7/14/2023		795		807

Brookfield Finance, Inc. (Canada)

3.90%, 1/25/2028		337		354

4.85%, 3/29/2029		411		451

4.70%, 9/20/2047		88		96

Credit Suisse AG (Switzerland) 3.63%, 9/9/2024		402		415

Credit Suisse Group AG (Switzerland)

3.80%, 6/9/2023		800		818

(SOFR + 1.56%), 2.59%, 9/11/2025 (b) (d)		250		249

(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (d)		490		476

(SOFR + 0.98%), 1.31%, 2/2/2027 (b) (d)		1,360		1,260

4.28%, 1/9/2028 (b)		1,162		1,208

(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (d)		840		797


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


Capital Markets — continued

Deutsche Bank AG (Germany)

3.30%, 11/16/2022		1,000		1,011

(SOFR + 2.16%), 2.22%, 9/18/2024 (d)		1,225		1,222

(SOFR + 1.87%), 2.13%, 11/24/2026 (d)		780		751

(SOFR + 1.32%), 2.55%, 1/7/2028 (d)		1,300		1,248

FMR LLC 6.45%, 11/15/2039 (b)		500		670

Goldman Sachs Group, Inc. (The)

4.25%, 10/21/2025		1,415		1,486

3.50%, 11/16/2026		469		480

(SOFR + 0.80%), 1.43%, 3/9/2027 (d)		2,900		2,740

(SOFR + 0.91%), 1.95%, 10/21/2027 (d)		780		747

(SOFR + 1.11%), 2.64%, 2/24/2028 (d)		1,260		1,242

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (d)		3,776		3,909

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (d)		505		535

(SOFR + 1.09%), 1.99%, 1/27/2032 (d)		880		793

(SOFR + 1.28%), 2.62%, 4/22/2032 (d)		1,000		945

(SOFR + 1.25%), 2.38%, 7/21/2032 (d)		1,055		978

6.75%, 10/1/2037		685		900

Jefferies Group LLC 6.45%, 6/8/2027		749		879

Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b)		1,000		1,051

(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.70%), 3.05%, 3/3/2036 (b) (d)		575		536

Macquarie Group Ltd. (Australia) (SOFR + 1.07%), 1.34%, 1/12/2027 (b) (d)		510		482

(ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (d)		700		776

Morgan Stanley

(SOFR + 1.99%), 2.19%, 4/28/2026 (d)		985		972

3.63%, 1/20/2027		2,470		2,573

(SOFR + 1.00%), 2.48%, 1/21/2028 (d)		960		944

(SOFR + 1.03%), 1.79%, 2/13/2032 (d)		440		393

(ICE LIBOR USD 3 Month + 1.43%), 4.46%, 4/22/2039 (d)		1,265		1,374

4.30%, 1/27/2045		485		527

Nomura Holdings, Inc. (Japan)

2.65%, 1/16/2025		1,094		1,097

2.68%, 7/16/2030		700		664

UBS Group AG (Switzerland) 3.49%, 5/23/2023 (b)		269		270

(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 8/15/2023 (b) (d)		200		201

4.13%, 9/24/2025 (b)		300		314


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

Capital Markets — continued

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (b) (d)		255		241

(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (d)		965		954

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (d)		1,480		1,347

(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (d)		360		343


				43,249


Chemicals — 0.2%

Albemarle Corp. 5.45%, 12/1/2044		150		180

DuPont de Nemours, Inc. 5.32%, 11/15/2038		980		1,165

International Flavors & Fragrances, Inc. 5.00%, 9/26/2048		365		417

Nutrien Ltd. (Canada)

4.20%, 4/1/2029		175		189

4.13%, 3/15/2035		455		491

5.00%, 4/1/2049		230		278

Union Carbide Corp. 7.75%, 10/1/2096		850		1,309


				4,029


Commercial Services & Supplies — 0.1%

Ford Foundation (The) Series 2020, 2.82%, 6/1/2070		365		339

Republic Services, Inc. 1.45%, 2/15/2031		910		806


				1,145


Construction & Engineering — 0.1%

Quanta Services, Inc.

2.90%, 10/1/2030		1,440		1,381

2.35%, 1/15/2032		1,095		994


				2,375


Construction Materials — 0.1%

CRH America, Inc. (Ireland)

3.88%, 5/18/2025 (b)		417		434

5.13%, 5/18/2045 (b)		893		1,076

Martin Marietta Materials, Inc. 3.45%, 6/1/2027		770		802


				2,312


Consumer Finance — 1.3%

AerCap Ireland Capital DAC (Ireland)

4.50%, 9/15/2023		2,420		2,493


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


Consumer Finance — continued

2.88%, 8/14/2024		600		600

6.50%, 7/15/2025		246		271

1.75%, 1/30/2026		860		815

2.45%, 10/29/2026		560		540

3.00%, 10/29/2028		690		665

3.30%, 1/30/2032		655		622

Avolon Holdings Funding Ltd. (Ireland)

3.63%, 5/1/2022 (b)		2,000		2,004

2.88%, 2/15/2025 (b)		450		446

5.50%, 1/15/2026 (b)		1,000		1,065

2.13%, 2/21/2026 (b)		620		599

4.25%, 4/15/2026 (b)		1,200		1,233

4.38%, 5/1/2026 (b)		820		844

2.53%, 11/18/2027 (b)		7,294		6,830

Capital One Financial Corp.

3.20%, 2/5/2025		1,069		1,091

4.20%, 10/29/2025		250		262

(SOFR + 1.27%), 2.62%, 11/2/2032 (d)		920		859

General Motors Financial Co., Inc.

1.20%, 10/15/2024		470		457

1.25%, 1/8/2026		1,781		1,681

4.35%, 1/17/2027		430		452

2.35%, 1/8/2031		520		470

2.70%, 6/10/2031		910		842

Park Aerospace Holdings Ltd. (Ireland)

4.50%, 3/15/2023 (b)		1,005		1,026

5.50%, 2/15/2024 (b)		1,626		1,702


				27,869


Containers & Packaging — 0.1%

Graphic Packaging International LLC 1.51%, 4/15/2026 (b)		1,246		1,193

Packaging Corp. of America 4.05%, 12/15/2049		845		881

WRKCo, Inc.

3.75%, 3/15/2025		400		416

3.90%, 6/1/2028		170		177


				2,667


Diversified Consumer Services — 0.1%

Pepperdine University Series 2020, 3.30%, 12/1/2059		600		589

University of Southern California Series A, 3.23%, 10/1/2120		570		533


				1,122


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

Diversified Financial Services — 0.4%

CK Hutchison International 19 Ltd. (United Kingdom) 3.63%, 4/11/2029 (b)		1,215		1,280

GTP Acquisition Partners I LLC 3.48%, 6/16/2025 (b)		1,436		1,467

Hutchison Whampoa International 12 II Ltd. (United Kingdom) 3.25%, 11/8/2022 (b)		539		545

Mitsubishi HC Capital, Inc. (Japan) 2.65%, 9/19/2022 (b)		606		608

ORIX Corp. (Japan) 2.90%, 7/18/2022		553		557

Shell International Finance BV (Netherlands) 2.38%, 11/7/2029		2,280		2,222

Siemens Financieringsmaatschappij NV (Germany) 4.40%, 5/27/2045 (b)		513		591


				7,270


Diversified Telecommunication Services — 0.7%

AT&T, Inc.

2.30%, 6/1/2027		2,340		2,308

1.65%, 2/1/2028		250		236

3.50%, 6/1/2041		646		614

3.55%, 9/15/2055		2,984		2,706

Deutsche Telekom AG (Germany) 3.63%, 1/21/2050 (b)		335		313

Deutsche Telekom International Finance BV (Germany) 4.88%, 3/6/2042 (b)		232		262

Verizon Communications, Inc.

2.10%, 3/22/2028		795		768

4.33%, 9/21/2028		962		1,048

2.36%, 3/15/2032 (b)		787		735

4.27%, 1/15/2036		1,445		1,574

2.65%, 11/20/2040		988		857

3.40%, 3/22/2041		1,060		1,021

2.99%, 10/30/2056		545		465

3.70%, 3/22/2061		1,045		996


				13,903


Electric Utilities — 2.1%

Alabama Power Co. 6.13%, 5/15/2038		239		310

Arizona Public Service Co. 5.05%, 9/1/2041		200		223

Baltimore Gas and Electric Co.

3.50%, 8/15/2046		376		373

2.90%, 6/15/2050		450		406

China Southern Power Grid International Finance BVI Co. Ltd. (China) 3.50%, 5/8/2027 (b)		1,234		1,290

Duke Energy Carolinas LLC 4.25%, 12/15/2041		129		139


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


Electric Utilities — continued

Duke Energy Corp. 3.75%, 9/1/2046		985		941

Duke Energy Progress LLC

4.10%, 5/15/2042		273		286

4.10%, 3/15/2043		125		131

2.90%, 8/15/2051		820		737

Duquesne Light Holdings, Inc. 3.62%, 8/1/2027 (b)		750		766

Edison International 3.55%, 11/15/2024		1,591		1,623

Emera US Finance LP (Canada) 4.75%, 6/15/2046		700		739

Entergy Arkansas LLC

3.50%, 4/1/2026		175		182

2.65%, 6/15/2051		415		345

Entergy Corp. 2.95%, 9/1/2026		336		340

Entergy Louisiana LLC

3.05%, 6/1/2031		629		629

2.90%, 3/15/2051		490		434

Evergy Metro, Inc. 5.30%, 10/1/2041		1,400		1,682

Evergy, Inc. 2.90%, 9/15/2029		985		977

Fells Point Funding Trust 3.05%, 1/31/2027 (b)		2,405		2,383

FirstEnergy Transmission LLC 4.55%, 4/1/2049 (b)		240		247

Fortis, Inc. (Canada) 3.06%, 10/4/2026		500		506

Hydro-Quebec (Canada) Series IO, 8.05%, 7/7/2024		350		400

ITC Holdings Corp.

2.70%, 11/15/2022		900		908

2.95%, 5/14/2030 (b)		440		433

Jersey Central Power & Light Co. 4.30%, 1/15/2026 (b)		560		589

John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042		705		810

Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (b)		315		334

Nevada Power Co.

Series N, 6.65%, 4/1/2036		100		134

5.45%, 5/15/2041		305		367

Niagara Mohawk Power Corp.

3.51%, 10/1/2024 (b)		493		505

1.96%, 6/27/2030 (b)		1,000		929

NRG Energy, Inc.

2.00%, 12/2/2025 (b)		710		688

2.45%, 12/2/2027 (b)		795		756

4.45%, 6/15/2029 (b)		615		642


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

Electric Utilities — continued

OGE Energy Corp. 0.70%, 5/26/2023		560		551

Oklahoma Gas and Electric Co. 0.55%, 5/26/2023		675		665

Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029		110		129

Pacific Gas and Electric Co.

1.75%, 6/16/2022		4,500		4,495

1.37%, 3/10/2023		2,135		2,112

1.70%, 11/15/2023		690		678

3.25%, 2/16/2024		2,060		2,074

3.45%, 7/1/2025		795		803

2.95%, 3/1/2026		500		494

4.20%, 6/1/2041		695		630

3.75%, 8/15/2042 (e)		308		263

4.30%, 3/15/2045		525		472

PECO Energy Co. 2.80%, 6/15/2050		410		364

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

Pepco Holdings LLC 7.45%, 8/15/2032		316		410

Potomac Electric Power Co. 6.50%, 11/15/2037		1,085		1,474

Progress Energy, Inc. 7.00%, 10/30/2031		300		385

Public Service Co. of Colorado 3.55%, 6/15/2046		214		208

Public Service Co. of Oklahoma Series G, 6.63%, 11/15/2037		2,490		3,238

Public Service Electric and Gas Co. 5.38%, 11/1/2039		317		389

Southern California Edison Co.

Series B, 3.65%, 3/1/2028		400		415

Series 08-A, 5.95%, 2/1/2038		200		239

4.05%, 3/15/2042		552		539

Southwestern Public Service Co. 4.50%, 8/15/2041		200		222

Toledo Edison Co. (The) 6.15%, 5/15/2037		300		383


				44,966


Electrical Equipment — 0.0% (c)

Eaton Corp.

7.63%, 4/1/2024		300		330

4.00%, 11/2/2032		170		186


				516


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.50%, 3/1/2023		190		194


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


Electronic Equipment, Instruments & Components — continued

3.25%, 9/8/2024		219		223

3.88%, 1/12/2028		442		460

Corning, Inc. 3.90%, 11/15/2049		1,043		1,051


				1,928


Energy Equipment & Services — 0.1%

Baker Hughes Holdings LLC 5.13%, 9/15/2040		300		340

Halliburton Co. 4.75%, 8/1/2043		540		569

Schlumberger Holdings Corp.

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

3.90%, 5/17/2028 (b)		1,126		1,171


				2,094


Entertainment — 0.1%

Activision Blizzard, Inc. 1.35%, 9/15/2030		842		750

Walt Disney Co. (The)

8.88%, 4/26/2023		430		465

6.20%, 12/15/2034		100		129


				1,344


Equity Real Estate Investment Trusts (REITs) — 1.9%

Alexandria Real Estate Equities, Inc.

3.80%, 4/15/2026		135		142

2.00%, 5/18/2032		980		886

4.00%, 2/1/2050		653		673

American Campus Communities Operating Partnership LP 3.63%, 11/15/2027		500		518

American Tower Corp.

5.00%, 2/15/2024		974		1,025

3.38%, 10/15/2026		312		320

1.50%, 1/31/2028		1,215		1,110

2.10%, 6/15/2030		630		570

1.88%, 10/15/2030		1,090		965

3.70%, 10/15/2049		935		865

3.10%, 6/15/2050		496		416

2.95%, 1/15/2051		324		266

Boston Properties LP

3.20%, 1/15/2025		532		544

3.65%, 2/1/2026		483		500

Brixmor Operating Partnership LP

3.85%, 2/1/2025		400		415

2.25%, 4/1/2028		840		800

2.50%, 8/16/2031		425		393

Corporate Office Properties LP 2.00%, 1/15/2029		335		310


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

Equity Real Estate Investment Trusts (REITs) — continued

Crown Castle International Corp.

4.00%, 3/1/2027		264		275

2.25%, 1/15/2031		1,235		1,113

Digital Realty Trust LP 3.70%, 8/15/2027		252		264

Duke Realty LP

3.25%, 6/30/2026		239		246

2.88%, 11/15/2029		380		378

Equinix, Inc. 2.90%, 11/18/2026		1,130		1,140

Essex Portfolio LP 2.65%, 3/15/2032		2,000		1,913

Healthcare Trust of America Holdings LP

3.10%, 2/15/2030		1,604		1,589

2.00%, 3/15/2031		610		553

Healthpeak Properties, Inc.

3.40%, 2/1/2025		17		18

3.50%, 7/15/2029		772		799

Life Storage LP

4.00%, 6/15/2029		859		913

2.40%, 10/15/2031		485		451

Mid-America Apartments LP 3.95%, 3/15/2029		920		985

National Retail Properties, Inc.

4.00%, 11/15/2025		783		828

4.30%, 10/15/2028		620		665

Office Properties Income Trust

4.00%, 7/15/2022		784		790

2.40%, 2/1/2027		980		908

3.45%, 10/15/2031		490		448

Physicians Realty LP 2.63%, 11/1/2031		505		474

Prologis LP 3.00%, 4/15/2050		905		835

Public Storage

1.95%, 11/9/2028		615		588

2.25%, 11/9/2031		516		493

Realty Income Corp. 1.80%, 3/15/2033		530		463

Regency Centers LP 2.95%, 9/15/2029		745		738

Sabra Health Care LP 3.20%, 12/1/2031		825		767

Safehold Operating Partnership LP 2.80%, 6/15/2031		2,940		2,746

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)		420		432

Scentre Group Trust 2 (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.38%), 4.75%, 9/24/2080 (b) (d)		1,320		1,317

SITE Centers Corp. 4.70%, 6/1/2027		330		354

UDR, Inc.

2.95%, 9/1/2026		382		388


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


Equity Real Estate Investment Trusts (REITs) — continued

3.00%, 8/15/2031		305		300

2.10%, 8/1/2032		640		576

Ventas Realty LP

3.50%, 2/1/2025		242		249

4.13%, 1/15/2026		114		121

3.25%, 10/15/2026		292		299

3.85%, 4/1/2027		554		583

Welltower, Inc.

2.70%, 2/15/2027		414		418

6.50%, 3/15/2041		350		471

WP Carey, Inc.

4.25%, 10/1/2026		350		373

2.25%, 4/1/2033		1,180		1,057


				39,036


Food & Staples Retailing — 0.3%

7-Eleven, Inc.

1.30%, 2/10/2028 (b)		565		515

2.50%, 2/10/2041 (b)		574		480

Alimentation Couche-Tard, Inc. (Canada)

3.44%, 5/13/2041 (b)		1,275		1,191

3.63%, 5/13/2051 (b)		1,420		1,322

CVS Pass-Through Trust 5.93%, 1/10/2034 (b)		772		894

Series 2013, 4.70%, 1/10/2036 (b)		596		652

Kroger Co. (The) 5.00%, 4/15/2042		1,100		1,282


				6,336


Food Products — 0.2%

Bunge Ltd. Finance Corp. 2.75%, 5/14/2031		1,565		1,490

Campbell Soup Co. 3.13%, 4/24/2050		315		273

Conagra Brands, Inc. 5.30%, 11/1/2038		220		252

Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025		153		161

Smithfield Foods, Inc. 3.00%, 10/15/2030 (b)		1,500		1,422

Tyson Foods, Inc.

4.88%, 8/15/2034		300		339

5.15%, 8/15/2044		210		249


				4,186


Gas Utilities — 0.1%

Atmos Energy Corp.

0.63%, 3/9/2023		430		425

4.15%, 1/15/2043		828		875

4.13%, 10/15/2044		125		130

Boston Gas Co. 4.49%, 2/15/2042 (b)		308		323


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

Gas Utilities — continued

Brooklyn Union Gas Co. (The) 4.27%, 3/15/2048 (b)		440		442

Southern Natural Gas Co. LLC

8.00%, 3/1/2032		351		465

4.80%, 3/15/2047 (b)		367		399


				3,059


Health Care Equipment & Supplies — 0.2%

Abbott Laboratories 4.75%, 11/30/2036		380		450

Becton Dickinson and Co. 4.67%, 6/6/2047		365		409

Boston Scientific Corp. 4.00%, 3/1/2029		535		568

DH Europe Finance II SARL 3.25%, 11/15/2039		1,000		976

Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031		1,137		1,073


				3,476


Health Care Providers & Services — 0.9%

Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030		710		681

Aetna, Inc. 6.75%, 12/15/2037		440		595

Anthem, Inc.

4.63%, 5/15/2042		500		558

4.65%, 1/15/2043		535		600

4.65%, 8/15/2044		100		112

Ascension Health Series B, 2.53%, 11/15/2029		430		428

Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050		800		754

Children’s Hospital Series 2020, 2.93%, 7/15/2050		650		567

Children’s Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050		580		495

Cigna Corp. 4.50%, 2/25/2026		300		321

CommonSpirit Health

1.55%, 10/1/2025		555		536

2.78%, 10/1/2030		550		537

3.91%, 10/1/2050		545		551

CVS Health Corp. 4.30%, 3/25/2028		171		185

Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041		1,430		1,286

HCA, Inc.

5.25%, 6/15/2026		1,680		1,819

5.13%, 6/15/2039		725		808

5.50%, 6/15/2047		190		222

3.50%, 7/15/2051		875		778


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


Health Care Providers & Services — continued

Mayo Clinic Series 2016, 4.13%, 11/15/2052		225		259

Memorial Health Services 3.45%, 11/1/2049		1,340		1,327

Memorial Sloan-Kettering Cancer Center Series 2015, 4.20%, 7/1/2055		200		235

MidMichigan Health Series 2020, 3.41%, 6/1/2050		310		302

Quest Diagnostics, Inc. 3.45%, 6/1/2026		150		155

Texas Health Resources 4.33%, 11/15/2055		300		361

UnitedHealth Group, Inc.

3.50%, 8/15/2039		815		833

3.25%, 5/15/2051		560		544

Universal Health Services, Inc.

2.65%, 10/15/2030 (b)		690		652

2.65%, 1/15/2032 (b)		875		814

Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050		780		654


				17,969


Hotels, Restaurants & Leisure — 0.0% (c)

McDonald’s Corp. 4.70%, 12/9/2035		700		793


Household Durables — 0.1%

Lennar Corp. 4.50%, 4/30/2024		365		380

MDC Holdings, Inc. 3.97%, 8/6/2061		1,100		900


				1,280


Household Products — 0.0% (c)

Reckitt Benckiser Treasury Services plc (United Kingdom) 2.38%, 6/24/2022 (b)		700		702


Independent Power and Renewable Electricity Producers — 0.1%

Alexander Funding Trust 1.84%, 11/15/2023 (b)		1,000		993

Constellation Energy Generation LLC 5.75%, 10/1/2041		235		261

Tri-State Generation and Transmission Association, Inc. 4.25%, 6/1/2046		417		432


				1,686


Industrial Conglomerates — 0.2%

GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035		1,936		2,176

Roper Technologies, Inc.

1.40%, 9/15/2027		1,370		1,278

2.00%, 6/30/2030		570		519


				3,973


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

Insurance — 1.0%

AIA Group Ltd. (Hong Kong)

3.60%, 4/9/2029 (b)		445		468

3.20%, 9/16/2040 (b)		520		487

AIG SunAmerica Global Financing X 6.90%, 3/15/2032 (b)		520		685

American International Group, Inc. 3.88%, 1/15/2035		605		634

Assurant, Inc. 4.20%, 9/27/2023		660		682

Athene Global Funding

0.95%, 1/8/2024 (b)		850		831

2.50%, 1/14/2025 (b)		239		239

1.45%, 1/8/2026 (b)		865		826

2.95%, 11/12/2026 (b)		3,475		3,485

Berkshire Hathaway Finance Corp. 4.40%, 5/15/2042		1,000		1,124

Brown & Brown, Inc. 2.38%, 3/15/2031		1,830		1,704

CNA Financial Corp. 3.95%, 5/15/2024		463		478

Dai-ichi Life Insurance Co. Ltd. (The) (Japan) (ICE LIBOR USD 3 Month + 3.66%), 4.00%, 7/24/2026 (b) (d) (f) (g)		526		531

F&G Global Funding 1.75%, 6/30/2026 (b)		750		722

Guardian Life Insurance Co. of America (The) 4.85%, 1/24/2077 (b)		208		240

Hanover Insurance Group, Inc. (The) 2.50%, 9/1/2030		500		473

Hartford Financial Services Group, Inc. (The) 4.30%, 4/15/2043		400		424

Intact US Holdings, Inc. 4.60%, 11/9/2022		500		508

Liberty Mutual Group, Inc.

4.57%, 2/1/2029 (b)		408		453

3.95%, 10/15/2050 (b)		900		894

Liberty Mutual Insurance Co. 8.50%, 5/15/2025 (b)		100		117

Markel Corp. 3.50%, 11/1/2027		200		208

Northwestern Mutual Global Funding 1.70%, 6/1/2028 (b)		795		760

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

Prudential Financial, Inc. 3.91%, 12/7/2047		300		312

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)		1,750		2,039

Swiss Re Finance Luxembourg SA (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (b) (d)		600		635


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


Insurance — continued

Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (b)		400		432


				20,657


IT Services — 0.2%

CGI, Inc. (Canada)

1.45%, 9/14/2026 (b)		843		802

2.30%, 9/14/2031 (b)		1,515		1,398

Fiserv, Inc.

3.20%, 7/1/2026		395		403

4.40%, 7/1/2049		375		400

Global Payments, Inc.

3.20%, 8/15/2029		945		933

4.15%, 8/15/2049		795		783


				4,719


Life Sciences Tools & Services — 0.1%

Thermo Fisher Scientific, Inc. 2.00%, 10/15/2031		1,375		1,276


Machinery — 0.1%

nVent Finance SARL (United Kingdom) 4.55%, 4/15/2028		450		483

Otis Worldwide Corp. 2.57%, 2/15/2030		1,430		1,383

Parker-Hannifin Corp. 4.45%, 11/21/2044		592		654

Xylem, Inc. 3.25%, 11/1/2026		197		203


				2,723


Media — 0.6%

Charter Communications Operating LLC

6.38%, 10/23/2035		528		631

4.80%, 3/1/2050		1,475		1,443

3.70%, 4/1/2051		1,120		940

Comcast Corp.

3.95%, 10/15/2025		696		734

3.55%, 5/1/2028		443		461

4.20%, 8/15/2034		555		607

3.25%, 11/1/2039		715		677

3.45%, 2/1/2050		609		568

2.89%, 11/1/2051 (b)		1,086		943

2.94%, 11/1/2056 (b)		1,079		908

2.99%, 11/1/2063 (b)		908		756

Cox Communications, Inc. 2.95%, 10/1/2050 (b)		635		523

Discovery Communications LLC

5.20%, 9/20/2047		175		187

4.00%, 9/15/2055		784		712


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

Media — continued

Grupo Televisa SAB (Mexico)

4.63%, 1/30/2026		221		233

6.13%, 1/31/2046		200		249

Paramount Global

4.00%, 1/15/2026		792		816

4.85%, 7/1/2042		140		148

Time Warner Cable LLC

6.55%, 5/1/2037		400		480

5.50%, 9/1/2041		359		383

Time Warner Entertainment Co. LP 8.38%, 7/15/2033		700		955


				13,354


Metals & Mining — 0.2%

Barrick Gold Corp. (Canada) 6.45%, 10/15/2035		295		382

Glencore Funding LLC (Australia)

4.13%, 5/30/2023 (b)		454		465

2.63%, 9/23/2031 (b)		244		224

Reliance Steel & Aluminum Co. 1.30%, 8/15/2025		2,500		2,404

Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030		1,275		1,252


				4,727


Multiline Retail — 0.1%

Dollar General Corp. 4.13%, 5/1/2028		235		252

Kohl’s Corp. 3.38%, 5/1/2031		1,000		984

Nordstrom, Inc. 4.25%, 8/1/2031		1,243		1,113


				2,349


Multi-Utilities — 0.3%

CMS Energy Corp. 3.00%, 5/15/2026		475		481

Delmarva Power & Light Co. 4.00%, 6/1/2042		235		236

Dominion Energy, Inc. Series F, 5.25%, 8/1/2033		920		1,063

NiSource, Inc.

1.70%, 2/15/2031		740		648

5.80%, 2/1/2042		1,256		1,500

San Diego Gas & Electric Co.

6.00%, 6/1/2026		275		311

3.95%, 11/15/2041		379		385

2.95%, 8/15/2051		1,050		941

Southern Co. Gas Capital Corp.

3.25%, 6/15/2026		254		261

Series 21A, 3.15%, 9/30/2051		420		374


				6,200


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


Oil, Gas & Consumable Fuels — 2.0%

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b)		732		780

BP Capital Markets America, Inc. 2.94%, 6/4/2051		1,995		1,678

BP Capital Markets plc (United Kingdom) 3.51%, 3/17/2025		451		468

Buckeye Partners LP 5.85%, 11/15/2043		770		671

Cameron LNG LLC 3.70%, 1/15/2039 (b)		961		959

Cheniere Corpus Christi Holdings LLC

5.88%, 3/31/2025		1,490		1,609

5.13%, 6/30/2027		605		660

2.74%, 12/31/2039 (b)		515		470

ConocoPhillips 2.40%, 2/15/2031 (b)		505		497

Coterra Energy, Inc. 3.90%, 5/15/2027 (b)		935		974

Devon Energy Corp. 5.25%, 9/15/2024		790		839

Diamondback Energy, Inc.

4.75%, 5/31/2025		1,085		1,155

3.25%, 12/1/2026		570		582

Eastern Gas Transmission & Storage, Inc. 3.90%, 11/15/2049 (b)		807		789

Ecopetrol SA (Colombia)

5.88%, 9/18/2023		226		235

4.13%, 1/16/2025		533		531

Energy Transfer LP

4.75%, 1/15/2026		1,191		1,265

3.90%, 7/15/2026		244		253

5.50%, 6/1/2027		115		127

4.95%, 5/15/2028		325		348

4.15%, 9/15/2029		594		613

6.10%, 2/15/2042		400		445

5.30%, 4/1/2044		170		175

6.25%, 4/15/2049		800		924

Eni SpA (Italy) 5.70%, 10/1/2040 (b)		925		1,098

Enterprise Products Operating LLC

3.90%, 2/15/2024		475		491

3.70%, 2/15/2026		506		529

Exxon Mobil Corp.

3.00%, 8/16/2039		895		859

3.57%, 3/6/2045		1,215		1,222

Flex Intermediate Holdco LLC

3.36%, 6/30/2031 (b)		1,425		1,363

4.32%, 12/30/2039 (b)		545		512

Galaxy Pipeline Assets Bidco Ltd. (United Arab Emirates) 2.94%, 9/30/2040 (b)		1,100		1,007


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

Oil, Gas & Consumable Fuels — continued

Gray Oak Pipeline LLC

2.00%, 9/15/2023 (b)		535		534

2.60%, 10/15/2025 (b)		2,450		2,422

Hess Corp. 6.00%, 1/15/2040		510		602

HollyFrontier Corp.

2.63%, 10/1/2023		1,275		1,281

5.88%, 4/1/2026		577		625

Lundin Energy Finance BV (Netherlands) 2.00%, 7/15/2026 (b)		497		480

Magellan Midstream Partners LP 3.20%, 3/15/2025		353		356

Marathon Petroleum Corp. 4.70%, 5/1/2025		380		404

ONEOK Partners LP

3.38%, 10/1/2022		151		152

5.00%, 9/15/2023		334		347

6.65%, 10/1/2036		350		423

Phillips 66 Partners LP 3.15%, 12/15/2029		985		973

Pioneer Natural Resources Co. 1.90%, 8/15/2030		1,050		954

Plains All American Pipeline LP

5.15%, 6/1/2042		460		455

4.70%, 6/15/2044		610		581

Saudi Arabian Oil Co. (Saudi Arabia)

1.25%, 11/24/2023 (b)		200		198

1.63%, 11/24/2025 (b)		278		268

Spectra Energy Partners LP 4.50%, 3/15/2045		495		519

Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038		1,195		1,564

Texas Eastern Transmission LP

2.80%, 10/15/2022 (b)		554		557

3.50%, 1/15/2028 (b)		90		92

TotalEnergies Capital International SA (France)

2.99%, 6/29/2041		1,200		1,100

3.46%, 7/12/2049		815		791

3.13%, 5/29/2050		1,180		1,090

Valero Energy Corp.

2.15%, 9/15/2027		830		806

7.50%, 4/15/2032		175		230


				41,932


Personal Products — 0.1%

Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030		1,880		1,866


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


Pharmaceuticals — 0.5%

AstraZeneca plc (United Kingdom)

6.45%, 9/15/2037		300		407

4.00%, 9/18/2042		240		261

Bristol-Myers Squibb Co.

4.13%, 6/15/2039		545		597

5.00%, 8/15/2045		740		906

Mylan, Inc. 5.40%, 11/29/2043		520		558

Royalty Pharma plc

0.75%, 9/2/2023		945		927

1.20%, 9/2/2025		353		335

Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026		1,713		1,758

Takeda Pharmaceutical Co. Ltd. (Japan)

5.00%, 11/26/2028		895		1,009

3.03%, 7/9/2040		1,265		1,143

3.18%, 7/9/2050		590		528

Utah Acquisition Sub, Inc. 3.95%, 6/15/2026		300		310

Viatris, Inc. 3.85%, 6/22/2040		567		531

Zoetis, Inc. 2.00%, 5/15/2030		760		706


				9,976


Road & Rail — 0.4%

Burlington Northern Santa Fe LLC

5.75%, 5/1/2040		425		545

4.38%, 9/1/2042		375		420

5.15%, 9/1/2043		769		951

3.55%, 2/15/2050		465		467

CSX Corp.

5.50%, 4/15/2041		150		185

4.75%, 5/30/2042		191		219

4.75%, 11/15/2048		600		700

3.35%, 9/15/2049		95		91

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		515		542

Kansas City Southern 4.70%, 5/1/2048		712		813

Norfolk Southern Corp. 4.05%, 8/15/2052		600		637

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b)		1,131		1,163

Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (b)		1,105		1,075


				7,808


Semiconductors & Semiconductor Equipment — 0.6%

Analog Devices, Inc. 2.80%, 10/1/2041		896		826


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

Semiconductors & Semiconductor Equipment — continued

Broadcom, Inc.

1.95%, 2/15/2028 (b)		2,500		2,357

4.11%, 9/15/2028		1,425		1,497

3.14%, 11/15/2035 (b)		1,413		1,309

KLA Corp. 3.30%, 3/1/2050		600		567

Microchip Technology, Inc.

0.97%, 2/15/2024		1,290		1,257

0.98%, 9/1/2024 (b)		1,400		1,347

NXP BV (China)

2.50%, 5/11/2031 (b)		1,405		1,307

3.25%, 5/11/2041 (b)		1,445		1,321

Xilinx, Inc. 2.38%, 6/1/2030		895		861


				12,649


Software — 0.3%

Citrix Systems, Inc. 1.25%, 3/1/2026		298		294

Microsoft Corp.

3.50%, 2/12/2035		291		313

2.92%, 3/17/2052		1,118		1,068

3.04%, 3/17/2062		268		256

Oracle Corp.

2.30%, 3/25/2028		1,405		1,338

4.30%, 7/8/2034		82		85

3.80%, 11/15/2037		500		475

3.60%, 4/1/2040		1,600		1,448

4.38%, 5/15/2055		900		854

VMware, Inc. 4.65%, 5/15/2027		550		596


				6,727


Specialty Retail — 0.2%

AutoZone, Inc. 1.65%, 1/15/2031		690		612

Lowe’s Cos., Inc. 2.63%, 4/1/2031		2,760		2,667

O’Reilly Automotive, Inc. 3.60%, 9/1/2027		432		451


				3,730


Technology Hardware, Storage & Peripherals — 0.3%

Apple, Inc.

3.45%, 2/9/2045		1,130		1,155

3.85%, 8/4/2046		569		607

3.75%, 11/13/2047		150		160

2.70%, 8/5/2051		855		766

Dell International LLC

5.45%, 6/15/2023		127		132

6.02%, 6/15/2026		2,132		2,380

3.45%, 12/15/2051 (b)		167		141

HP, Inc. 3.00%, 6/17/2027		665		671


				6,012


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


Thrifts & Mortgage Finance — 0.2%

BPCE SA (France)

4.63%, 7/11/2024 (b)		800		831

1.00%, 1/20/2026 (b)		1,005		947

(SOFR + 1.52%), 1.65%, 10/6/2026 (b) (d)		690		658

3.38%, 12/2/2026		400		410

(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (d)		730		663

Nationwide Building Society (United Kingdom) 1.50%, 10/13/2026 (b)		1,000		952


				4,461


Tobacco — 0.3%

Altria Group, Inc. 2.45%, 2/4/2032		1,700		1,518

BAT Capital Corp. (United Kingdom)

2.26%, 3/25/2028		780		728

4.39%, 8/15/2037		1,730		1,657

3.73%, 9/25/2040		520		448

4.54%, 8/15/2047		265		245

3.98%, 9/25/2050		815		702

Reynolds American, Inc. (United Kingdom) 7.00%, 8/4/2041		100		118


				5,416


Trading Companies & Distributors — 0.4%

Air Lease Corp.

3.38%, 7/1/2025		476		482

2.88%, 1/15/2026		1,000		996

3.75%, 6/1/2026		526		541

1.88%, 8/15/2026		960		910

3.25%, 10/1/2029		2,080		2,038

Aviation Capital Group LLC

3.88%, 5/1/2023 (b)		490		497

5.50%, 12/15/2024 (b)		1,047		1,113

BOC Aviation Ltd. (Singapore)

2.75%, 9/18/2022 (b)		450		451

3.50%, 10/10/2024 (b)		310		318

International Lease Finance Corp. 5.88%, 8/15/2022		506		516


				7,862


Water Utilities — 0.1%

American Water Capital Corp.

3.45%, 6/1/2029		795		820

3.45%, 5/1/2050		1,096		1,054


				1,874


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

Wireless Telecommunication Services — 0.4%

America Movil SAB de CV (Mexico)

3.63%, 4/22/2029		880		908

4.38%, 4/22/2049		441		484

T-Mobile USA, Inc.

3.75%, 4/15/2027		1,453		1,509

2.05%, 2/15/2028		1,550		1,474

3.88%, 4/15/2030		1,980		2,048

3.60%, 11/15/2060 (b)		915		800

Vodafone Group plc (United Kingdom)

5.25%, 5/30/2048		496		569

4.88%, 6/19/2049		1,105		1,226


				9,018


Total Corporate Bonds (Cost $570,388)				563,008

Mortgage-Backed Securities — 16.3%

FHLMC

Pool # 846812, ARM, 2.37%, 4/1/2030 (h)		4		4

Pool # 781087, ARM, 2.36%, 12/1/2033 (h)		113		114

Pool # 1B1665, ARM, 2.05%, 4/1/2034 (h)		70		71

Pool # 847356, ARM, 2.69%, 12/1/2034 (h)		50		50

Pool # 782979, ARM, 2.37%, 1/1/2035 (h)		103		107

Pool # 1Q0025, ARM, 1.97%, 2/1/2036 (h)		34		36

Pool # 848431, ARM, 2.35%, 2/1/2036 (h)		52		54

Pool # 1L1286, ARM, 2.37%, 5/1/2036 (h)		12		13

Pool # 848365, ARM, 2.32%, 7/1/2036 (h)		55		57

Pool # 1G2539, ARM, 1.85%, 10/1/2036 (h)		11		11

Pool # 1A1096, ARM, 1.88%, 10/1/2036 (h)		99		104

Pool # 1J1348, ARM, 2.45%, 10/1/2036 (h)		64		64

Pool # 1G2671, ARM, 1.97%, 11/1/2036 (h)		81		82

Pool # 782760, ARM, 2.31%, 11/1/2036 (h)		89		94

Pool # 1J1634, ARM, 1.91%, 12/1/2036 (h)		66		68

Pool # 1Q0739, ARM, 2.13%, 3/1/2037 (h)		82		86

Pool # 848699, ARM, 2.10%, 7/1/2040 (h)		120		124

FHLMC Gold Pools, 20 Year Pool # C91403, 3.50%, 3/1/2032		134		140

FHLMC Gold Pools, 30 Year

Pool # C68485, 7.00%, 7/1/2032		17		18


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


Pool # G01448, 7.00%, 8/1/2032		37			41

Pool # A13625, 5.50%, 10/1/2033		151			170

Pool # A16107, 6.00%, 12/1/2033		65			71

Pool # A17537, 6.00%, 1/1/2034		71			79

Pool # A61572, 5.00%, 9/1/2034		394			440

Pool # A28796, 6.50%, 11/1/2034		89			100

Pool # G03369, 6.50%, 1/1/2035		168			183

Pool # A46987, 5.50%, 7/1/2035		357			398

Pool # G01919, 4.00%, 9/1/2035		180			192

Pool # C02641, 7.00%, 10/1/2036		50			55

Pool # C02660, 6.50%, 11/1/2036		106			122

Pool # A93383, 5.00%, 8/1/2040		238			265

Pool # A93511, 5.00%, 8/1/2040		253			281

Pool # G06493, 4.50%, 5/1/2041		1,036			1,127

Pool # Z40179, 4.00%, 7/1/2048		2,663			2,797

FHLMC Gold Pools, Other

Pool # P20570, 7.00%, 7/1/2029		36			39

Pool # G20027, 10.00%, 10/1/2030		4			4

Pool # U50105, 4.00%, 1/1/2032		315			330

Pool # U80254, 3.00%, 3/1/2033		280			285

Pool # P20409, 5.50%, 10/1/2033		78			83

Pool # U90975, 4.00%, 6/1/2042		1,015			1,089

Pool # U90673, 4.00%, 1/1/2043		280			299

Pool # U99134, 4.00%, 1/1/2046		5,488			5,885

Pool # U69030, 4.50%, 1/1/2046		2,030			2,198

FHLMC UMBS, 20 Year Pool # SC0104, 3.50%, 8/1/2035		1,981			2,066

FHLMC UMBS, 30 Year Pool # RA6702, 3.00%, 2/1/2052		4,135			4,181

FNMA

Pool # 54844, ARM, 2.18%, 9/1/2027 (h)		8			8

Pool # 303532, ARM, 3.85%, 3/1/2029 (h)		5			5

Pool # 555258, ARM, 1.66%, 1/1/2033 (h)		235			236

Pool # 722421, ARM, 1.66%, 7/1/2033 (h)		11			11

Pool # 722985, ARM, 2.15%, 7/1/2033 (h)		15			15

Pool # 686040, ARM, 2.26%, 7/1/2033 (h)		114			115

Pool # 746299, ARM, 2.06%, 9/1/2033 (h)		79			82

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

Pool # 766610, ARM, 1.96%, 1/1/2034 (h)		28			28

Pool # 920467, ARM, 2.50%, 2/1/2034 (h)		73			73

Pool # 770377, ARM, 1.62%, 4/1/2034 (h)		52			52

Pool # 751531, ARM, 2.33%, 5/1/2034 (h)		92			93

Pool # 782306, ARM, 2.17%, 7/1/2034 (h)		6			6

Pool # 790235, ARM, 1.90%, 8/1/2034 (h)		72			72

Pool # 735332, ARM, 2.27%, 8/1/2034 (h)		111			114


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

Pool # 791961, ARM, 1.69%, 9/1/2034 (h)		27			27

Pool # 725902, ARM, 1.91%, 9/1/2034 (h)		12			12

Pool # 803599, ARM, 1.83%, 10/1/2034 (h)		91			90

Pool # 803594, ARM, 1.83%, 10/1/2034 (h)		59			59

Pool # 896463, ARM, 2.42%, 10/1/2034 (h)		67			71

Pool # 806776, ARM, 1.67%, 11/1/2034 (h)		65			66

Pool # 806778, ARM, 1.73%, 11/1/2034 (h)		358			359

Pool # 810896, ARM, 1.69%, 1/1/2035 (h)		184			191

Pool # 802692, ARM, 2.00%, 1/1/2035 (h)		53			53

Pool # 816597, ARM, 2.05%, 2/1/2035 (h)		16			16

Pool # 745862, ARM, 2.35%, 4/1/2035 (h)		59			60

Pool # 735539, ARM, 2.40%, 4/1/2035 (h)		380			399

Pool # 821378, ARM, 1.53%, 5/1/2035 (h)		47			47

Pool # 823660, ARM, 1.97%, 5/1/2035 (h)		53			53

Pool # 745766, ARM, 1.84%, 6/1/2035 (h)		162			163

Pool # 843026, ARM, 1.83%, 9/1/2035 (h)		269			279

Pool # 832801, ARM, 1.90%, 9/1/2035 (h)		31			31

Pool # 849251, ARM, 1.99%, 1/1/2036 (h)		45			47

Pool # 895141, ARM, 1.82%, 7/1/2036 (h)		52			53

Pool # 900197, ARM, 2.32%, 10/1/2036 (h)		55			58

Pool # 966946, ARM, 2.28%, 1/1/2038 (h)		31			31

FNMA UMBS, 15 Year

Pool # 889634, 6.00%, 2/1/2023		16			16

Pool # 995381, 6.00%, 1/1/2024		9			9

Pool # 995425, 6.00%, 1/1/2024		22			23

Pool # AD0133, 5.00%, 8/1/2024		11			11

FNMA UMBS, 20 Year

Pool # 254305, 6.50%, 5/1/2022		—	(i)		—	(i)

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

Pool # 255217, 4.50%, 4/1/2024		8			8

Pool # 888656, 6.50%, 4/1/2025		7			8

Pool # MA1138, 3.50%, 8/1/2032		324			339

FNMA UMBS, 30 Year

Pool # 50966, 7.00%, 1/1/2024		—	(i)		—	(i)

Pool # 689977, 8.00%, 3/1/2027		25			27

Pool # 695533, 8.00%, 6/1/2027		10			11

Pool # 756024, 8.00%, 9/1/2028		22			24

Pool # 755973, 8.00%, 11/1/2028		64			70

Pool # 455759, 6.00%, 12/1/2028		7			8

Pool # 252211, 6.00%, 1/1/2029		12			13


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


Pool # 459097, 7.00%, 1/1/2029		4		4

Pool # 889020, 6.50%, 11/1/2029		177		194

Pool # 598559, 6.50%, 8/1/2031		24		27

Pool # 622542, 5.50%, 9/1/2031		144		159

Pool # 788150, 6.00%, 3/1/2032		21		23

Pool # 649734, 7.00%, 6/1/2032		10		10

Pool # 675555, 6.00%, 12/1/2032		40		43

Pool # AL0045, 6.00%, 12/1/2032		198		224

Pool # 674349, 6.00%, 3/1/2033		11		12

Pool # 688625, 6.00%, 3/1/2033		14		15

Pool # 688655, 6.00%, 3/1/2033		4		5

Pool # 695584, 6.00%, 3/1/2033		4		4

Pool # 702901, 6.00%, 5/1/2033		68		78

Pool # 723852, 5.00%, 7/1/2033		67		75

Pool # 729296, 5.00%, 7/1/2033		174		193

Pool # 729379, 6.00%, 8/1/2033		14		16

Pool # 737825, 6.00%, 9/1/2033		25		28

Pool # 750977, 4.50%, 11/1/2033		40		43

Pool # 725017, 5.50%, 12/1/2033		280		316

Pool # 751341, 5.50%, 3/1/2034		34		37

Pool # 888568, 5.00%, 12/1/2034		6		7

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

Pool # AD0755, 7.00%, 6/1/2035		1,998		2,287

Pool # 820347, 5.00%, 9/1/2035		50		56

Pool # 833657, 7.50%, 8/1/2036		27		30

Pool # 986648, 6.00%, 9/1/2037		88		100

Pool # 888892, 7.50%, 11/1/2037		26		30

Pool # 257510, 7.00%, 12/1/2038		88		106

Pool # AD0753, 7.00%, 1/1/2039		64		76

Pool # AT5891, 3.00%, 6/1/2043		2,037		2,096

Pool # AL7527, 4.50%, 9/1/2043		762		823

Pool # BM3500, 4.00%, 9/1/2047		2,207		2,362

Pool # BJ1778, 4.50%, 10/1/2047		776		825

Pool # BN9180, 4.00%, 6/1/2049		763		802

Pool # BK8753, 4.50%, 6/1/2049		1,360		1,441

Pool # BO1219, 4.50%, 6/1/2049		2,019		2,137

Pool # BO7077, 3.00%, 9/1/2049		2,219		2,260

Pool # CB2637, 2.50%, 1/1/2052		4,469		4,416

Pool # CB2670, 3.00%, 1/1/2052		3,971		4,039

FNMA, 30 Year

Pool # 535183, 8.00%, 6/1/2028		3		3

Pool # 252409, 6.50%, 3/1/2029		31		33

Pool # 653815, 7.00%, 2/1/2033		7		7

Pool # 752786, 6.00%, 9/1/2033		44		47

Pool # 931717, 6.50%, 8/1/2039		223		246


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

FNMA, Other

Pool # AM3789, 3.02%, 7/1/2023		2,125		2,153

Pool # AM4628, 3.69%, 11/1/2023		1,431		1,465

Pool # AM4668, 3.76%, 11/1/2023		1,874		1,920

Pool # AM4716, 3.38%, 12/1/2023		1,860		1,897

Pool # AM7589, 2.95%, 12/1/2024		1,482		1,523

Pool # AM7290, 2.97%, 12/1/2024		3,334		3,424

Pool # AM7576, 3.04%, 12/1/2024		3,856		3,972

Pool # 470300, 3.64%, 1/1/2025		867		892

Pool # AM3833, 3.25%, 7/1/2025		3,402		3,542

Pool # AM4991, 3.97%, 12/1/2025		1,637		1,741

Pool # AL6805, 3.78%, 1/1/2026 (h)		3,345		3,549

Pool # 468645, 4.54%, 7/1/2026		2,464		2,686

Pool # AM6448, 3.25%, 9/1/2026		9,395		9,876

Pool # AM7223, 3.11%, 12/1/2026		3,315		3,468

Pool # AM7118, 3.14%, 12/1/2026		2,640		2,767

Pool # AM7390, 3.26%, 12/1/2026		3,633		3,809

Pool # AM7515, 3.34%, 2/1/2027		3,000		3,168

Pool # AM8803, 2.78%, 6/1/2027		4,703		4,866

Pool # AM8987, 2.79%, 6/1/2027		1,746		1,807

Pool # BL1040, 3.81%, 12/1/2028		3,000		3,286

Pool # BL4364, 2.24%, 11/1/2029		5,456		5,469

Pool # BL4333, 2.52%, 11/1/2029		6,067		6,198

Pool # AM7785, 3.17%, 2/1/2030		2,789		2,956

Pool # AM7516, 3.55%, 2/1/2030		2,000		2,157

Pool # AM8544, 3.08%, 4/1/2030		7,446		7,852

Pool # AM8889, 2.92%, 5/1/2030		8,000		8,376

Pool # AM8804, 3.10%, 5/1/2030		3,547		3,747

Pool # AM9020, 2.97%, 6/1/2030		3,738		3,917

Pool # BL9251, 1.45%, 10/1/2030		4,500		4,220

Pool # BL4315, 2.39%, 9/1/2031		4,519		4,550

Pool # BS4313, 1.98%, 1/1/2032		8,350		8,091

Pool # AP9632, 4.00%, 10/1/2032		203		214

Pool # AP9762, 4.00%, 10/1/2032		287		302

Pool # AQ7084, 3.50%, 12/1/2032		490		511

Pool # AT2703, 3.50%, 5/1/2033		854		889

Pool # AT2954, 3.50%, 5/1/2033		495		515

Pool # AT4180, 3.50%, 5/1/2033		495		515

Pool # AT4939, 3.50%, 5/1/2033		446		464

Pool # 754922, 5.50%, 9/1/2033		63		69

Pool # 762520, 4.00%, 11/1/2033		223		230

Pool # BS4198, 2.16%, 12/1/2033		9,000		8,757

Pool # BS4237, 2.16%, 12/1/2033		4,460		4,329

Pool # AM8922, 3.03%, 6/1/2035		2,531		2,628


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


Pool # AM9188, 3.12%, 6/1/2035		7,000			7,291

Pool # 849215, 6.50%, 1/1/2036		19			20

Pool # 872740, 6.50%, 6/1/2036		46			48

Pool # 886320, 6.50%, 7/1/2036		17			18

Pool # 888796, 6.00%, 9/1/2037		62			67

Pool # AO7225, 4.00%, 7/1/2042		307			329

Pool # AO9352, 4.00%, 7/1/2042		475			509

Pool # MA1125, 4.00%, 7/1/2042		442			472

Pool # AR1397, 3.00%, 1/1/2043		886			917

Pool # MA1711, 4.50%, 12/1/2043		1,661			1,798

Pool # MA1828, 4.50%, 3/1/2044		1,338			1,456

Pool # BF0464, 3.50%, 3/1/2060		3,514			3,671

FNMA/FHLMC UMBS, Single Family, 30 Year TBA, 2.50%, 3/25/2052 (j)		63,030			62,185

GNMA I, 30 Year

Pool # 345288, 7.50%, 3/15/2023		—	(i)		—	(i)

Pool # 782507, 9.50%, 10/15/2024		—	(i)		—	(i)

Pool # 554108, 6.50%, 3/15/2028		33			36

Pool # 481872, 7.50%, 7/15/2028		3			3

Pool # 468149, 8.00%, 8/15/2028		2			2

Pool # 486537, 7.50%, 9/15/2028		7			8

Pool # 486631, 6.50%, 10/15/2028		3			3

Pool # 591882, 6.50%, 7/15/2032		13			14

Pool # 607645, 6.50%, 2/15/2033		28			31

Pool # 607724, 7.00%, 2/15/2033		32			35

Pool # 604209, 6.50%, 4/15/2033		34			37

Pool # 781614, 7.00%, 6/15/2033		51			59

Pool # BM2141, 5.00%, 7/15/2049		642			726

GNMA II

Pool # CE5524, ARM, 2.14%, 8/20/2071 (h)		2,618			2,814

Pool # CE5546, ARM, 2.04%, 10/20/2071 (h)		4,827			5,169

GNMA II, 30 Year

Pool # 2006, 8.50%, 5/20/2025		2			2

Pool # 2141, 8.00%, 12/20/2025		1			1

Pool # 2234, 8.00%, 6/20/2026		2			2

Pool # 2270, 8.00%, 8/20/2026		2			2

Pool # 2285, 8.00%, 9/20/2026		2			2

Pool # 2324, 8.00%, 11/20/2026		2			2

Pool # 2499, 8.00%, 10/20/2027		3			3

Pool # 2512, 8.00%, 11/20/2027		5			5

Pool # 2525, 8.00%, 12/20/2027		2			2

Pool # 2549, 7.50%, 2/20/2028		3			4

Pool # 2646, 7.50%, 9/20/2028		7			8


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

Pool # 2647, 8.00%, 9/20/2028		1		1

Pool # 3427, 4.50%, 8/20/2033		62		68

Pool # 4245, 6.00%, 9/20/2038		445		498

Pool # AK8806, 4.25%, 3/20/2045		1,051		1,145

Pool # BM2118, 4.50%, 6/20/2049		154		162

Pool # BO0535, 4.00%, 7/20/2049		1,184		1,247

Pool # BO8227, 5.00%, 7/20/2049		898		982

Pool # BO8229, 5.00%, 7/20/2049		882		964

Pool # BM9734, 4.00%, 10/20/2049		2,183		2,307

Pool # BQ4115, 3.00%, 3/20/2050		3,952		4,024

Pool # 785294, 3.50%, 1/20/2051		4,479		4,840

Pool # CB1543, 3.00%, 2/20/2051		2,832		2,936

Pool # MA7534, 2.50%, 8/20/2051		28,910		28,930

Pool # MA7649, 2.50%, 10/20/2051		5,222		5,224

Pool # CK2716, 3.50%, 2/20/2052 (j)		4,030		4,205

GNMA II, Other Pool # AC0973, 4.39%, 5/20/2063 (h)		8		8


Total Mortgage-Backed Securities (Cost $337,553)				337,515

Collateralized Mortgage Obligations — 11.2%

ACC Series 2019-AA, 3.68%, 9/15/2022 ‡		1,012		1,012

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		3,288		3,421

Series 2005-1CB, Class 1A6, IF, IO, 6.91%, 3/25/2035 ‡ (h)		436		54

Series 2005-22T1, Class A2, IF, IO, 4.88%, 6/25/2035 ‡ (h)		3,010		381

Series 2005-20CB, Class 3A8, IF, IO, 4.56%, 7/25/2035 ‡ (h)		1,209		128

Series 2005-28CB, Class 1A4, 5.50%, 8/25/2035		1,157		1,145

Series 2005-28CB, Class 3A5, 6.00%, 8/25/2035		57		35

Series 2005-37T1, Class A2, IF, IO, 4.86%, 9/25/2035 ‡ (h)		2,308		304

Series 2005-54CB, Class 1A2, IF, IO, 4.66%, 11/25/2035 ‡ (h)		1,917		227

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		762		691

Series 2005-57CB, Class 3A2, IF, IO, 4.91%, 12/25/2035 ‡ (h)		484		60

Series 2005-64CB, Class 1A9, 5.50%, 12/25/2035		358		354

Series 2006-26CB, Class A9, 6.50%, 9/25/2036		884		610


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


Banc of America Alternative Loan Trust

Series 2004-6, Class 15, PO, 7/25/2019 ‡		6		4

Series 2006-4, Class 1A4, 6.00%, 5/25/2046		271		269

Banc of America Funding Trust

Series 2004-1, PO, 3/25/2034 ‡		72		56

Series 2004-2, Class 30, PO, 9/20/2034 ‡		79		64

Series 2005-6, Class 2A7, 5.50%, 10/25/2035		147		146

Series 2005-7, Class 30, PO, 11/25/2035 ‡		96		94

Series 2005-8, Class 30, PO, 1/25/2036 ‡		39		28

Series 2006-A, Class 3A2, 2.71%, 2/20/2036 (h)		125		122

Banc of America Mortgage Trust Series 2004-A, Class 2A2, 2.62%, 2/25/2034 (h)		30		30

Bayview Financing Trust Series 2020-3F, Class A, 3.08%, 11/10/2022 ‡ (b) (h)		1,624		1,622

Bear Stearns ARM Trust

Series 2003-7, Class 3A, 2.48%, 10/25/2033 (h)		16		15

Series 2004-1, Class 12A1, 2.75%, 4/25/2034 (h)		176		176

Series 2004-2, Class 14A, 2.91%, 5/25/2034 (h)		22		21

Series 2006-1, Class A1, 2.40%, 2/25/2036 (h)		332		339

CHL Mortgage Pass-Through Trust

Series 2004-8, Class 2A1, 4.50%, 6/25/2019		2		—	(i)

Series 2004-HYB1, Class 2A, 2.68%, 5/20/2034 (h)		33		34

Series 2004-HYB3, Class 2A, 1.98%, 6/20/2034 (h)		134		137

Series 2004-7, Class 2A1, 2.52%, 6/25/2034 (h)		96		98

Series 2004-HYB6, Class A3, 2.54%, 11/20/2034 (h)		132		136

Series 2005-16, Class A23, 5.50%, 9/25/2035		219		181

Series 2005-22, Class 2A1, 2.48%, 11/25/2035 (h)		683		648

Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust

Series 2005-5, Class A, PO, 8/25/2035 ‡		33		27

Series 2005-8, Class A, PO, 11/25/2035 ‡		53		42

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class 1, PO, 12/25/2018 ‡		1		1


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2003-HYB1, Class A, 2.24%, 9/25/2033 (h)		17			17

Citigroup Mortgage Loan Trust Series 2015-A, Class B2, 4.50%, 6/25/2058 (b) (h)		296			300

Citigroup Mortgage Loan Trust, Inc.

Series 2003-1, Class 3, PO, 9/25/2033 ‡		23			20

Series 2003-UP3, Class A3, 7.00%, 9/25/2033		9			10

Series 2003-1, Class 2, PO, 10/25/2033 ‡		1			1

Series 2003-1, Class 2A6, PO, 10/25/2033 ‡		8			8

Series 2003-1, Class 2A5, 5.25%, 10/25/2033		16			16

Series 2004-UST1, Class A6, 1.95%, 8/25/2034 (h)		12			11

Series 2005-1, Class 2A1A, 2.22%, 2/25/2035 (h)		146			139

Series 2005-2, Class 2A11, 5.50%, 5/25/2035		123			125

Series 2005-5, Class 1A2, 3.08%, 8/25/2035 (h)		188			156

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. (Switzerland)

Series 2003-1, Class DB1, 6.68%, 2/25/2033 (h)		207			217

Series 2003-21, Class 1A4, 5.25%, 9/25/2033		49			50

Series 2003-25, Class 1P, PO, 10/25/2033 ‡		101			85

CSFB Mortgage-Backed Pass-Through Certificates

Series 2005-4, Class 3A18, 5.50%, 6/25/2035		635			647

Series 2005-4, Class 3A23, 5.50%, 6/25/2035		1,339			1,364

CSMC Trust Series 2021-RPL1, Class A1, 1.67%, 9/27/2060 (b) (h)		6,288			6,130

FHLMC — GNMA Series 8, Class ZA, 7.00%, 3/25/2023		4			4

FHLMC, REMIC

Series 1250, Class J, 7.00%, 5/15/2022		—	(i)		—	(i)

Series 1343, Class LB, 7.50%, 8/15/2022		—	(i)		—	(i)

Series 1343, Class LA, 8.00%, 8/15/2022		—	(i)		—	(i)

Series 1370, Class JA, 1.34%, 9/15/2022 (h)		1			1

Series 2512, Class PG, 5.50%, 10/15/2022		9			9


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


Series 1455, Class WB, IF, 4.62%, 12/15/2022 (h)		1			1

Series 2535, Class BK, 5.50%, 12/15/2022		3			3

Series 1470, Class F, 1.22%, 2/15/2023 (h)		—	(i)		—	(i)

Series 2568, Class KG, 5.50%, 2/15/2023		16			16

Series 1466, Class PZ, 7.50%, 2/15/2023		6			7

Series 1498, Class I, 1.34%, 4/15/2023 (h)		9			9

Series 1502, Class PX, 7.00%, 4/15/2023		13			14

Series 1798, Class F, 5.00%, 5/15/2023		12			12

Series 1505, Class Q, 7.00%, 5/15/2023		2			2

Series 1518, Class G, IF, 8.61%, 5/15/2023 (h)		4			4

Series 1541, Class O, 1.00%, 7/15/2023 (h)		4			4

Series 2638, Class DS, IF, 8.41%, 7/15/2023 (h)		2			3

Series 1541, Class M, HB, IF, 26.62%, 7/15/2023 (h)		2			2

Series 1570, Class F, 1.72%, 8/15/2023 (h)		—	(i)		—	(i)

Series 1608, Class L, 6.50%, 9/15/2023		49			51

Series 1573, Class PZ, 7.00%, 9/15/2023		13			13

Series 2571, Class SK, HB, IF, 33.68%, 9/15/2023 (h)		6			7

Series 1591, Class PV, 6.25%, 10/15/2023		8			9

Series 1602, Class SA, HB, IF, 22.40%, 10/15/2023 (h)		5			5

Series 2710, Class HB, 5.50%, 11/15/2023		65			66

Series 1642, Class PJ, 6.00%, 11/15/2023		22			23

Series 2716, Class UN, 4.50%, 12/15/2023		47			48

Series 1638, Class H, 6.50%, 12/15/2023		35			36

Series 2283, Class K, 6.50%, 12/15/2023		12			13

Series 1700, Class GA, PO, 2/15/2024		—	(i)		—	(i)

Series 1865, Class D, PO, 2/15/2024		17			17

Series 1760, Class ZD, 1.32%, 2/15/2024 (h)		36			36

Series 1671, Class QC, IF, 10.00%, 2/15/2024 (h)		6			6

Series 1686, Class SH, IF, 19.00%, 2/15/2024 (h)		1			1

Series 1699, Class FC, 0.71%, 3/15/2024 (h)		1			1

Series 1709, Class FA, 0.97%, 3/15/2024 (h)		1			1

Series 1695, Class EB, 7.00%, 3/15/2024		7			8

Series 1706, Class K, 7.00%, 3/15/2024		21			22

Series 2033, Class SN, HB, IF, 30.43%, 3/15/2024 (h)		4			—	(i)


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2306, Class K, PO, 5/15/2024		4		4

Series 2306, Class SE, IF, IO, 8.78%, 5/15/2024 (h)		10		1

Series 1745, Class D, 7.50%, 8/15/2024		7		8

Series 3720, Class A, 4.50%, 9/15/2025		49		51

Series 3131, Class BK, 5.50%, 3/15/2026		192		201

Series 1829, Class ZB, 6.50%, 3/15/2026		4		4

Series 1863, Class Z, 6.50%, 7/15/2026		5		5

Series 1890, Class H, 7.50%, 9/15/2026		8		8

Series 1899, Class ZE, 8.00%, 9/15/2026		27		30

Series 3229, Class HE, 5.00%, 10/15/2026		200		208

Series 1963, Class Z, 7.50%, 1/15/2027		23		25

Series 1935, Class FL, 0.89%, 2/15/2027 (h)		2		2

Series 1981, Class Z, 6.00%, 5/15/2027		31		33

Series 1970, Class PG, 7.25%, 7/15/2027		2		2

Series 1987, Class PE, 7.50%, 9/15/2027		14		16

Series 2019, Class Z, 6.50%, 12/15/2027		31		34

Series 2038, Class PN, IO, 7.00%, 3/15/2028		25		3

Series 2040, Class PE, 7.50%, 3/15/2028		47		52

Series 4251, Class KW, 2.50%, 4/15/2028		3,656		3,682

Series 2043, Class CJ, 6.50%, 4/15/2028		8		8

Series 2054, Class PV, 7.50%, 5/15/2028		38		42

Series 2075, Class PM, 6.25%, 8/15/2028		84		91

Series 2075, Class PH, 6.50%, 8/15/2028		75		82

Series 2086, Class GB, 6.00%, 9/15/2028		13		14

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		37		3

Series 2095, Class PE, 6.00%, 11/15/2028		96		105

Series 2125, Class JZ, 6.00%, 2/15/2029		34		36

Series 2136, Class PG, 6.00%, 3/15/2029		39		42

Series 2132, Class SB, HB, IF, 30.09%, 3/15/2029 (h)		7		10

Series 2141, IO, 7.00%, 4/15/2029		11		1

Series 2169, Class TB, 7.00%, 6/15/2029		130		144

Series 2163, Class PC, IO, 7.50%, 6/15/2029		13		1

Series 2172, Class QC, 7.00%, 7/15/2029		90		100

Series 2176, Class OJ, 7.00%, 8/15/2029		65		74

Series 2201, Class C, 8.00%, 11/15/2029		30		33

Series 2209, Class TC, 8.00%, 1/15/2030		33		38

Series 2210, Class Z, 8.00%, 1/15/2030		65		76

Series 2224, Class CB, 8.00%, 3/15/2030		16		19

Series 2230, Class Z, 8.00%, 4/15/2030		41		47

Series 2234, Class PZ, 7.50%, 5/15/2030		30		35


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


Series 2247, Class Z, 7.50%, 8/15/2030		31		35

Series 2256, Class MC, 7.25%, 9/15/2030		42		48

Series 2259, Class ZM, 7.00%, 10/15/2030		60		68

Series 2262, Class Z, 7.50%, 10/15/2030		7		8

Series 2271, Class PC, 7.25%, 12/15/2030		69		78

Series 2296, Class PD, 7.00%, 3/15/2031		40		45

Series 2313, Class LA, 6.50%, 5/15/2031		28		31

Series 2325, Class PM, 7.00%, 6/15/2031		35		40

Series 2359, Class ZB, 8.50%, 6/15/2031		105		123

Series 2344, Class ZD, 6.50%, 8/15/2031		350		390

Series 2344, Class ZJ, 6.50%, 8/15/2031		35		40

Series 2345, Class NE, 6.50%, 8/15/2031		27		31

Series 2351, Class PZ, 6.50%, 8/15/2031		22		24

Series 2353, Class AZ, 6.00%, 9/15/2031		200		216

Series 2367, Class ME, 6.50%, 10/15/2031		64		70

Series 2396, Class FM, 0.64%, 12/15/2031 (h)		88		89

Series 2399, Class OH, 6.50%, 1/15/2032		78		87

Series 2399, Class TH, 6.50%, 1/15/2032		101		114

Series 2410, Class OE, 6.38%, 2/15/2032		22		23

Series 2410, Class NG, 6.50%, 2/15/2032		88		99

Series 2420, Class XK, 6.50%, 2/15/2032		135		153

Series 2464, Class SI, IF, IO, 7.81%, 2/15/2032 (h)		171		24

Series 2410, Class QX, IF, IO, 8.46%, 2/15/2032 (h)		38		6

Series 2412, Class SP, IF, 15.72%, 2/15/2032 (h)		68		85

Series 2410, Class QS, IF, 19.00%, 2/15/2032 (h)		69		90

Series 2430, Class WF, 6.50%, 3/15/2032		172		196

Series 2423, Class MC, 7.00%, 3/15/2032		102		116

Series 2423, Class MT, 7.00%, 3/15/2032		88		101

Series 2444, Class ES, IF, IO, 7.76%, 3/15/2032 (h)		66		9

Series 2450, Class SW, IF, IO, 7.81%, 3/15/2032 (h)		52		8

Series 2435, Class CJ, 6.50%, 4/15/2032		120		135

Series 2434, Class TC, 7.00%, 4/15/2032		97		111

Series 2436, Class MC, 7.00%, 4/15/2032		58		64

Series 2455, Class GK, 6.50%, 5/15/2032		202		223

Series 2450, Class GZ, 7.00%, 5/15/2032		58		67

Series 2462, Class JG, 6.50%, 6/15/2032		89		101

Series 2466, Class PH, 6.50%, 6/15/2032		142		160

Series 2474, Class NR, 6.50%, 7/15/2032		87		97

Series 2484, Class LZ, 6.50%, 7/15/2032		97		109


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2500, Class MC, 6.00%, 9/15/2032		96		108

Series 2835, Class QO, PO, 12/15/2032		13		12

Series 2543, Class YX, 6.00%, 12/15/2032		174		194

Series 2544, Class HC, 6.00%, 12/15/2032		109		125

Series 2552, Class ME, 6.00%, 1/15/2033		202		227

Series 2567, Class QD, 6.00%, 2/15/2033		226		255

Series 2575, Class ME, 6.00%, 2/15/2033		510		570

Series 2596, Class QG, 6.00%, 3/15/2033		124		135

Series 2586, Class WI, IO, 6.50%, 3/15/2033		59		11

Series 2692, Class SC, IF, 12.90%, 7/15/2033 (h)		35		42

Series 4240, Class B, 3.00%, 8/15/2033		2,501		2,599

Series 3920, Class LP, 5.00%, 1/15/2034		479		522

Series 2744, Class PE, 5.50%, 2/15/2034		7		7

Series 3611, PO, 7/15/2034		32		29

Series 2990, Class UZ, 5.75%, 6/15/2035		1,252		1,392

Series 3004, Class EK, 5.50%, 7/15/2035		1,233		1,436

Series 3014, Class OD, PO, 8/15/2035		35		31

Series 3085, Class WF, 0.99%, 8/15/2035 (h)		80		82

Series 3047, Class OD, 5.50%, 10/15/2035		576		621

Series 3074, Class BH, 5.00%, 11/15/2035		177		188

Series 3064, Class MC, 5.50%, 11/15/2035		3,095		3,468

Series 3102, Class FB, 0.49%, 1/15/2036 (h)		76		76

Series 3102, Class HS, HB, IF, 23.87%, 1/15/2036 (h)		22		29

Series 3117, Class EO, PO, 2/15/2036		202		183

Series 3117, Class OK, PO, 2/15/2036		120		108

Series 3134, PO, 3/15/2036		30		28

Series 3152, Class MO, PO, 3/15/2036		164		150

Series 3122, Class ZB, 6.00%, 3/15/2036		28		39

Series 3138, PO, 4/15/2036		134		121

Series 3607, Class BO, PO, 4/15/2036		68		62

Series 3219, Class DI, IO, 6.00%, 4/15/2036		101		21

Series 3819, Class ZQ, 6.00%, 4/15/2036		637		726

Series 3149, Class SO, PO, 5/15/2036		24		21

Series 3233, Class OP, PO, 5/15/2036		41		37

Series 3171, Class MO, PO, 6/15/2036		24		23

Series 3179, Class OA, PO, 7/15/2036		114		101

Series 3194, Class SA, IF, IO, 6.91%, 7/15/2036 (h)		28		5

Series 3211, Class SO, PO, 9/15/2036		135		122

Series 3218, Class AO, PO, 9/15/2036		67		55


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


Series 3232, Class ST, IF, IO, 6.51%, 10/15/2036 (h)		144		26

Series 3256, PO, 12/15/2036		95		85

Series 3261, Class OA, PO, 1/15/2037		112		101

Series 3260, Class CS, IF, IO, 5.95%, 1/15/2037 (h)		180		31

Series 3274, Class JO, PO, 2/15/2037		27		25

Series 3275, Class FL, 0.63%, 2/15/2037 (h)		30		31

Series 3290, Class SB, IF, IO, 6.26%, 3/15/2037 (h)		240		40

Series 3318, Class AO, PO, 5/15/2037		6		6

Series 3607, PO, 5/15/2037		140		123

Series 3315, Class HZ, 6.00%, 5/15/2037		135		151

Series 3326, Class JO, PO, 6/15/2037		8		7

Series 3331, PO, 6/15/2037		101		91

Series 3607, Class OP, PO, 7/15/2037		319		280

Series 4048, Class FJ, 0.50%, 7/15/2037 (h)		405		405

Series 3385, Class SN, IF, IO, 5.81%, 11/15/2037 (h)		30		4

Series 3387, Class SA, IF, IO, 6.23%, 11/15/2037 (h)		143		23

Series 3422, Class AI, IO, 0.25%, 1/15/2038 (e)		817		5

Series 3404, Class SC, IF, IO, 5.81%, 1/15/2038 (h)		240		39

Series 3424, Class PI, IF, IO, 6.61%, 4/15/2038 (h)		199		42

Series 3481, Class SJ, IF, IO, 5.66%, 8/15/2038 (h)		272		45

Series 3511, Class SA, IF, IO, 5.81%, 2/15/2039 (h)		196		28

Series 3549, Class FA, 1.39%, 7/15/2039 (h)		20		21

Series 3621, Class BO, PO, 1/15/2040		97		88

Series 3747, Class PY, 4.00%, 10/15/2040		1,000		1,061

Series 3925, Class FL, 0.64%, 1/15/2041 (h)		115		116

Series 3852, Class QN, IF, 5.50%, 5/15/2041 (h)		98		104

Series 3852, Class TP, IF, 5.50%, 5/15/2041 (h)		290		307

Series 3957, Class B, 4.00%, 11/15/2041		112		119

Series 3966, Class NA, 4.00%, 12/15/2041		286		307

Series 4217, Class KY, 3.00%, 6/15/2043		2,000		2,065

FHLMC, STRIPS

Series 233, Class 11, IO, 5.00%, 9/15/2035		216		42


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 233, Class 13, IO, 5.00%, 9/15/2035		316		61

Series 299, Class 300, 3.00%, 1/15/2043		1,540		1,549

Series 310, PO, 9/15/2043		750		673

Series 323, Class 300, 3.00%, 1/15/2044		1,227		1,246

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 4.60%, 7/25/2032 (h)		232		248

Series T-76, Class 2A, 1.55%, 10/25/2037 (h)		577		581

Series T-51, Class 2A, 7.50%, 8/25/2042 (h)		163		206

Series T-54, Class 2A, 6.50%, 2/25/2043		922		1,082

Series T-54, Class 3A, 7.00%, 2/25/2043		252		304

Series T-58, Class A, PO, 9/25/2043		80		65

Series T-59, Class 1AP, PO, 10/25/2043		185		121

First Horizon Alternative Mortgage Securities Trust

Series 2004-AA4, Class A1, 2.31%, 10/25/2034 (h)		129		133

Series 2005-FA8, Class 1A19, 5.50%, 11/25/2035		394		263

Series 2007-FA4, Class 1A2, IF, IO, 5.46%, 8/25/2037 ‡ (h)		930		174

FMC GMSR Issuer Trust 3.69%, 2/25/2024 (b)		7,325		7,325

Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (h)		5,000		4,991

Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (h)		4,300		4,165

Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (h)		3,370		3,272

FNMA Trust, Whole Loan

Series 2004-W1, Class 2A2, 7.00%, 12/25/2033		75		85

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		145		163

Series 2004-W15, Class 2AF, 0.44%, 8/25/2044 (h)		204		203

Series 2005-W3, Class 2AF, 0.41%, 3/25/2045 (h)		553		551

Series 2006-W2, Class 1AF1, 0.41%, 2/25/2046 (h)		187		187

FNMA, Grantor Trust, Whole Loan

Series 2002-T19, Class A2, 7.00%, 7/25/2042		430		493

Series 2004-T3, Class 1A3, 7.00%, 2/25/2044		241		274


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


FNMA, REMIC

Series 1992-101, Class J, 7.50%, 6/25/2022		—	(i)		—	(i)

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(i)		—	(i)

Series G92-35, Class E, 7.50%, 7/25/2022		—	(i)		—	(i)

Series G92-35, Class G, HB, 1,184.78%, 7/25/2022		—	(i)		—	(i)

Series 1992-136, Class PK, 6.00%, 8/25/2022		1			1

Series 1996-59, Class J, 6.50%, 8/25/2022		—	(i)		—	(i)

Series G92-52, Class FD, 0.13%, 9/25/2022 (h)		—	(i)		—	(i)

Series 1992-143, Class MA, 5.50%, 9/25/2022		—	(i)		—	(i)

Series G92-54, Class ZQ, 7.50%, 9/25/2022		—	(i)		—	(i)

Series 1992-163, Class M, 7.75%, 9/25/2022		1			1

Series G92-62, Class B, PO, 10/25/2022		—	(i)		—	(i)

Series G92-59, Class F, 0.92%, 10/25/2022 (h)		—	(i)		—	(i)

Series G92-61, Class Z, 7.00%, 10/25/2022		—	(i)		—	(i)

Series 1992-188, Class PZ, 7.50%, 10/25/2022		3			3

Series G93-1, Class KA, 7.90%, 1/25/2023		1			1

Series G93-5, Class Z, 6.50%, 2/25/2023		1			1

Series 1997-61, Class ZC, 7.00%, 2/25/2023		15			15

Series 1993-27, Class SA, IF, 15.50%, 2/25/2023 (h)		1			1

Series G93-14, Class J, 6.50%, 3/25/2023		1			1

Series 1993-25, Class J, 7.50%, 3/25/2023		4			4

Series 1993-21, Class KA, 7.70%, 3/25/2023		2			2

Series 1998-4, Class C, PO, 4/25/2023		1			1

Series G93-17, Class SI, IF, 6.00%, 4/25/2023 (h)		3			3

Series 1998-43, Class SA, IF, IO, 18.17%, 4/25/2023 (h)		4			—	(i)

Series 1993-62, Class SA, HB, IF, 20.01%, 4/25/2023 (h)		1			1

Series 2003-39, Class LW, 5.50%, 5/25/2023		41			41

Series 2003-41, Class PE, 5.50%, 5/25/2023		16			17

Series G93-27, Class FD, 1.07%, 8/25/2023 (h)		2			2

Series 2002-83, Class CS, 6.88%, 8/25/2023		32			33


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1999-38, Class SK, IF, IO, 7.86%, 8/25/2023 (h)		—	(i)		—	(i)

Series 1996-14, Class SE, IF, IO, 8.93%, 8/25/2023 (h)		16			1

Series 1993-205, Class H, PO, 9/25/2023		2			2

Series G93-37, Class H, PO, 9/25/2023		1			1

Series 1993-165, Class SK, IF, 12.50%, 9/25/2023 (h)		2			2

Series 1993-165, Class SD, IF, 14.38%, 9/25/2023 (h)		1			1

Series 1993-179, Class SC, IF, 10.50%, 10/25/2023 (h)		1			1

Series 1999-52, Class NS, HB, IF, 22.86%, 10/25/2023 (h)		3			3

Series 1993-179, Class SB, HB, IF, 28.77%, 10/25/2023 (h)		2			2

Series 1995-19, Class Z, 6.50%, 11/25/2023		20			21

Series 1993-230, Class FA, 0.71%, 12/25/2023 (h)		2			2

Series 1993-247, Class FE, 1.19%, 12/25/2023 (h)		4			4

Series 1993-225, Class UB, 6.50%, 12/25/2023		5			6

Series 1993-247, Class SU, IF, 12.73%, 12/25/2023 (h)		2			2

Series 2002-1, Class UD, HB, IF, 23.85%, 12/25/2023 (h)		4			5

Series 1994-37, Class L, 6.50%, 3/25/2024		18			18

Series 1994-40, Class Z, 6.50%, 3/25/2024		114			119

Series 2004-53, Class NC, 5.50%, 7/25/2024		14			14

Series 1995-2, Class Z, 8.50%, 1/25/2025		5			6

Series G95-1, Class C, 8.80%, 1/25/2025		6			7

Series 1997-20, IO, 1.84%, 3/25/2027 (h)		7			—	(i)

Series 1997-27, Class J, 7.50%, 4/18/2027		4			5

Series 1997-29, Class J, 7.50%, 4/20/2027		9			9

Series 1997-39, Class PD, 7.50%, 5/20/2027		50			54

Series 1997-42, Class ZC, 6.50%, 7/18/2027		4			4

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		15			1

Series 1998-36, Class ZB, 6.00%, 7/18/2028		22			23

Series 1998-66, Class SB, IF, IO, 7.96%, 12/25/2028 (h)		1			—	(i)

Series 1999-18, Class Z, 5.50%, 4/18/2029		18			19


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


Series 1999-17, Class C, 6.35%, 4/25/2029		16		18

Series 1999-62, Class PB, 7.50%, 12/18/2029		26		28

Series 2000-2, Class ZE, 7.50%, 2/25/2030		84		94

Series 2000-20, Class SA, IF, IO, 8.91%, 7/25/2030 (h)		36		3

Series 2000-52, IO, 8.50%, 1/25/2031		9		1

Series 2001-7, Class PF, 7.00%, 3/25/2031		20		23

Series 2011-31, Class DB, 3.50%, 4/25/2031		1,071		1,111

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		69		9

Series 2001-30, Class PM, 7.00%, 7/25/2031		61		68

Series 2001-36, Class DE, 7.00%, 8/25/2031		61		69

Series 2001-49, Class Z, 6.50%, 9/25/2031		19		21

Series 2001-44, Class MY, 7.00%, 9/25/2031		147		169

Series 2001-44, Class PD, 7.00%, 9/25/2031		19		21

Series 2001-44, Class PU, 7.00%, 9/25/2031		24		27

Series 2001-52, Class KB, 6.50%, 10/25/2031		21		23

Series 2003-52, Class SX, HB, IF, 22.39%, 10/25/2031 (h)		34		44

Series 2001-61, Class Z, 7.00%, 11/25/2031		227		261

Series 2001-72, Class SX, IF, 17.03%, 12/25/2031 (h)		6		7

Series 2002-1, Class SA, HB, IF, 24.58%, 2/25/2032 (h)		11		14

Series 2002-13, Class SJ, IF, IO, 1.60%, 3/25/2032 (h)		189		6

Series 2002-13, Class ST, IF, 10.00%, 3/25/2032 (h)		2		3

Series 2002-21, Class LO, PO, 4/25/2032		6		6

Series 2002-21, Class PE, 6.50%, 4/25/2032		59		66

Series 2002-28, Class PK, 6.50%, 5/25/2032		149		167

Series 2012-66, Class CB, 3.00%, 6/25/2032		3,000		3,098

Series 2002-37, Class Z, 6.50%, 6/25/2032		42		46

Series 2006-130, Class GI, IO, 6.50%, 7/25/2032		159		20

Series 2002-48, Class GH, 6.50%, 8/25/2032		223		253


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-61, Class SK, IF, 8.50%, 11/25/2032 (h)		27		31

Series 2004-59, Class BG, PO, 12/25/2032		75		69

Series 2002-77, Class S, IF, 14.14%, 12/25/2032 (h)		33		39

Series 2003-22, Class UD, 4.00%, 4/25/2033		732		773

Series 2003-35, Class UC, 3.75%, 5/25/2033		6		7

Series 2003-42, Class GB, 4.00%, 5/25/2033		51		54

Series 2003-34, Class AX, 6.00%, 5/25/2033		111		125

Series 2003-34, Class ED, 6.00%, 5/25/2033		598		670

Series 2003-39, IO, 6.00%, 5/25/2033 (h)		29		4

Series 2003-33, Class IA, IO, 6.50%, 5/25/2033		224		42

Series 2007-97, Class KI, IO, 7.00%, 5/25/2033		417		41

Series 2003-47, Class PE, 5.75%, 6/25/2033		110		121

Series 2004-4, Class QI, IF, IO, 6.91%, 6/25/2033 (h)		35		1

Series 2004-4, Class QM, IF, 13.83%, 6/25/2033 (h)		3		3

Series 2003-64, Class SX, IF, 13.48%, 7/25/2033 (h)		28		32

Series 2003-132, Class OA, PO, 8/25/2033		10		10

Series 2003-72, Class IE, IO, 5.50%, 8/25/2033		207		33

Series 2003-71, Class DS, IF, 7.32%, 8/25/2033 (h)		247		255

Series 2003-74, Class SH, IF, 9.83%, 8/25/2033 (h)		56		62

Series 2003-91, Class SD, IF, 12.19%, 9/25/2033 (h)		52		61

Series 2013-101, Class AE, 3.00%, 10/25/2033		3,349		3,445

Series 2013-101, Class E, 3.00%, 10/25/2033		3,000		3,084

Series 2013-108, Class GU, 3.00%, 10/25/2033		4,000		4,116

Series 2003-116, Class SB, IF, IO, 7.41%, 11/25/2033 (h)		319		53

Series 2006-44, Class P, PO, 12/25/2033		564		514

Series 2003-130, Class SX, IF, 11.24%, 1/25/2034 (h)		6		6


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


Series 2004-25, Class SA, IF, 19.01%, 4/25/2034 (h)		136		176

Series 2004-46, Class SK, IF, 15.99%, 5/25/2034 (h)		253		303

Series 2004-36, Class SA, IF, 19.01%, 5/25/2034 (h)		293		393

Series 2004-46, Class QB, HB, IF, 23.25%, 5/25/2034 (h)		112		152

Series 2004-51, Class SY, IF, 13.87%, 7/25/2034 (h)		56		62

Series 2005-74, Class CS, IF, 19.51%, 5/25/2035 (h)		80		91

Series 2005-56, Class S, IF, IO, 6.52%, 7/25/2035 (h)		260		45

Series 2005-66, Class SG, IF, 16.91%, 7/25/2035 (h)		94		122

Series 2005-68, Class PG, 5.50%, 8/25/2035		262		287

Series 2005-84, Class XM, 5.75%, 10/25/2035		728		793

Series 2005-110, Class GL, 5.50%, 12/25/2035		2,130		2,340

Series 2006-46, Class UC, 5.50%, 12/25/2035		165		172

Series 2005-109, Class PC, 6.00%, 12/25/2035		236		256

Series 2006-39, Class WC, 5.50%, 1/25/2036		164		171

Series 2006-16, Class OA, PO, 3/25/2036		93		85

Series 2006-22, Class AO, PO, 4/25/2036		165		150

Series 2006-23, Class KO, PO, 4/25/2036		29		27

Series 2006-44, Class GO, PO, 6/25/2036		225		206

Series 2006-53, Class US, IF, IO, 6.39%, 6/25/2036 (h)		330		56

Series 2006-56, PO, 7/25/2036		185		169

Series 2006-58, PO, 7/25/2036		99		90

Series 2006-58, Class AP, PO, 7/25/2036		186		168

Series 2006-65, Class QO, PO, 7/25/2036		153		141

Series 2006-56, Class FC, 0.48%, 7/25/2036 (h)		327		328

Series 2006-58, Class FL, 0.65%, 7/25/2036 (h)		25		25

Series 2006-60, Class DZ, 6.50%, 7/25/2036		3,838		4,281

Series 2006-72, Class TO, PO, 8/25/2036		27		24

Series 2006-79, Class DO, PO, 8/25/2036		121		114

Series 2007-7, Class SG, IF, IO, 6.31%, 8/25/2036 (h)		785		175


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2006-77, Class PC, 6.50%, 8/25/2036		378		420

Series 2006-90, Class AO, PO, 9/25/2036		84		77

Series 2008-42, Class AO, PO, 9/25/2036		48		43

Series 2009-19, Class IP, IO, 5.50%, 10/25/2036		610		122

Series 2006-109, PO, 11/25/2036		47		42

Series 2006-110, PO, 11/25/2036		260		236

Series 2006-111, Class EO, PO, 11/25/2036		33		30

Series 2006-124, Class HB, 2.00%, 11/25/2036 (h)		484		490

Series 2006-119, PO, 12/25/2036		37		35

Series 2006-118, Class A2, 0.17%, 12/25/2036 (h)		143		141

Series 2009-70, Class CO, PO, 1/25/2037		250		226

Series 2006-128, Class BP, 5.50%, 1/25/2037		66		71

Series 2007-77, Class FG, 0.69%, 3/25/2037 (h)		41		41

Series 2007-16, Class FC, 0.94%, 3/25/2037 (h)		52		55

Series 2007-14, Class ES, IF, IO, 6.25%, 3/25/2037 (h)		394		64

Series 2007-42, Class AO, PO, 5/25/2037		16		14

Series 2007-48, PO, 5/25/2037		68		65

Series 2007-60, Class AX, IF, IO, 6.96%, 7/25/2037 (h)		1,211		274

Series 2007-81, Class GE, 6.00%, 8/25/2037		136		153

Series 2007-88, Class VI, IF, IO, 6.35%, 9/25/2037 (h)		815		156

Series 2007-91, Class ES, IF, IO, 6.27%, 10/25/2037 (h)		571		108

Series 2007-116, Class HI, IO, 1.25%, 1/25/2038 (h)		375		16

Series 2008-1, Class BI, IF, IO, 5.72%, 2/25/2038 (h)		192		33

Series 2008-16, Class IS, IF, IO, 6.01%, 3/25/2038 (h)		72		11

Series 2008-10, Class XI, IF, IO, 6.04%, 3/25/2038 (h)		168		28

Series 2008-27, Class SN, IF, IO, 6.71%, 4/25/2038 (h)		103		16

Series 2008-44, PO, 5/25/2038		6		5

Series 2008-53, Class CI, IF, IO, 7.01%, 7/25/2038 (h)		148		25

Series 2008-80, Class SA, IF, IO, 5.66%, 9/25/2038 (h)		292		47


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


Series 2008-81, Class SB, IF, IO, 5.66%, 9/25/2038 (h)		339		49

Series 2009-6, Class GS, IF, IO, 6.36%, 2/25/2039 (h)		271		54

Series 2009-62, Class HJ, 6.00%, 5/25/2039		49		51

Series 2009-60, Class HT, 6.00%, 8/25/2039		248		280

Series 2009-103, Class MB, 2.00%, 12/25/2039 (h)		113		118

Series 2009-99, Class SC, IF, IO, 5.99%, 12/25/2039 (h)		67		10

Series 2010-49, Class SC, IF, 12.29%, 3/25/2040 (h)		189		229

Series 2010-64, Class DM, 5.00%, 6/25/2040		109		118

Series 2010-71, Class HJ, 5.50%, 7/25/2040		159		177

Series 2010-147, Class SA, IF, IO, 6.34%, 1/25/2041 (h)		799		160

Series 2011-30, Class LS, IO, 1.59%, 4/25/2041 (h)		313		19

Series 2011-75, Class FA, 0.74%, 8/25/2041 (h)		88		88

Series 2011-118, Class MT, 7.00%, 11/25/2041		233		272

Series 2011-130, Class CA, 6.00%, 12/25/2041		499		564

Series 2013-81, Class TA, 3.00%, 2/25/2043		1,230		1,247

Series 2013-92, PO, 9/25/2043		630		552

Series 2013-90, Class PM, 3.50%, 9/25/2043		1,694		1,750

Series 2013-101, Class DO, PO, 10/25/2043		1,104		985

Series 2013-128, PO, 12/25/2043		1,185		1,064

Series 2011-2, Class WA, 5.84%, 2/25/2051 (h)		178		197

FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 38.06%, 7/25/2037 (h)		8		12

Series 2003-W4, Class 2A, 5.42%, 10/25/2042 (h)		38		42

Series 2003-W1, Class 1A1, 4.97%, 12/25/2042 (h)		334		350

Series 2003-W1, Class 2A, 5.43%, 12/25/2042 (h)		141		144

Series 2009-W1, Class A, 6.00%, 12/25/2049		349		382


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

FNMA, REMIC, Whole Loan

Series 2007-101, Class A2, 0.37%, 6/27/2036 (h)		250			246

Series 2007-54, Class FA, 0.59%, 6/25/2037 (h)		130			131

Series 2007-106, Class A7, 6.25%, 10/25/2037 (h)		87			99

FNMA, STRIPS

Series 218, Class 2, IO, 7.50%, 4/25/2023		—	(i)		—	(i)

Series 265, Class 2, 9.00%, 3/25/2024		1			1

Series 329, Class 1, PO, 1/25/2033		25			23

Series 345, Class 6, IO, 5.00%, 12/25/2033 (h)		39			5

Series 351, Class 7, IO, 5.00%, 4/25/2034 (h)		126			15

Series 355, Class 11, IO, 6.00%, 7/25/2034		104			17

Series 365, Class 8, IO, 5.50%, 5/25/2036		157			31

Series 374, Class 5, IO, 5.50%, 8/25/2036		92			16

Series 393, Class 6, IO, 5.50%, 4/25/2037		29			4

Series 383, Class 32, IO, 6.00%, 1/25/2038		40			10

Series 383, Class 33, IO, 6.00%, 1/25/2038		106			21

Freedom Series 2021-SAVF1, IO, 4.90%, 3/25/2022 (h)		7,708			7,709

GMACM Mortgage Loan Trust Series 2005-AR3, Class 3A4, 2.92%, 6/19/2035 (h)		436			425

GNMA

Series 1999-4, Class ZB, 6.00%, 2/20/2029		170			170

Series 2001-35, Class SA, IF, IO, 8.12%, 8/16/2031 (h)		56			—	(i)

Series 2002-52, Class GH, 6.50%, 7/20/2032		269			269

Series 2003-58, Class BE, 6.50%, 1/20/2033		363			377

Series 2003-12, Class SP, IF, IO, 7.54%, 2/20/2033 (h)		87			7

Series 2003-24, PO, 3/16/2033		15			15

Series 2003-40, Class TJ, 6.50%, 3/20/2033		437			456

Series 2003-46, Class TC, 6.50%, 3/20/2033		206			216

Series 2003-46, Class MG, 6.50%, 5/20/2033		285			305

Series 2003-52, Class AP, PO, 6/16/2033		85			80

Series 2003-90, PO, 10/20/2033		23			23

Series 2003-112, Class SA, IF, IO, 6.42%, 12/16/2033 (h)		293			22

Series 2004-28, Class S, IF, 19.32%, 4/16/2034 (h)		125			162


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


Series 2004-90, Class SI, IF, IO, 5.94%, 10/20/2034 (h)		400		45

Series 2005-68, Class DP, IF, 16.13%, 6/17/2035 (h)		42		48

Series 2010-14, Class CO, PO, 8/20/2035		133		122

Series 2005-58, Class NI, IO, 5.50%, 8/20/2035 (h)		606		82

Series 2005-68, Class KI, IF, IO, 6.14%, 9/20/2035 (h)		864		138

Series 2005-91, Class PI, IO, 6.00%, 12/20/2035		130		17

Series 2006-16, Class OP, PO, 3/20/2036		59		54

Series 2006-38, Class SW, IF, IO, 6.34%, 6/20/2036 (h)		45		1

Series 2006-38, Class ZK, 6.50%, 8/20/2036		703		752

Series 2006-59, Class SD, IF, IO, 6.54%, 10/20/2036 (h)		198		21

Series 2006-65, Class SA, IF, IO, 6.64%, 11/20/2036 (h)		316		27

Series 2011-22, Class WA, 5.90%, 2/20/2037 (h)		300		333

Series 2007-57, PO, 3/20/2037		68		66

Series 2007-17, Class JO, PO, 4/16/2037		56		49

Series 2007-17, Class JI, IF, IO, 6.68%, 4/16/2037 (h)		518		98

Series 2007-19, Class SD, IF, IO, 6.04%, 4/20/2037 (h)		289		21

Series 2007-28, Class BO, PO, 5/20/2037		60		54

Series 2007-26, Class SC, IF, IO, 6.04%, 5/20/2037 (h)		233		27

Series 2007-27, Class SA, IF, IO, 6.04%, 5/20/2037 (h)		248		24

Series 2007-36, Class SE, IF, IO, 6.34%, 6/16/2037 (h)		146		13

Series 2007-47, Class PH, 6.00%, 7/16/2037		2,282		2,539

Series 2007-40, Class SB, IF, IO, 6.59%, 7/20/2037 (h)		504		68

Series 2007-42, Class SB, IF, IO, 6.59%, 7/20/2037 (h)		296		35

Series 2007-53, Class SW, IF, 19.72%, 9/20/2037 (h)		25		29

Series 2008-32, Class PI, IO, 5.50%, 10/16/2037		34		1

Series 2009-79, Class OK, PO, 11/16/2037		86		80

Series 2007-73, Class MI, IF, IO, 5.84%, 11/20/2037 (h)		167		14


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2007-76, Class SA, IF, IO, 6.37%, 11/20/2037 (h)		327		30

Series 2007-72, Class US, IF, IO, 6.39%, 11/20/2037 (h)		159		14

Series 2007-79, Class SY, IF, IO, 6.39%, 12/20/2037 (h)		148		14

Series 2008-2, Class NS, IF, IO, 6.41%, 1/16/2038 (h)		300		31

Series 2008-2, Class MS, IF, IO, 7.03%, 1/16/2038 (h)		90		14

Series 2008-10, Class S, IF, IO, 5.67%, 2/20/2038 (h)		181		16

Series 2008-36, Class SH, IF, IO, 6.14%, 4/20/2038 (h)		243		1

Series 2008-40, Class SA, IF, IO, 6.27%, 5/16/2038 (h)		1,568		233

Series 2008-55, Class SA, IF, IO, 6.04%, 6/20/2038 (h)		135		14

Series 2008-71, Class SC, IF, IO, 5.84%, 8/20/2038 (h)		62		6

Series 2009-25, Class SE, IF, IO, 7.44%, 9/20/2038 (h)		117		14

Series 2008-93, Class AS, IF, IO, 5.54%, 12/20/2038 (h)		178		17

Series 2009-65, Class IQ, IO, 6.00%, 12/20/2038		14		—	(i)

Series 2009-6, Class SA, IF, IO, 5.97%, 2/16/2039 (h)		172		10

Series 2009-12, Class IE, IO, 5.50%, 3/20/2039		368		35

Series 2009-14, Class KI, IO, 6.50%, 3/20/2039		166		27

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		161		32

Series 2009-22, Class SA, IF, IO, 6.11%, 4/20/2039 (h)		349		42

Series 2009-33, Class CI, IO, 5.50%, 5/20/2039		82		10

Series 2009-33, Class TI, IO, 6.00%, 5/20/2039		87		14

Series 2009-43, Class SA, IF, IO, 5.79%, 6/20/2039 (h)		155		13

Series 2009-72, Class SM, IF, IO, 6.12%, 8/16/2039 (h)		355		44

Series 2010-31, Class NO, PO, 3/20/2040		560		516

Series 2013-75, Class WA, 5.13%, 6/20/2040 (h)		806		887

Series 2010-130, Class CP, 7.00%, 10/16/2040		100		114


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


Series 2010-157, Class OP, PO, 12/20/2040		591			545

Series 2011-75, Class SM, IF, IO, 6.44%, 5/20/2041 (h)		506			58

Series 2014-188, Class W, 4.57%, 10/20/2041 (h)		330			354

Series 2012-141, Class WC, 3.72%, 1/20/2042 (h)		194			204

Series 2013-54, Class WA, 4.88%, 11/20/2042 (h)		1,246			1,370

Series 2013-91, Class WA, 4.48%, 4/20/2043 (h)		620			658

Series 2013-116, Class JY, 4.00%, 8/16/2043		1,300			1,458

Series 2018-160, Class PA, 3.50%, 7/20/2046		1,887			1,929

Series 2012-H24, Class FG, 0.53%, 4/20/2060 (h)		9			9

Series 2013-H03, Class FA, 0.40%, 8/20/2060 (h)		1			1

Series 2012-H21, Class CF, 0.80%, 5/20/2061 (h)		11			11

Series 2013-H05, Class FB, 0.50%, 2/20/2062 (h)		10			10

Series 2012-H15, Class FA, 0.55%, 5/20/2062 (h)		—	(i)		—	(i)

Series 2012-H26, Class MA, 0.65%, 7/20/2062 (h)		3			3

Series 2012-H28, Class FA, 0.68%, 9/20/2062 (h)		5			5

Series 2012-H29, Class FA, 0.62%, 10/20/2062 (h)		498			499

Series 2012-H31, Class FD, 0.44%, 12/20/2062 (h)		768			767

Series 2013-H01, Class FA, 1.65%, 1/20/2063		4			4

Series 2013-H08, Class FC, 0.55%, 2/20/2063 (h)		613			613

Series 2013-H04, Class BA, 1.65%, 2/20/2063		10			10

Series 2013-H07, Class HA, 0.00%, 3/20/2063 (h)		606			606

Series 2013-H09, Class HA, 1.65%, 4/20/2063		12			12

Series 2013-H18, Class JA, 0.70%, 8/20/2063 (h)		1,172			1,175

Series 2014-H01, Class FD, 0.75%, 1/20/2064 (h)		919			922


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2014-H09, Class TA, 0.70%, 4/20/2064 (h)		935			938

Series 2015-H15, Class FD, 0.54%, 6/20/2065 (h)		1,222			1,224

Series 2015-H15, Class FJ, 0.54%, 6/20/2065 (h)		2,785			2,789

Series 2015-H16, Class FG, 0.54%, 7/20/2065 (h)		1,793			1,795

Series 2015-H23, Class FB, 0.62%, 9/20/2065 (h)		1,840			1,846

Series 2015-H32, Class FH, 0.76%, 12/20/2065 (h)		1,394			1,405

Series 2017-H08, Class XI, IO, 2.19%, 3/20/2067 (h)		5,878			472

GSMPS Mortgage Loan Trust

Series 2001-2, Class A, 7.50%, 6/19/2032 (b) (h)		343			335

Series 2005-RP3, Class 1AF, 0.54%, 9/25/2035 (b) (h)		584			507

Series 2005-RP3, Class 1AS, IO, 4.11%, 9/25/2035 ‡ (b) (h)		441			35

Series 2006-RP2, Class 1AS2, IF, IO, 4.18%, 4/25/2036 ‡ (b) (h)		1,785			211

GSR Mortgage Loan Trust

Series 2004-6F, Class 3A4, 6.50%, 5/25/2034		97			100

Series 2004-8F, Class 2A3, 6.00%, 9/25/2034		55			56

Series 2004-13F, Class 3A3, 6.00%, 11/25/2034		196			202

Series 2005-4F, Class AP, PO, 5/25/2035 ‡		—	(i)		—	(i)

Series 2005-7F, Class 3A9, 6.00%, 9/25/2035		354			360

Series 2006-1F, Class 2A4, 6.00%, 2/25/2036		758			489

Impac CMB Trust

Series 2004-7, Class 1A1, 0.93%, 11/25/2034 (h)		413			417

Series 2005-4, Class 2A1, 0.79%, 5/25/2035 (h)		100			99

Impac Secured Assets Trust Series 2006-1, Class 2A1, 0.89%, 5/25/2036 (h)		59			59

JPMorgan Mortgage Trust

Series 2006-A2, Class 5A3, 2.27%, 11/25/2033 (h)		171			173

Series 2006-A2, Class 4A1, 2.22%, 8/25/2034 (h)		148			155

Series 2006-A3, Class 6A1, 2.61%, 8/25/2034 (h)		45			45


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


Lehman Mortgage Trust

Series 2006-2, Class 1A1, 5.93%, 4/25/2036 (h)		215			175

Series 2008-2, Class 1A6, 6.00%, 3/25/2038		451			209

LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 9/25/2026 (b) (h)		2,075			2,024

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 2.62%, 4/21/2034 (h)		91			91

Series 2004-4, Class 2A1, 1.94%, 5/25/2034 (h)		30			30

Series 2004-13, Class 3A7, 2.76%, 11/21/2034 (h)		224			225

Series 2004-15, Class 3A1, 2.43%, 12/25/2034 (h)		49			48

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		3			3

Series 2004-8, Class 6A1, 5.50%, 9/25/2019		2			2

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		78			78

Series 2003-3, Class 1A1, 6.50%, 5/25/2033		97			100

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		196			202

Series 2004-3, Class 2A1, 6.25%, 4/25/2034		135			139

Series 2004-6, Class 30, PO, 7/25/2034 ‡		113			93

Series 2004-6, Class 7A1, 6.00%, 7/25/2034		205			214

Series 2004-7, Class 30, PO, 8/25/2034 ‡		66			54

MASTR Asset Securitization Trust

Series 2004-6, Class 15, PO, 7/25/2019 ‡		—	(i)		—	(i)

Series 2003-12, Class 30, PO, 12/25/2033 ‡		10			10

Series 2004-1, Class 30, PO, 2/25/2034 ‡		8			6

MASTR Reperforming Loan Trust Series 2005-2, Class 1A1F, 0.54%, 5/25/2035 (b) (h)		1,257			646

MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b)		63			52

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 0.81%, 10/25/2028 (h)		47			47

Series 2003-F, Class A1, 0.83%, 10/25/2028 (h)		408			401


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2004-A, Class A1, 0.65%, 4/25/2029 (h)		79			77

Series 2004-1, Class 2A1, 2.07%, 12/25/2034 (h)		125			126

MRA Issuance Trust

Series 2021-EBO5, Class A1X, 1.83%, 2/15/2023 (b) (h)		6,700			6,700

Series 2021-EBO7, Class A1X, 2.86%, 2/15/2023 (b) (h)		6,700			6,700

Series 2021-EBO2, Class A, 2.84%, 12/31/2049 (b) (h)		6,500			6,500

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (h)		182			175

Nomura Asset Acceptance Corp. Alternative Loan Trust

Series 2003-A1, Class A5, 7.00%, 4/25/2033		34			37

Series 2003-A1, Class A1, 5.50%, 5/25/2033		10			10

Series 2003-A1, Class A2, 6.00%, 5/25/2033		35			36

P4 SFR Series 2019-STlA, 7.25%, 10/11/2026 ‡		2,600			2,600

PRPM LLC Series 2021-1, Class A1, 2.12%, 1/25/2026 (b) (h)		3,594			3,530

RALI Trust

Series 2002-QS16, Class A3, IF, 16.23%, 10/25/2017 (h)		—	(i)		—	(i)

Series 2003-QS12, Class A5, IO, 5.00%, 6/25/2018 ‡		—	(i)		—

Series 2003-QS12, Class A2A, IF, IO, 7.41%, 6/25/2018 ‡ (h)		—	(i)		—	(i)

Series 2003-QS14, Class A1, 5.00%, 7/25/2018		6			5

Series 2004-QA6, Class NB2, 2.89%, 12/26/2034 (h)		420			415

RFMSI Trust

Series 2004-S9, Class 2A1, 4.75%, 12/25/2019		—	(i)		—	(i)

Series 2005-SA4, Class 1A1, 2.26%, 9/25/2035 (h)		40			34

RMIP Series 2019-1B, 4.71%, 8/25/2023 ‡		1,126			1,109

SART Series 2017-1, 4.75%, 7/15/2024		1,216			1,232

Seasoned Credit Risk Transfer Trust

Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡		2,955			3,089

Series 2019-3, Class MB, 3.50%, 10/25/2058 ‡		1,722			1,833


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


Sonoran Auto Receivables Trust Series 2018-1, 4.76%, 6/15/2025		1,276		1,297

Structured Asset Mortgage Investments II Trust Series 2004-AR5, Class 1A1, 0.82%, 10/19/2034 (h)		177		174

Thornburg Mortgage Securities Trust

Series 2003-4, Class A1, 0.83%, 9/25/2043 (h)		87		89

Series 2004-4, Class 3A, 1.90%, 12/25/2044 (h)		190		190

Toorak Mortgage Corp. Ltd. Series 2019-2, Class A1, 3.72%, 9/25/2022 (e)		1,501		1,503

Towd Point Mortgage Trust Series 2021-R1, Class A1, 2.92%, 11/30/2060 (b) (h)		5,830		5,772

Two Harbors Series 2021-FNTMSR1, Class A, IO, 4.00%, 3/25/2022 (h)		6,600		6,603

Vendee Mortgage Trust

Series 1994-1, Class 1, 4.92%, 2/15/2024 (h)		42		42

Series 1994-1, Class 2ZB, 6.50%, 2/15/2024		60		62

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		136		147

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		102		110

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		195		212

Series 1998-1, Class 2E, 7.00%, 3/15/2028		246		264

Series 1999-1, Class 2Z, 6.50%, 1/15/2029		515		551

Series 2003-2, Class Z, 5.00%, 5/15/2033		2,221		2,401

vMobo, Inc. 7.50%, 5/31/2024		3,100		3,100

WaMu Mortgage Pass-Through Certificates Series 2004-RS2, Class A4, 5.00%, 11/25/2033		377		382

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR8, Class A, 2.70%, 8/25/2033 (h)		28		29

Series 2003-AR9, Class 2A, 2.37%, 9/25/2033 (h)		38		38

Series 2003-AR9, Class 1A6, 2.52%, 9/25/2033 (h)		491		488

Series 2003-S9, Class P, PO, 10/25/2033 ‡		17		15

Series 2003-S9, Class A8, 5.25%, 10/25/2033		256		259

Series 2004-AR3, Class A1, 2.60%, 6/25/2034 (h)		34		35

Series 2004-AR3, Class A2, 2.60%, 6/25/2034 (h)		28		29

Series 2006-AR10, Class 2P, 2.74%, 9/25/2036 ‡ (h)		54		51

Series 2006-AR12, Class 2P, 2.59%, 10/25/2036 ‡ (h)		44		42


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust

Series 2005-2, Class 2A3, IF, IO, 4.81%, 4/25/2035 ‡ (h)		508		56

Series 2005-2, Class 1A4, IF, IO, 4.86%, 4/25/2035 ‡ (h)		2,342		238

Series 2005-3, Class CX, IO, 5.50%, 5/25/2035 ‡		709		118

Series 2005-4, Class CB7, 5.50%, 6/25/2035		722		724

Series 2005-4, Class CX, IO, 5.50%, 6/25/2035 ‡		623		102

Series 2005-6, Class 2A4, 5.50%, 8/25/2035		122		118

Series 2005-6, Class 2A9, 5.50%, 8/25/2035		782		757

Wells Fargo Mortgage-Backed Securities Trust Series 2007-7, Class A7, 6.00%, 6/25/2037		117		115

ZH Trust Series 2021-1, Class A, 2.25%, 2/18/2027 (b)		1,830		1,814

Zillow Cspa 0.00%, 7/15/2022		809		809


Total Collateralized Mortgage Obligations (Cost $225,331)				233,193

Asset-Backed Securities — 11.0%

Academic Loan Funding Trust Series 2013-1A, Class A, 0.99%, 12/26/2044 (b) (h)		710		702

Air Canada Pass-Through Trust (Canada)

Series 2013-1, Class A, 4.13%, 5/15/2025 (b)		520		523

Series 2015-2, Class AA, 3.75%, 12/15/2027 (b)		198		201

Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)		403		400

Series 2017-1, Class A, 3.55%, 1/15/2030 (b)		570		553

American Airlines Pass-Through Trust

Series 2016-3, Class AA, 3.00%, 10/15/2028		316		313

Series 2017-1, Class AA, 3.65%, 2/15/2029		428		438

American Homes 4 Rent

Series 2015-SFR1, Class A, 3.47%, 4/17/2052 (b)		3,714		3,784

Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (b)		1,275		1,335

American Homes 4 Rent Trust

Series 2014-SFR2, Class A, 3.79%, 10/17/2036 (b)		3,472		3,537


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


Series 2014-SFR2, Class D, 5.15%, 10/17/2036 (b)		2,000		2,063

Series 2014-SFR2, Class E, 6.23%, 10/17/2036 (b)		850		895

Series 2014-SFR3, Class A, 3.68%, 12/17/2036 (b)		2,592		2,621

Series 2014-SFR3, Class C, 4.60%, 12/17/2036 (b)		500		510

Series 2014-SFR3, Class E, 6.42%, 12/17/2036 ‡ (b)		2,380		2,505

American Tower Trust #1 REIT, 3.07%, 3/15/2023 (b)		750		752

AMSR Trust

Series 2020-SFR2, Class C, 2.53%, 7/17/2037 ‡ (b)		3,500		3,409

Series 2020-SFR4, Class C, 1.86%, 11/17/2037 ‡ (b)		4,000		3,786

Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 ‡ (b)		2,168		2,015

British Airways Pass-Through Trust (United Kingdom)

Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)		494		502

Series 2018-1, Class A, 4.13%, 9/20/2031 (b)		793		785

Series 2019-1, Class AA, 3.30%, 12/15/2032 (b)		654		654

Business Jet Securities LLC

Series 2019-1, Class A, 4.21%, 7/15/2034 (b)		869		868

Series 2019-1, Class B, 5.19%, 7/15/2034 ‡ (b)		1,927		1,901

Series 2020-1A, Class A, 2.98%, 11/15/2035 (b)		949		946

Series 2021-1A, Class A, 2.16%, 4/15/2036 (b)		3,146		3,030

Camillo Issuer LLC Series 2016-SFR, Class 1-A-1, 5.00%, 12/5/2023 ‡		4,742		4,836

Cars Net Lease Mortgage Notes Series 2020-1A, Class A3, 3.10%, 12/15/2050 (b)		800		785

Carvana Auto Receivables Trust

Series 2019-2A, Class C, 3.00%, 6/17/2024 (b)		3,369		3,383

Series 2019-3A, Class C, 2.71%, 10/15/2024 (b)		5,240		5,264

Cfine LLC Series 2022-RTL1, Class AA, 3.25%, 2/16/2026 (b)		4,200		4,200


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

CFMT LLC Series 2020-HB4, Class A, 0.95%, 12/26/2030 (b) (h)		2,609		2,596

Chase Funding Trust Series 2003-6, Class 1A7, 5.28%, 11/25/2034 ‡ (e)		280		288

Citibank Credit Card Issuance Trust Series 2007-A3, Class A3, 6.15%, 6/15/2039		800		1,063

Consumer Receivables Asset Investment Trust Series 2021-1, Class A1X, 3.26%, 3/24/2023 (b) (h)		2,810		2,781

Continental Airlines Pass-Through Trust Series 2007-1, Class A, 5.98%, 4/19/2022		75		75

Continental Finance Credit Card ABS Master Trust Series 2020-1A, Class A, 2.24%, 12/15/2028 (b)		2,070		2,030

CoreVest American Finance Trust

Series 2019-2, Class D, 4.22%, 6/15/2052 ‡ (b)		2,000		1,970

Series 2020-3, Class B, 2.20%, 8/15/2053 ‡ (b)		2,855		2,575

CPS Auto Trust Series 2018-C, Class D, 4.40%, 6/17/2024 (b)		1,800		1,817

Credit Acceptance Auto Loan Trust Series 2021-2A, Class C, 1.64%, 6/17/2030 (b)		7,280		7,060

Credit Suisse ABS Trust Series 2020-AT1, Class A, 2.61%, 10/15/2026 (b)		1,739		1,724

CWABS, Inc. Asset-Backed Certificates Trust Series 2004-6, Class M1, 1.09%, 10/25/2034 (h)		71		70

DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (b)		2,700		2,584

Delta Air Lines Pass-Through Trust Series 2015-1, Class AA, 3.63%, 7/30/2027		237		243

Diamond Resorts Owner Trust Series 2019-1A, Class A, 2.89%, 2/20/2032 (b)		1,939		1,944

Diversified Abs Phase III LLC 4.88%, 4/28/2039 ‡		5,750		5,750

Drive Auto Receivables Trust Series 2019-4, Class C, 2.51%, 11/17/2025		1,157		1,162

Exeter Automobile Receivables Trust

Series 2019-4A, Class C, 2.44%, 9/16/2024 (b)		1,214		1,217

Series 2019-3A, Class D, 3.11%, 8/15/2025 (b)		3,540		3,592

FirstKey Homes Trust

Series 2020-SFR2, Class E, 2.67%, 10/19/2037 ‡ (b)		3,000		2,849


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


Series 2021-SFR1, Class D, 2.19%, 8/17/2038 ‡ (b)		4,000		3,747

FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027		4,843		5,004

Foundation Finance Trust Series 2019-1A, Class A, 3.86%, 11/15/2034 (b)		541		550

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (h)		50		44

Gold Key Resorts LLC Series 2014-A, Class A, 3.22%, 3/17/2031 (b)		88		88

Goodgreen Series 2019-2A, Class A, 2.76%, 4/15/2055 (b)		1,697		1,665

Goodgreen Trust Series 2017-1A, Class A, 3.74%, 10/15/2052 (b)		361		364

HERO (Cayman Islands) Series 2018-1ASI, Class A, 4.00%, 9/20/2047 (b)		107		107

HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 (b)		997		1,006

HERO Funding Trust (Cayman Islands)

Series 2016-3A, Class A1, 3.08%, 9/20/2042 (b)		406		410

Series 2017-1A, Class A2, 4.46%, 9/20/2047 (b)		1,004		1,031

Hilton Grand Vacations Trust Series 2017-AA, Class A, 2.66%, 12/26/2028 (b)		93		93

KGS-Alpha SBA COOF Trust

Series 2012-2, Class A, IO, 0.84%, 8/25/2038 ‡ (b) (h)		1,782		33

Series 2013-2, Class A, IO, 1.76%, 3/25/2039 ‡ (b) (h)		1,734		65

Series 2015-2, Class A, IO, 3.28%, 7/25/2041 ‡ (b) (h)		689		74

LendingPoint Asset Securitization Trust Series 2020-REV1, Class A, 2.73%, 10/15/2028 (b)		5,537		5,517

Lendmark Funding Trust Series 2019-1A, Class B, 3.40%, 12/20/2027 ‡ (b)		3,319		3,341

LP LMS Asset Securitization Trust 3.23%, 10/15/2028		3,026		3,031

Mercury Financial Credit Card Master Trust Series 2021-1A, Class A, 1.54%, 3/20/2026 (b)		2,330		2,306

Mid-State Capital Corp. Trust Series 2006-1, Class M1, 6.08%, 10/15/2040 ‡ (b)		467		485

MVW LLC Series 2019-2A, Class B, 2.44%, 10/20/2038 ‡ (b)		2,033		2,014


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

New Century Home Equity Loan Trust Series 2003-5, Class AI6, 4.86%, 11/25/2033 ‡ (e)		264		263

NRZ Excess Spread-Collateralized Notes

Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (b)		1,407		1,395

Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (b)		6,347		6,132

Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (b)		3,689		3,652

OneMain Direct Auto Receivables Trust Series 2018-1A, Class B, 3.71%, 4/14/2025 (b)		1,511		1,513

Oportun Funding XIII LLC Series 2019-A, Class A, 3.08%, 8/8/2025 (b)		3,010		3,027

Pagaya AI Debt Selection Trust Series 2021-1, Class A, 1.18%, 11/15/2027 (b)		5,067		5,026

PRET LLC

Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 ‡ (b) (e)		3,851		3,773

Series 2021-RN3, Class A1, 1.84%, 9/25/2051 ‡ (b) (e)		4,383		4,257

Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (b) (h)		6,961		6,874

Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (b) (e)		4,238		4,151

Progress Residential Trust

Series 2020-SFR3, Class C, 1.70%, 10/17/2027 ‡ (b)		3,250		3,033

Series 2019-SFR4, Class D, 3.14%, 10/17/2036 ‡ (b)		5,000		4,895

Series 2021-SFR6, Class E1, 2.43%, 7/17/2038 (b)		3,446		3,171

Renaissance Home Equity Loan Trust Series 2007-2, Class AF2, 5.68%, 6/25/2037 ‡ (e)		287		108

Renew (Cayman Islands) Series 2017-1A, Class A, 3.67%, 9/20/2052 (b)		446		449

Santander Retail Auto Lease Trust Series 2020-A, Class A4, 1.76%, 3/20/2024 (b)		3,955		3,970

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (e)		163		164

Sierra Timeshare Receivables Funding LLC Series 2019-2A, Class C, 3.12%, 5/20/2036 ‡ (b)		1,137		1,133


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


Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		311		308

Synchrony Card Funding LLC

Series 2019-A1, Class A, 2.95%, 3/15/2025		4,681		4,686

Series 2019-A2, Class A, 2.34%, 6/15/2025		5,000		5,022

Tricolor Auto Securitization Trust Series 2020-1A, Class A, 4.88%, 11/15/2026 (b)		1,007		1,010

United Airlines Pass-Through Trust

Series 2016-2, Class B, 3.65%, 10/7/2025		986		963

Series 2018-1, Class B, 4.60%, 3/1/2026		563		567

Series 2016-1, Class A, 3.45%, 7/7/2028		599		588

Series 2016-2, Class A, 3.10%, 10/7/2028		1,053		1,027

Series 2018-1, Class AA, 3.50%, 3/1/2030		911		924

Series 2018-1, Class A, 3.70%, 3/1/2030		1,413		1,396

Series 2019-1, Class AA, 4.15%, 8/25/2031		892		955

Series 2019-1, Class A, 4.55%, 8/25/2031		797		847

Series 2019-2, Class AA, 2.70%, 5/1/2032		1,229		1,188

Upstart Securitization Trust Series 2020-1, Class A, 2.32%, 4/22/2030 (b)		226		227

VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (e)		2,184		2,145

VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (e)		5,304		5,192

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e)		3,786		3,719

VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e)		3,182		3,127

VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e)		3,236		3,178

Westlake Automobile Receivables Trust Series 2019-2A, Class D, 3.20%, 11/15/2024 (b)		2,500		2,529

World Omni Auto Receivables Trust Series 2018-B, Class A3, 2.87%, 7/17/2023		106		106


Total Asset-Backed Securities (Cost $231,594)				228,551

Commercial Mortgage-Backed Securities — 3.9%

BAMLL Commercial Mortgage Securities Trust

Series 2012-PARK, Class A, 2.96%, 12/10/2030 (b)		560		563

Series 2014-520M, Class C, 4.21%, 8/15/2046 ‡ (b) (h)		1,300		1,284


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

BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b)		4,400		4,438

Bear Stearns Commercial Mortgage Securities Trust Series 2005-PWR8, Class X1, IO, 0.72%, 6/11/2041 ‡ (b) (h)		9		-	(i)

Commercial Mortgage Trust

Series 2013-300P, Class A1, 4.35%, 8/10/2030 (b)		3,500		3,573

Series 2013-SFS, Class A2, 2.99%, 4/12/2035 (b) (h)		1,060		1,062

Series 2012-CR2, Class XA, IO, 1.61%, 8/15/2045 ‡ (h)		2,147		-	(i)

FHLMC Multi-Family WI Certificates Series K138, Class AM, 1.89%, 3/25/2032		1,850		1,769

FHLMC, Multi-Family Structured Credit Risk Series 2021-MN2, Class M1, 1.85%, 7/25/2041 (b) (h)		6,256		5,964

FHLMC, Multi-Family Structured Pass-Through Certificates

Series KJ09, Class A2, 2.84%, 9/25/2022		543		546

Series KS01, Class A2, 2.52%, 1/25/2023		787		790

Series KPLB, Class A, 2.77%, 5/25/2025		353		361

Series K052, Class A2, 3.15%, 11/25/2025		3,560		3,698

Series K065, Class A2, 3.24%, 4/25/2027		2,467		2,593

Series K065, Class AM, 3.33%, 5/25/2027		1,322		1,394

Series K070, Class A2, 3.30%, 11/25/2027 (h)		1,748		1,848

FNMA ACES

Series 2014-M3, Class A2, 3.50%, 1/25/2024 (h)		700		716

Series 2017-M3, Class A2, 2.47%, 12/25/2026 (h)		1,000		1,020

Series 2015-M10, Class A2, 3.09%, 4/25/2027 (h)		8,397		8,771

Series 2017-M8, Class A2, 3.06%, 5/25/2027 (h)		3,716		3,876

Series 2018-M8, Class A2, 3.32%, 6/25/2028 (h)		2,580		2,747

Series 2018-M10, Class A2, 3.36%, 7/25/2028 (h)		3,335		3,561

Series 2017-M5, Class A2, 3.12%, 4/25/2029 (h)		3,152		3,330

Series 2020-M50, Class A1, 0.67%, 10/25/2030		2,810		2,672

Series 2020-M50, Class A2, 1.20%, 10/25/2030		1,325		1,254

Series 2020-M50, Class X1, IO, 1.91%, 10/25/2030 (h)		21,391		2,107


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


Series 2021-M3, Class 1A1, 1.00%, 11/25/2033		628		603

Series 2021-M3, Class X1, IO, 1.98%, 11/25/2033 (h)		3,734		465

FREMF Mortgage Trust Series 2014-K39, Class C, 4.15%, 8/25/2047 (b) (h)		4,650		4,793

Ladder Capital Commercial Mortgage Trust Series 2013-GCP, Class A2, 3.99%, 2/15/2036 (b)		998		1,040

LB-UBS Commercial Mortgage Trust Series 2006-C7, Class XW, IO, 0.64%, 11/15/2038 ‡ (b) (h)		335		-	(i)

MRCD MARK Mortgage Trust

Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)		2,050		2,034

Series 2019-PARK, Class D, 2.72%, 12/15/2036 (b)		2,685		2,563

RBS Commercial Funding, Inc. Trust Series 2013-SMV, Class A, 3.26%, 3/11/2031 (b)		664		667

SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b)		3,935		3,810

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)		2,236		2,234

UBS-Barclays Commercial Mortgage Trust

Series 2013-C6, Class A4, 3.24%, 4/10/2046		857		865

Series 2012-C2, Class XA, IO, 1.25%, 5/10/2063 ‡ (b) (h)		5,610		8

VNDO Mortgage Trust Series 2012-6AVE, Class A, 3.00%, 11/15/2030 (b)		1,398		1,408

WFRBS Commercial Mortgage Trust Series 2013-C11, Class D, 4.24%, 3/15/2045 ‡ (b) (h)		400		392


Total Commercial Mortgage-Backed Securities (Cost $80,264)				80,819

U.S. Government Agency Securities — 0.7%

Tennessee Valley Authority

5.88%, 4/1/2036		6,839		9,646

4.63%, 9/15/2060		304		427

Tennessee Valley Authority STRIPS

DN, 3.95%, 11/1/2025 (a)		5,000		4,634

DN, 5.27%, 6/15/2035 (a)		800		569


Total U.S. Government Agency Securities (Cost $13,929)				15,276


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Municipal Bonds — 0.6% (l)

California — 0.1%

City of Los Angeles Department of Airports, Federally Taxable Build America Bonds Direct Payment to Issuer Series 2009C, Rev., 6.58%, 5/15/2039		440		571

State of California, Various Purpose GO, 7.30%, 10/1/2039		350		519


Total California				1,090


New York — 0.3%

New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2010-D, Rev., 5.60%, 3/15/2040		360		461

Port Authority of New York and New Jersey, Consolidated

Series 164, Rev., 5.65%, 11/1/2040		1,825		2,364

Series 165, Rev., 5.65%, 11/1/2040		440		569

Series 174, Rev., 4.46%, 10/1/2062		2,060		2,470


Total New York				5,864


Ohio — 0.2%

American Municipal Power, Inc., Meldahl Hydroelectric Project Series 2010B, Rev., 7.50%, 2/15/2050		1,315		2,069

Ohio State University (The), General Receipts

Series 2016A, Rev., 4.05%, 12/1/2056		325		390

Series 2011-A, Rev., 4.80%, 6/1/2111		1,563		2,132

Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114		200		297


Total Ohio				4,888


Total Municipal Bonds (Cost $9,143)				11,842

Foreign Government Securities — 0.5%

Kingdom of Saudi Arabia (Saudi Arabia)

2.25%, 2/2/2033 (b)		622		586

3.45%, 2/2/2061 (b)		550		501

Province of Quebec (Canada) 7.36%, 3/6/2026 (e)		377		449

Republic of Chile (Chile) 2.55%, 1/27/2032		497		467

Republic of Panama (Panama) 4.50%, 4/16/2050		325		316

Republic of Peru (Peru) 5.63%, 11/18/2050		88		110

Republic of South Africa (South Africa) 5.88%, 9/16/2025		640		682

United Mexican States (Mexico)

4.13%, 1/21/2026		316		334

3.75%, 1/11/2028		1,216		1,253

2.66%, 5/24/2031		1,075		985


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


3.50%, 2/12/2034		1,252		1,173

4.60%, 1/23/2046		2,113		2,029

3.77%, 5/24/2061		772		622


Total Foreign Government Securities (Cost $10,019)				9,507

Loan Assignments — 0.2% (m)

Diversified Financial Services — 0.2%

Onesky 1st Lien Term Loan (3-MONTH SOFR + 3.00%) 3.88%, 1/15/2031 (d) (Cost $3,539)		3,500		3,514


	SHARES (000)
Short-Term Investments — 3.9%

Investment Companies — 3.9%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (n) (o) (Cost $80,982)		80,963		80,987

Total Investments — 102.7% (Cost $2,139,683)				2,129,821
Liabilities in Excess of Other Assets — (2.7)%				(55,869	)

NET ASSETS — 100.0%				2,073,952

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, 2022.
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, 2022. 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.
REIT		Real Estate Investment Trust
REMIC		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)		The rate shown is the effective yield as of February 28, 2022.
(b)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.



(c)		Amount rounds to less than 0.1% of net assets.
(d)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2022.
(e)		Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2022.
(f)		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, 2022.
(g)		Security is an interest bearing note with preferred security characteristics.
(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, 2022.
(i)		Amount rounds to less than one thousand.
(j)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(k)		Defaulted security.
(l)		The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
(m)		Loan assignments are presented by obligor. Each series or loan tranche underlying each obligor may have varying terms.
(n)		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.
(o)		The rate shown is the current yield as of February 28, 2022.
‡		Value determined using significant unobservable inputs.


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Corporate Bonds — 29.2%

Aerospace & Defense — 1.1%

Boeing Co. (The)

1.43%, 2/4/2024		70		69

4.88%, 5/1/2025		54		57

2.20%, 2/4/2026		86		84

3.10%, 5/1/2026		250		252

L3Harris Technologies, Inc. 3.85%, 12/15/2026		70		74

Leidos, Inc. 2.30%, 2/15/2031		100		90

Northrop Grumman Corp. 2.93%, 1/15/2025		150		153

Raytheon Technologies Corp. 4.13%, 11/16/2028		100		108

Textron, Inc. 3.00%, 6/1/2030		100		98


				985


Auto Components — 0.0% (a)

Lear Corp. 2.60%, 1/15/2032		14		13


Automobiles — 0.7%

Daimler Finance North America LLC (Germany) 2.13%, 3/10/2025 (b)		150		149

General Motors Co. 6.13%, 10/1/2025		50		55

Hyundai Capital America 2.85%, 11/1/2022 (b)		200		201

Nissan Motor Co. Ltd. (Japan) 4.35%, 9/17/2027 (b)		200		207


				612


Banks — 3.8%

Bank of America Corp.

3.30%, 1/11/2023		90		92

(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (c)		42		43

Series L, 3.95%, 4/21/2025		154		160

(SOFR + 1.15%), 1.32%, 6/19/2026 (c)		60		57

(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c)		250		256

Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c)		250		239

Canadian Imperial Bank of Commerce (Canada) 3.10%, 4/2/2024		150		153

Citigroup, Inc.

4.40%, 6/10/2025		115		121

4.45%, 9/29/2027		50		53

(SOFR + 1.15%), 2.67%, 1/29/2031 (c)		350		338

Citizens Financial Group, Inc. 2.64%, 9/30/2032		50		46

Fifth Third Bancorp 2.38%, 1/28/2025		64		64

HSBC Holdings plc (United Kingdom) (SOFR + 1.40%), 2.63%, 11/7/2025 (c)		200		199

(SOFR + 1.29%), 1.59%, 5/24/2027 (c)		200		189


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


Banks — continued

Lloyds Banking Group plc (United Kingdom) 3.75%, 1/11/2027		250		259

Mitsubishi UFJ Financial Group, Inc. (Japan) 2.19%, 2/25/2025		225		223

Societe Generale SA (France) 4.25%, 4/14/2025 (b)		200		205

Standard Chartered plc (United Kingdom) 5.20%, 1/26/2024 (b)		200		208

US Bancorp Series X, 3.15%, 4/27/2027		68		71

Wells Fargo & Co.

3.00%, 2/19/2025		99		101

4.10%, 6/3/2026		21		22

4.30%, 7/22/2027		30		32

(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c)		170		176


				3,307


Beverages — 0.4%

Anheuser-Busch InBev Worldwide, Inc. (Belgium) 4.75%, 1/23/2029		165		183

Constellation Brands, Inc. 2.88%, 5/1/2030		11		11

Keurig Dr Pepper, Inc.

4.42%, 5/25/2025		75		79

4.60%, 5/25/2028		50		55

PepsiCo, Inc. 1.63%, 5/1/2030		33		31


				359


Biotechnology — 0.4%

AbbVie, Inc. 4.25%, 11/14/2028		100		108

Amgen, Inc.

1.65%, 8/15/2028		43		40

3.35%, 2/22/2032		35		36

Baxalta, Inc. 3.60%, 6/23/2022		23		23

Biogen, Inc. 2.25%, 5/1/2030		40		37

Gilead Sciences, Inc.

3.50%, 2/1/2025		25		26

3.65%, 3/1/2026		57		59

Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030		28		25


				354


Capital Markets — 1.8%

Blackstone Secured Lending Fund 3.65%, 7/14/2023		55		56

Brookfield Finance, Inc. (Canada) 4.85%, 3/29/2029		47		52

Charles Schwab Corp. (The) 3.23%, 9/1/2022		40		40


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

Capital Markets — continued

Deutsche Bank AG (Germany) (SOFR + 1.72%), 3.04%, 5/28/2032 (c)		150		141

Goldman Sachs Group, Inc. (The) (SOFR + 0.82%), 1.54%, 9/10/2027 (c)		150		141

(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c)		149		154

(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c)		80		85

Invesco Finance plc 3.75%, 1/15/2026		125		131

Macquarie Bank Ltd. (Australia) 4.00%, 7/29/2025 (b)		100		105

Morgan Stanley (SOFR + 0.47%), 0.56%, 11/10/2023 (c)		83		82

(SOFR + 0.88%), 1.59%, 5/4/2027 (c)		127		121

(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c)		150		156

(SOFR + 1.03%), 1.79%, 2/13/2032 (c)		90		80

Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (c)		17		17

UBS Group AG (Switzerland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c)		200		191


				1,552


Chemicals — 0.3%

International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b)		40		38

LYB International Finance III LLC 2.25%, 10/1/2030		75		70

Mosaic Co. (The) 3.25%, 11/15/2022		21		21

PPG Industries, Inc. 1.20%, 3/15/2026		37		35

RPM International, Inc. 2.95%, 1/15/2032		17		17

Sherwin-Williams Co. (The) 3.30%, 2/1/2025		110		113


				294


Commercial Services & Supplies — 0.2%

Republic Services, Inc. 3.38%, 11/15/2027		200		206


Construction & Engineering — 0.1%

Quanta Services, Inc.

2.90%, 10/1/2030		21		20

2.35%, 1/15/2032		69		63


				83


Construction Materials — 0.1%

Martin Marietta Materials, Inc. 3.45%, 6/1/2027		78		81


Consumer Finance — 1.2%

AerCap Ireland Capital DAC (Ireland)

3.50%, 5/26/2022		150		151


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


Consumer Finance — continued

4.13%, 7/3/2023		200		204

Avolon Holdings Funding Ltd. (Ireland)

3.95%, 7/1/2024 (b)		120		123

4.25%, 4/15/2026 (b)		90		92

2.53%, 11/18/2027 (b)		334		314

General Motors Financial Co., Inc. 2.35%, 1/8/2031		200		181


				1,065


Containers & Packaging — 0.3%

Graphic Packaging International LLC 1.51%, 4/15/2026 (b)		41		39

Packaging Corp. of America 3.00%, 12/15/2029		100		101

WRKCo, Inc. 3.00%, 9/15/2024		80		81


				221


Diversified Financial Services — 1.2%

Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (b)		10		10

National Rural Utilities Cooperative Finance Corp. 2.30%, 9/15/2022		200		201

ORIX Corp. (Japan) 2.90%, 7/18/2022		81		82

Private Export Funding Corp.

Series EE, 2.80%, 5/15/2022		500		502

Series KK, 3.55%, 1/15/2024		200		207


				1,002


Diversified Telecommunication Services — 0.7%

AT&T, Inc. 7.88%, 2/15/2030		250		328

Verizon Communications, Inc.

2.10%, 3/22/2028		25		24

4.50%, 8/10/2033		208		231


				583


Electric Utilities — 2.0%

American Electric Power Co., Inc. 2.30%, 3/1/2030		100		94

Baltimore Gas and Electric Co. 2.80%, 8/15/2022		43		43

Commonwealth Edison Co. Series 122, 2.95%, 8/15/2027		200		205

DTE Electric Co. 2.65%, 6/15/2022		20		20

Duke Energy Corp. 3.75%, 4/15/2024		150		155

Duquesne Light Holdings, Inc.

2.53%, 10/1/2030 (b)		51		48

2.78%, 1/7/2032 (b)		14		13

Edison International 4.13%, 3/15/2028		50		51

Entergy Mississippi LLC 2.85%, 6/1/2028		186		186


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

Electric Utilities — continued

Evergy Metro, Inc. 3.15%, 3/15/2023		47		48

Fells Point Funding Trust 3.05%, 1/31/2027 (b)		100		99

ITC Holdings Corp. 2.95%, 5/14/2030 (b)		39		38

NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/2027		89		92

Niagara Mohawk Power Corp.

3.51%, 10/1/2024 (b)		28		29

1.96%, 6/27/2030 (b)		29		27

NRG Energy, Inc. 2.45%, 12/2/2027 (b)		37		35

OGE Energy Corp. 0.70%, 5/26/2023		18		18

Pacific Gas and Electric Co.

3.25%, 2/16/2024		100		101

4.55%, 7/1/2030		75		77

Pennsylvania Electric Co. 3.25%, 3/15/2028 (b)		132		132

SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038		25		23

Southern Co. (The) Series 21-B, 1.75%, 3/15/2028		167		156

Virginia Electric and Power Co. 3.45%, 2/15/2024		21		22


				1,712


Electrical Equipment — 0.2%

Eaton Corp. 3.10%, 9/15/2027		140		144


Electronic Equipment, Instruments & Components — 0.1%

Arrow Electronics, Inc.

4.50%, 3/1/2023		16		16

3.88%, 1/12/2028		100		104


				120


Energy Equipment & Services — 0.1%

Halliburton Co. 3.80%, 11/15/2025		2		2

Schlumberger Investment SA 2.65%, 6/26/2030		94		91


				93


Entertainment — 0.1%

Walt Disney Co. (The) 7.70%, 10/30/2025		50		59


Equity Real Estate Investment Trusts (REITs) — 2.5%

Alexandria Real Estate Equities, Inc. 2.00%, 5/18/2032		30		27

American Campus Communities Operating Partnership LP 2.25%, 1/15/2029		57		54

American Tower Corp.

5.00%, 2/15/2024		38		40

1.45%, 9/15/2026		72		69

1.50%, 1/31/2028		68		62


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


Equity Real Estate Investment Trusts (REITs) — continued

AvalonBay Communities, Inc.

3.35%, 5/15/2027		28		29

2.45%, 1/15/2031		100		98

Boston Properties LP 3.20%, 1/15/2025		152		155

Brixmor Operating Partnership LP

3.85%, 2/1/2025		50		51

2.25%, 4/1/2028		10		10

Corporate Office Properties LP 2.00%, 1/15/2029		26		24

Crown Castle International Corp. 2.25%, 1/15/2031		72		65

Equinix, Inc. 2.00%, 5/15/2028		37		35

Essex Portfolio LP 1.65%, 1/15/2031		53		47

Extra Space Storage LP 2.35%, 3/15/2032		100		92

Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b)		52		54

Healthcare Trust of America Holdings LP

3.10%, 2/15/2030		68		68

2.00%, 3/15/2031		29		26

Healthpeak Properties, Inc.

3.40%, 2/1/2025		3		3

2.13%, 12/1/2028		28		27

Kilroy Realty LP 2.65%, 11/15/2033		70		64

Life Storage LP 2.20%, 10/15/2030		25		23

Mid-America Apartments LP 1.70%, 2/15/2031		36		33

Office Properties Income Trust

2.65%, 6/15/2026		17		16

2.40%, 2/1/2027		70		65

3.45%, 10/15/2031		29		27

Physicians Realty LP 2.63%, 11/1/2031		37		35

Public Storage 2.25%, 11/9/2031		36		34

Realty Income Corp. 3.65%, 1/15/2028		150		157

Sabra Health Care LP 3.20%, 12/1/2031		52		48

Safehold Operating Partnership LP 2.80%, 6/15/2031		88		82

Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)		150		154

SITE Centers Corp. 3.63%, 2/1/2025		12		12

UDR, Inc. 2.10%, 8/1/2032		48		43

Ventas Realty LP

3.75%, 5/1/2024		44		45

3.50%, 2/1/2025		27		28

4.13%, 1/15/2026		17		18

3.25%, 10/15/2026		45		46

Welltower, Inc. 4.50%, 1/15/2024		100		104


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

Equity Real Estate Investment Trusts (REITs) — continued

WP Carey, Inc.

2.40%, 2/1/2031		12		11

2.25%, 4/1/2033		100		90


				2,171


Food & Staples Retailing — 0.2%

7-Eleven, Inc. 1.30%, 2/10/2028 (b)		80		73

Alimentation Couche-Tard, Inc. (Canada) 2.95%, 1/25/2030 (b)		50		49

CVS Pass-Through Trust 5.93%, 1/10/2034 (b)		39		45


				167


Food Products — 0.5%

Archer-Daniels-Midland Co. 3.25%, 3/27/2030		53		55

Bunge Ltd. Finance Corp. 1.63%, 8/17/2025		50		49

Campbell Soup Co.

3.95%, 3/15/2025		50		52

2.38%, 4/24/2030		74		70

Kellogg Co. 3.40%, 11/15/2027		95		99

Smithfield Foods, Inc.

5.20%, 4/1/2029 (b)		7		8

3.00%, 10/15/2030 (b)		18		17

Tyson Foods, Inc. 3.95%, 8/15/2024		73		76


				426


Gas Utilities — 0.1%

Atmos Energy Corp. 2.63%, 9/15/2029		42		41

ONE Gas, Inc. 2.00%, 5/15/2030		26		24


				65


Health Care Equipment & Supplies — 0.1%

Becton Dickinson and Co. 1.96%, 2/11/2031		50		45

Boston Scientific Corp.

3.75%, 3/1/2026		31		33

4.00%, 3/1/2029		19		20


				98


Health Care Providers & Services — 0.6%

Cigna Corp. 3.50%, 6/15/2024		72		74

CommonSpirit Health 2.78%, 10/1/2030		50		49

HCA, Inc. 4.13%, 6/15/2029		150		157

Humana, Inc. 3.95%, 3/15/2027		50		53

UnitedHealth Group, Inc. 2.30%, 5/15/2031		73		70

Universal Health Services, Inc.

2.65%, 10/15/2030 (b)		56		53

2.65%, 1/15/2032 (b)		25		23


				479


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


Hotels, Restaurants & Leisure — 0.2%

Expedia Group, Inc. 3.25%, 2/15/2030		100		99

McDonald’s Corp. 2.13%, 3/1/2030		58		55


				154


Household Durables — 0.2%

Lennar Corp. 5.25%, 6/1/2026		140		152


Industrial Conglomerates — 0.2%

Roper Technologies, Inc.

3.80%, 12/15/2026		15		16

1.40%, 9/15/2027		174		162


				178


Insurance — 1.2%

American International Group, Inc. 3.75%, 7/10/2025		161		167

Aon plc 3.88%, 12/15/2025		143		149

Assurant, Inc. 4.20%, 9/27/2023		90		93

Athene Global Funding

1.45%, 1/8/2026 (b)		68		65

1.73%, 10/2/2026 (b)		82		78

Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b)		38		37

CNA Financial Corp.

3.95%, 5/15/2024		52		53

4.50%, 3/1/2026		38		41

F&G Global Funding 2.30%, 4/11/2027 (b)		50		48

Principal Financial Group, Inc. 3.10%, 11/15/2026		150		153

Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)		150		176


				1,060


Internet & Direct Marketing Retail — 0.1%

eBay, Inc. 2.60%, 5/10/2031		100		95


IT Services — 0.1%

Global Payments, Inc.

2.15%, 1/15/2027		45		43

3.20%, 8/15/2029		50		50


				93


Leisure Products — 0.1%

Hasbro, Inc. 3.90%, 11/19/2029		75		78


Machinery — 0.1%

Otis Worldwide Corp. 2.57%, 2/15/2030		44		43


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

Media — 0.7%

Charter Communications Operating LLC

4.91%, 7/23/2025		160		171

2.30%, 2/1/2032		50		44

Comcast Corp.

3.38%, 2/15/2025		77		79

3.38%, 8/15/2025		80		83

3.15%, 3/1/2026		16		16

Cox Communications, Inc. 1.80%, 10/1/2030 (b)		67		59

Fox Corp. 4.71%, 1/25/2029		35		38

Paramount Global 4.00%, 1/15/2026		100		103


				593


Metals & Mining — 0.3%

Glencore Funding LLC (Australia)

2.50%, 9/1/2030 (b)		60		55

2.85%, 4/27/2031 (b)		150		141

Steel Dynamics, Inc. 1.65%, 10/15/2027		33		31


				227


Multiline Retail — 0.3%

Dollar General Corp. 4.13%, 5/1/2028		150		161

Kohl’s Corp. 3.38%, 5/1/2031		100		98


				259


Multi-Utilities — 0.4%

CenterPoint Energy, Inc. 1.45%, 6/1/2026		29		28

Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028		155		164

PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036		16		15

Public Service Enterprise Group, Inc. 2.88%, 6/15/2024		100		102

Puget Energy, Inc. 2.38%, 6/15/2028		17		16

WEC Energy Group, Inc. 3.55%, 6/15/2025		20		21


				346


Oil, Gas & Consumable Fuels — 2.3%

APT Pipelines Ltd. (Australia) 4.25%, 7/15/2027 (b)		100		107

BP Capital Markets America, Inc. 2.72%, 1/12/2032		150		144

Cameron LNG LLC 2.90%, 7/15/2031 (b)		84		83

Cheniere Corpus Christi Holdings LLC

5.88%, 3/31/2025		50		54

5.13%, 6/30/2027		81		88

Chevron USA, Inc. 3.85%, 1/15/2028		100		108


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


Oil, Gas & Consumable Fuels — continued

ConocoPhillips

3.75%, 10/1/2027 (b)		60		64

2.40%, 2/15/2031 (b)		14		14

Coterra Energy, Inc. 3.90%, 5/15/2027 (b)		60		63

Diamondback Energy, Inc. 3.25%, 12/1/2026		100		102

Ecopetrol SA (Colombia) 4.13%, 1/16/2025		58		58

Energy Transfer LP

3.60%, 2/1/2023		28		28

4.90%, 2/1/2024		61		63

4.05%, 3/15/2025		91		94

Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b)		114		109

Gray Oak Pipeline LLC

2.60%, 10/15/2025 (b)		40		40

3.45%, 10/15/2027 (b)		50		50

Gulf South Pipeline Co. LP 4.00%, 6/15/2022		50		50

HollyFrontier Corp.

2.63%, 10/1/2023		12		12

5.88%, 4/1/2026		40		43

Marathon Petroleum Corp. 4.70%, 5/1/2025		105		112

MPLX LP

3.38%, 3/15/2023		32		33

4.25%, 12/1/2027		27		28

NGPL PipeCo LLC 3.25%, 7/15/2031 (b)		22		21

ONEOK Partners LP

3.38%, 10/1/2022		12		12

5.00%, 9/15/2023		28		29

Ovintiv Exploration, Inc. 5.38%, 1/1/2026		40		43

Phillips 66 1.30%, 2/15/2026		28		27

Pioneer Natural Resources Co.

1.13%, 1/15/2026		50		48

1.90%, 8/15/2030		72		65

Plains All American Pipeline LP 4.65%, 10/15/2025		100		106

Sabine Pass Liquefaction LLC 4.50%, 5/15/2030		20		22

Williams Cos., Inc. (The) 2.60%, 3/15/2031		50		47


				1,967


Pharmaceuticals — 0.7%

AstraZeneca plc (United Kingdom) 1.38%, 8/6/2030		77		69

Bristol-Myers Squibb Co.

3.40%, 7/26/2029		71		75

1.45%, 11/13/2030		100		90

Mylan, Inc. 4.55%, 4/15/2028		75		80


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

Pharmaceuticals — continued

Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030		200		186

Zoetis, Inc. 2.00%, 5/15/2030		80		74


				574


Real Estate Management & Development — 0.2%

Ontario Teachers’ Cadillac Fairview Properties Trust (Canada) 3.13%, 3/20/2022 (b)		200		200


Road & Rail — 0.9%

CSX Corp. 3.25%, 6/1/2027		162		168

JB Hunt Transport Services, Inc. 3.88%, 3/1/2026		60		63

Norfolk Southern Corp. 2.55%, 11/1/2029		150		148

Penske Truck Leasing Co. LP 4.13%, 8/1/2023 (b)		200		205

Triton Container International Ltd. (Bermuda)

2.05%, 4/15/2026 (b)		110		107

3.25%, 3/15/2032		51		49


				740


Semiconductors & Semiconductor Equipment — 0.6%

Broadcom, Inc.

4.15%, 11/15/2030		143		150

3.19%, 11/15/2036 (b)		57		53

Marvell Technology, Inc. 2.95%, 4/15/2031		52		50

Microchip Technology, Inc.

0.97%, 2/15/2024		72		70

0.98%, 9/1/2024 (b)		50		48

NXP BV (China) 2.50%, 5/11/2031 (b)		100		93

Xilinx, Inc. 2.38%, 6/1/2030		50		48


				512


Software — 0.4%

Citrix Systems, Inc. 1.25%, 3/1/2026		20		20

Intuit, Inc. 1.65%, 7/15/2030		125		115

Oracle Corp. 2.88%, 3/25/2031		168		159

VMware, Inc.

1.40%, 8/15/2026		25		24

1.80%, 8/15/2028		15		14


				332


Specialty Retail — 0.2%

AutoZone, Inc. 1.65%, 1/15/2031		83		73

O’Reilly Automotive, Inc. 3.60%, 9/1/2027		62		65


				138


Technology Hardware, Storage & Peripherals — 0.1%

Dell International LLC 5.30%, 10/1/2029		100		112


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


Tobacco — 0.3%

Altria Group, Inc. 2.45%, 2/4/2032		84		75

BAT Capital Corp. (United Kingdom) 3.22%, 8/15/2024		200		202


				277


Trading Companies & Distributors — 0.5%

Air Lease Corp.

3.00%, 9/15/2023		250		253

3.63%, 12/1/2027		100		101

Aviation Capital Group LLC 3.88%, 5/1/2023 (b)		100		101


				455


Wireless Telecommunication Services — 0.3%

T-Mobile USA, Inc.

3.88%, 4/15/2030		150		155

2.25%, 11/15/2031		100		91


				246


Total Corporate Bonds (Cost $25,213)				25,082

U.S. Treasury Obligations — 25.3%

U.S. Treasury Bonds 6.13%, 8/15/2029		500		651

U.S. Treasury Notes

0.13%, 6/30/2023		1,600		1,575

1.13%, 2/28/2025		1,500		1,478

0.25%, 7/31/2025		1,600		1,524

2.25%, 11/15/2025		500		510

0.75%, 5/31/2026		3,000		2,877

1.13%, 10/31/2026		3,000		2,914

0.38%, 9/30/2027		580		537

0.50%, 10/31/2027		1,500		1,396

1.25%, 3/31/2028		450		436

3.13%, 11/15/2028		1,000		1,082

0.63%, 5/15/2030		1,000		909

0.63%, 8/15/2030		600		544

0.88%, 11/15/2030		80		74

U.S. Treasury STRIPS Bonds

3.09%, 11/15/2022 (d)		700		696

2.33%, 8/15/2023 (d)		1,890		1,855

2.72%, 2/15/2024 (d)		1,206		1,172

2.36%, 5/15/2024 (d)		200		193

3.16%, 5/15/2025 (d)		200		190

2.51%, 5/15/2026 (d)		200		186

3.83%, 8/15/2026 (d)		47		44

3.99%, 11/15/2026 (d)		300		276

3.14%, 2/15/2027 (d)		100		92


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

4.31%, 8/15/2027 (d)		100			91

4.35%, 11/15/2027 (d)		140			126

3.31%, 2/15/2028 (d)		53			48

2.66%, 5/15/2028 (d)		10			9

3.54%, 8/15/2028 (d)		200			178


Total U.S. Treasury Obligations (Cost $21,875)					21,663

Collateralized Mortgage Obligations — 16.1%

Alternative Loan Trust

Series 2004-2CB, Class 1A9, 5.75%, 3/25/2034		441			459

Series 2005-54CB, Class 1A11, 5.50%, 11/25/2035		63			57

Banc of America Funding Trust Series 2004-1, PO, 3/25/2034 ‡		7			5

CHL Mortgage Pass-Through Trust

Series 2004-HYB3, Class 2A, 1.98%, 6/20/2034 (e)		6			6

Series 2004-5, Class 1A4, 5.50%, 6/25/2034		14			14

Series 2005-22, Class 2A1, 2.48%, 11/25/2035 (e)		66			63

Citigroup Global Markets Mortgage Securities VII, Inc.

Series 2003-UP2, Class 1, PO, 12/25/2018 ‡		—	(f)		—	(f)

Series 2003-HYB1, Class A, 2.24%, 9/25/2033 (e)		4			4

Citigroup Mortgage Loan Trust, Inc. Series 2003-UP3, Class A3, 7.00%, 9/25/2033		2			3

FHLMC — GNMA Series 24, Class ZE, 6.25%, 11/25/2023		3			3

FHLMC, REMIC

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		—	(f)		—	(f)

Series 2512, Class PG, 5.50%, 10/15/2022		5			5

Series 2535, Class BK, 5.50%, 12/15/2022		—	(f)		—	(f)

Series 1470, Class F, 1.22%, 2/15/2023 (e)		—	(f)		—	(f)

Series 2568, Class KG, 5.50%, 2/15/2023		10			10

Series 1466, Class PZ, 7.50%, 2/15/2023		2			2

Series 1491, Class I, 7.50%, 4/15/2023		1			1

Series 1798, Class F, 5.00%, 5/15/2023		1			1

Series 1518, Class G, IF, 8.61%, 5/15/2023 (e)		1			1

Series 1541, Class O, 1.00%, 7/15/2023 (e)		1			1

Series 1608, Class L, 6.50%, 9/15/2023		5			5

Series 1602, Class SA, HB, IF, 22.40%, 10/15/2023 (e)		1			1


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


Series 2283, Class K, 6.50%, 12/15/2023		2			2

Series 1700, Class GA, PO, 2/15/2024		—	(f)		—	(f)

Series 1671, Class L, 7.00%, 2/15/2024		2			2

Series 1706, Class K, 7.00%, 3/15/2024		9			9

Series 2033, Class SN, HB, IF, 30.43%, 3/15/2024 (e)		1			—	(f)

Series 1720, Class PL, 7.50%, 4/15/2024		21			22

Series 2306, Class K, PO, 5/15/2024		1			1

Series 2306, Class SE, IF, IO, 8.78%, 5/15/2024 (e)		3			—	(f)

Series 1745, Class D, 7.50%, 8/15/2024		3			3

Series 1927, Class PH, 7.50%, 1/15/2027		22			25

Series 1981, Class Z, 6.00%, 5/15/2027		8			9

Series 1987, Class PE, 7.50%, 9/15/2027		3			3

Series 2038, Class PN, IO, 7.00%, 3/15/2028		4			—	(f)

Series 2040, Class PE, 7.50%, 3/15/2028		16			18

Series 2063, Class PG, 6.50%, 6/15/2028		20			22

Series 2064, Class TE, 7.00%, 6/15/2028		3			3

Series 2075, Class PM, 6.25%, 8/15/2028		14			15

Series 2075, Class PH, 6.50%, 8/15/2028		15			16

Series 2089, Class PJ, IO, 7.00%, 10/15/2028		5			—	(f)

Series 2125, Class JZ, 6.00%, 2/15/2029		9			10

Series 2169, Class TB, 7.00%, 6/15/2029		44			48

Series 2163, Class PC, IO, 7.50%, 6/15/2029		2			—	(f)

Series 2172, Class QC, 7.00%, 7/15/2029		19			22

Series 2196, Class TL, 7.50%, 11/15/2029		—	(f)		—	(f)

Series 2201, Class C, 8.00%, 11/15/2029		6			7

Series 2210, Class Z, 8.00%, 1/15/2030		22			25

Series 2224, Class CB, 8.00%, 3/15/2030		7			8

Series 2256, Class MC, 7.25%, 9/15/2030		13			15

Series 2259, Class ZM, 7.00%, 10/15/2030		13			15

Series 2271, Class PC, 7.25%, 12/15/2030		11			13

Series 2296, Class PD, 7.00%, 3/15/2031		6			7

Series 2344, Class ZD, 6.50%, 8/15/2031		106			119

Series 2344, Class ZJ, 6.50%, 8/15/2031		16			18

Series 2345, Class NE, 6.50%, 8/15/2031		9			10

Series 2351, Class PZ, 6.50%, 8/15/2031		8			9

Series 2410, Class OE, 6.38%, 2/15/2032		8			9

Series 2410, Class NG, 6.50%, 2/15/2032		8			9

Series 2410, Class QX, IF, IO, 8.46%, 2/15/2032 (e)		6			1

Series 2412, Class SP, IF, 15.72%, 2/15/2032 (e)		20			25

Series 2423, Class MC, 7.00%, 3/15/2032		7			8

Series 2423, Class MT, 7.00%, 3/15/2032		14			16


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2444, Class ES, IF, IO, 7.76%, 3/15/2032 (e)		14		2

Series 2450, Class SW, IF, IO, 7.81%, 3/15/2032 (e)		6		1

Series 2435, Class CJ, 6.50%, 4/15/2032		52		58

Series 2441, Class GF, 6.50%, 4/15/2032		15		17

Series 2455, Class GK, 6.50%, 5/15/2032		21		23

Series 2450, Class GZ, 7.00%, 5/15/2032		23		27

Series 2466, Class DH, 6.50%, 6/15/2032		18		20

Series 2474, Class NR, 6.50%, 7/15/2032		19		21

Series 2484, Class LZ, 6.50%, 7/15/2032		29		32

Series 2500, Class MC, 6.00%, 9/15/2032		26		29

Series 2543, Class YX, 6.00%, 12/15/2032		56		63

Series 2575, Class ME, 6.00%, 2/15/2033		110		123

Series 2586, Class WI, IO, 6.50%, 3/15/2033		8		2

Series 2990, Class SL, HB, IF, 23.79%, 6/15/2034 (e)		7		7

Series 3611, PO, 7/15/2034		13		12

Series 2990, Class UZ, 5.75%, 6/15/2035		361		402

Series 3117, Class EO, PO, 2/15/2036		32		29

Series 3117, Class OK, PO, 2/15/2036		4		3

Series 3122, Class OH, PO, 3/15/2036		25		23

Series 3152, Class MO, PO, 3/15/2036		82		75

Series 3607, Class AO, PO, 4/15/2036		20		17

Series 3137, Class XP, 6.00%, 4/15/2036		46		53

Series 3819, Class ZQ, 6.00%, 4/15/2036		127		145

Series 3149, Class SO, PO, 5/15/2036		5		4

Series 3171, Class MO, PO, 6/15/2036		19		18

Series 3179, Class OA, PO, 7/15/2036		10		9

Series 3202, Class HI, IF, IO, 6.46%, 8/15/2036 (e)		102		18

Series 3232, Class ST, IF, IO, 6.51%, 10/15/2036 (e)		18		3

Series 3417, Class EO, PO, 11/15/2036		178		165

Series 3316, Class JO, PO, 5/15/2037		3		3

Series 3607, Class OP, PO, 7/15/2037		102		90

Series 3481, Class SJ, IF, IO, 5.66%, 8/15/2038 (e)		54		9

Series 3680, Class MA, 4.50%, 7/15/2039		24		25

Series 4096, Class HA, 2.00%, 12/15/2041		121		120

FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042		228		238

FHLMC, Structured Pass-Through Certificates, Whole Loan

Series T-41, Class 3A, 4.60%, 7/25/2032 (e)		18		19

Series T-76, Class 2A, 1.55%, 10/25/2037 (e)		72		73


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


Series T-51, Class 2A, 7.50%, 8/25/2042 (e)		17			22

Series T-54, Class 2A, 6.50%, 2/25/2043		171			201

Series T-54, Class 3A, 7.00%, 2/25/2043		54			65

Series T-56, Class A5, 5.23%, 5/25/2043		405			446

Series T-58, Class A, PO, 9/25/2043		11			9

FNMA Trust, Whole Loan

Series 2004-W2, Class 2A2, 7.00%, 2/25/2044		17			20

Series 2005-W3, Class 2AF, 0.41%, 3/25/2045 (e)		57			56

FNMA, REMIC

Series 1992-107, Class SB, HB, IF, 29.75%, 6/25/2022 (e)		—	(f)		—	(f)

Series G92-42, Class Z, 7.00%, 7/25/2022		—	(f)		—	(f)

Series G92-35, Class E, 7.50%, 7/25/2022		—	(f)		—	(f)

Series 1996-59, Class J, 6.50%, 8/25/2022		—	(f)		—	(f)

Series 1992-143, Class MA, 5.50%, 9/25/2022		—	(f)		—	(f)

Series G92-54, Class ZQ, 7.50%, 9/25/2022		—	(f)		—	(f)

Series G93-5, Class Z, 6.50%, 2/25/2023		—	(f)		—	(f)

Series 1993-37, Class PX, 7.00%, 3/25/2023		5			5

Series 1993-25, Class J, 7.50%, 3/25/2023		1			1

Series 1998-4, Class C, PO, 4/25/2023		—	(f)		—	(f)

Series 1998-43, Class EA, PO, 4/25/2023		7			7

Series 1993-54, Class Z, 7.00%, 4/25/2023		2			2

Series 1993-62, Class SA, HB, IF, 20.01%, 4/25/2023 (e)		—	(f)		—	(f)

Series 1993-122, Class M, 6.50%, 7/25/2023		1			1

Series 1996-14, Class SE, IF, IO, 8.93%, 8/25/2023 (e)		5			—	(f)

Series 1993-178, Class PK, 6.50%, 9/25/2023		1			1

Series 1993-165, Class SD, IF, 14.38%, 9/25/2023 (e)		—	(f)		—	(f)

Series 1993-183, Class KA, 6.50%, 10/25/2023		17			17

Series 1993-189, Class PL, 6.50%, 10/25/2023		6			7

Series 1994-9, Class E, PO, 11/25/2023		—	(f)		—	(f)

Series 1993-247, Class SA, HB, IF, 30.02%, 12/25/2023 (e)		2			2

Series G95-1, Class C, 8.80%, 1/25/2025		2			2

Series 2005-121, Class DX, 5.50%, 1/25/2026		67			70

Series 1997-20, IO, 1.84%, 3/25/2027 (e)		1			—	(f)

Series 1997-20, Class IB, IO, 1.84%, 3/25/2027 (e)		2			—	(f)

Series 1997-27, Class J, 7.50%, 4/18/2027		5			5

Series 1997-29, Class J, 7.50%, 4/20/2027		5			6


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 1997-39, Class PD, 7.50%, 5/20/2027		10		10

Series 2012-47, Class HF, 0.59%, 5/25/2027 (e)		39		39

Series 1997-81, Class PI, IO, 7.00%, 12/18/2027		3		—	(f)

Series 1998-36, Class ZB, 6.00%, 7/18/2028		2		2

Series 2000-2, Class ZE, 7.50%, 2/25/2030		22		25

Series 2001-33, Class ID, IO, 6.00%, 7/25/2031		17		2

Series 2001-36, Class DE, 7.00%, 8/25/2031		20		23

Series 2001-49, Class Z, 6.50%, 9/25/2031		4		5

Series 2001-44, Class PD, 7.00%, 9/25/2031		4		4

Series 2003-52, Class SX, HB, IF, 22.39%, 10/25/2031 (e)		5		7

Series 2004-74, Class SW, IF, 15.23%, 11/25/2031 (e)		15		18

Series 2001-81, Class LO, PO, 1/25/2032		3		2

Series 2002-1, Class SA, HB, IF, 24.58%, 2/25/2032 (e)		2		3

Series 2002-21, Class PE, 6.50%, 4/25/2032		11		13

Series 2002-28, Class PK, 6.50%, 5/25/2032		11		13

Series 2002-37, Class Z, 6.50%, 6/25/2032		15		17

Series 2004-61, Class SH, HB, IF, 23.24%, 11/25/2032 (e)		17		24

Series 2003-22, Class UD, 4.00%, 4/25/2033		53		56

Series 2003-34, Class GE, 6.00%, 5/25/2033		120		134

Series 2003-39, IO, 6.00%, 5/25/2033 (e)		3		—	(f)

Series 2003-47, Class PE, 5.75%, 6/25/2033		54		59

Series 2003-64, Class SX, IF, 13.48%, 7/25/2033 (e)		6		7

Series 2003-71, Class DS, IF, 7.32%, 8/25/2033 (e)		55		57

Series 2005-56, Class TP, IF, 17.59%, 8/25/2033 (e)		21		23

Series 2003-91, Class SD, IF, 12.19%, 9/25/2033 (e)		5		5

Series 2003-116, Class SB, IF, IO, 7.41%, 11/25/2033 (e)		43		7

Series 2006-44, Class P, PO, 12/25/2033		16		15

Series 2003-130, Class SX, IF, 11.24%, 1/25/2034 (e)		1		1

Series 2004-25, Class SA, IF, 19.01%, 4/25/2034 (e)		18		24

Series 2004-46, Class SK, IF, 15.99%, 5/25/2034 (e)		13		15

Series 2004-36, Class SA, IF, 19.01%, 5/25/2034 (e)		29		39

Series 2004-50, Class VZ, 5.50%, 7/25/2034		179		197


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


Series 2005-74, Class CS, IF, 19.51%, 5/25/2035 (e)		13		15

Series 2005-45, Class DC, HB, IF, 23.62%, 6/25/2035 (e)		27		36

Series 2005-56, Class S, IF, IO, 6.52%, 7/25/2035 (e)		17		3

Series 2005-68, Class PG, 5.50%, 8/25/2035		103		113

Series 2005-73, Class PS, IF, 16.23%, 8/25/2035 (e)		49		60

Series 2005-106, Class US, HB, IF, 23.88%, 11/25/2035 (e)		31		40

Series 2006-27, Class OH, PO, 4/25/2036		24		22

Series 2006-65, Class QO, PO, 7/25/2036		15		14

Series 2006-56, Class FC, 0.48%, 7/25/2036 (e)		98		98

Series 2006-72, Class GO, PO, 8/25/2036		22		21

Series 2006-79, Class DO, PO, 8/25/2036		17		16

Series 2006-77, Class PC, 6.50%, 8/25/2036		29		32

Series 2006-110, PO, 11/25/2036		26		23

Series 2006-124, Class HB, 2.00%, 11/25/2036 (e)		48		49

Series 2007-14, Class ES, IF, IO, 6.25%, 3/25/2037 (e)		20		3

Series 2007-81, Class GE, 6.00%, 8/25/2037		49		54

Series 2007-79, Class SB, HB, IF, 23.33%, 8/25/2037 (e)		20		29

Series 2007-88, Class VI, IF, IO, 6.35%, 9/25/2037 (e)		54		10

Series 2007-91, Class ES, IF, IO, 6.27%, 10/25/2037 (e)		143		27

Series 2007-116, Class HI, IO, 1.25%, 1/25/2038 (e)		27		1

Series 2008-16, Class IS, IF, IO, 6.01%, 3/25/2038 (e)		7		1

Series 2008-10, Class XI, IF, IO, 6.04%, 3/25/2038 (e)		12		2

Series 2008-28, Class QS, HB, IF, 20.14%, 4/25/2038 (e)		18		22

Series 2008-46, Class HI, IO, 1.66%, 6/25/2038 (e)		17		1

Series 2013-25, Class DC, 2.50%, 6/25/2039		179		182

Series 2009-69, PO, 9/25/2039		27		24

Series 2009-103, Class MB, 2.00%, 12/25/2039 (e)		28		29

Series 2010-71, Class HJ, 5.50%, 7/25/2040		64		71

Series 2011-118, Class MT, 7.00%, 11/25/2041		78		91

Series 2011-118, Class NT, 7.00%, 11/25/2041		73		85


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2013-101, Class DO, PO, 10/25/2043		147			132

Series 2013-128, PO, 12/25/2043		119			106

Series 2019-65, Class PA, 2.50%, 5/25/2048		204			206

FNMA, REMIC Trust, Whole Loan

Series 2007-W7, Class 1A4, HB, IF, 38.06%, 7/25/2037 (e)		5			7

Series 2003-W4, Class 2A, 5.42%, 10/25/2042 (e)		11			12

Series 2003-W1, Class 1A1, 4.97%, 12/25/2042 (e)		57			59

FNMA, REMIC, Whole Loan Series 2007-106, Class A7, 6.25%, 10/25/2037 (e)		17			20

FNMA, STRIPS

Series 218, Class 2, IO, 7.50%, 4/25/2023		—	(f)		—	(f)

Series 300, Class 1, PO, 9/25/2024		5			5

Series 329, Class 1, PO, 1/25/2033		3			2

GNMA

Series 2003-24, PO, 3/16/2033		4			4

Series 2003-40, Class TJ, 6.50%, 3/20/2033		101			105

Series 2003-52, Class AP, PO, 6/16/2033		28			27

Series 2004-28, Class S, IF, 19.32%, 4/16/2034 (e)		7			10

Series 2004-71, Class SB, HB, IF, 28.67%, 9/20/2034 (e)		13			17

Series 2004-90, Class SI, IF, IO, 5.94%, 10/20/2034 (e)		78			9

Series 2005-68, Class DP, IF, 16.13%, 6/17/2035 (e)		14			16

Series 2005-68, Class KI, IF, IO, 6.14%, 9/20/2035 (e)		135			22

Series 2006-38, Class ZK, 6.50%, 8/20/2036		234			251

Series 2006-59, Class SD, IF, IO, 6.54%, 10/20/2036 (e)		15			2

Series 2007-17, Class JI, IF, IO, 6.68%, 4/16/2037 (e)		60			11

Series 2007-27, Class SA, IF, IO, 6.04%, 5/20/2037 (e)		75			7

Series 2007-45, Class QA, IF, IO, 6.48%, 7/20/2037 (e)		63			7

Series 2007-40, Class SB, IF, IO, 6.59%, 7/20/2037 (e)		101			14

Series 2007-53, Class ES, IF, IO, 6.39%, 9/20/2037 (e)		17			2

Series 2007-53, Class SW, IF, 19.72%, 9/20/2037 (e)		12			15

Series 2009-79, Class OK, PO, 11/16/2037		49			45

Series 2007-76, Class SA, IF, IO, 6.37%, 11/20/2037 (e)		33			3


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


Series 2007-72, Class US, IF, IO, 6.39%, 11/20/2037 (e)		32			3

Series 2009-106, Class ST, IF, IO, 5.84%, 2/20/2038 (e)		106			13

Series 2008-33, Class XS, IF, IO, 7.57%, 4/16/2038 (e)		25			3

Series 2008-40, Class SA, IF, IO, 6.27%, 5/16/2038 (e)		65			10

Series 2008-50, Class KB, 6.00%, 6/20/2038		80			87

Series 2008-55, Class SA, IF, IO, 6.04%, 6/20/2038 (e)		39			4

Series 2008-93, Class AS, IF, IO, 5.54%, 12/20/2038 (e)		45			4

Series 2009-6, Class SA, IF, IO, 5.97%, 2/16/2039 (e)		11			1

Series 2009-31, Class TS, IF, IO, 6.14%, 3/20/2039 (e)		33			2

Series 2009-14, Class NI, IO, 6.50%, 3/20/2039		19			4

Series 2009-22, Class SA, IF, IO, 6.11%, 4/20/2039 (e)		52			6

Series 2009-92, Class ZC, 5.00%, 10/20/2039		278			299

Series 2011-137, Class WA, 5.59%, 7/20/2040 (e)		130			145

Series 2010-105, Class B, 5.00%, 8/20/2040		356			385

Series 2010-130, Class CP, 7.00%, 10/16/2040		33			38

Series 2013-91, Class WA, 4.48%, 4/20/2043 (e)		310			329

Series 2012-H24, Class FA, 0.55%, 3/20/2060 (e)		4			4

Series 2013-H03, Class FA, 0.40%, 8/20/2060 (e)		—	(f)		—	(f)

Series 2012-H21, Class DF, 0.75%, 5/20/2061 (e)		2			2

Series 2012-H26, Class MA, 0.65%, 7/20/2062 (e)		1			1

Series 2012-H29, Class FA, 0.62%, 10/20/2062 (e)		224			225

Series 2014-H15, Class FA, 0.60%, 7/20/2064 (e)		488			489

Series 2014-H17, Class FC, 0.60%, 7/20/2064 (e)		387			388

Series 2015-H15, Class FJ, 0.54%, 6/20/2065 (e)		464			465

Series 2015-H18, Class FA, 0.55%, 6/20/2065 (e)		282			282

Series 2015-H20, Class FA, 0.57%, 8/20/2065 (e)		417			418


INVESTMENTS	PRINCIPAL AMOUNT ($000)			VALUE ($000)
Collateralized Mortgage Obligations — continued

Series 2015-H26, Class FG, 0.62%, 10/20/2065 (e)		481			481

GSR Mortgage Loan Trust Series 2006-1F, Class 1A3, 5.50%, 2/25/2036		22			37

Impac Secured Assets CMN Owner Trust Series 2002-2, Class A, PO, 4/25/2033 ‡		—	(f)		—	(f)

JPMorgan Mortgage Trust

Series 2003-A1, Class 1A1, 1.85%, 10/25/2033 (e)		103			104

Series 2006-A2, Class 5A3, 2.27%, 11/25/2033 (e)		22			22

Series 2006-A2, Class 4A1, 2.22%, 8/25/2034 (e)		7			8

MASTR Adjustable Rate Mortgages Trust

Series 2004-13, Class 2A1, 2.62%, 4/21/2034 (e)		23			23

Series 2004-3, Class 4A2, 2.23%, 4/25/2034 (e)		7			7

MASTR Alternative Loan Trust

Series 2004-10, Class 1A1, 4.50%, 9/25/2019		—	(f)		—	(f)

Series 2004-4, Class 10A1, 5.00%, 5/25/2024		33			33

Series 2003-9, Class 8A1, 6.00%, 1/25/2034		56			57

Series 2004-7, Class 30, PO, 8/25/2034 ‡		6			5

Series 2005-6, Class 3A1, 5.50%, 12/25/2035		7			7

MASTR Resecuritization Trust Series 2005-PO, Class 3, PO, 5/28/2035 ‡ (b)		4			4

Merrill Lynch Mortgage Investors Trust

Series 2003-E, Class A1, 0.81%, 10/25/2028 (e)		51			51

Series 2004-A, Class A1, 0.65%, 4/25/2029 (e)		16			15

NACC Reperforming Loan REMIC Trust Series 2004-R2, Class A1, 6.50%, 10/25/2034 (b) (e)		24			23

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		7			7

RALI Trust Series 2002-QS16, Class A3, IF, 16.23%, 10/25/2017 (e)		—	(f)		—	(f)

Reperforming Loan REMIC Trust Series 2005-R1, Class 2A, PO, 3/25/2035 ‡ (b)		31			20

Seasoned Credit Risk Transfer Trust

Series 2018-1, Class M60C, 3.50%, 5/25/2057		203			209

Series 2017-4, Class M60C, 3.50%, 6/25/2057		281			290

Series 2018-2, Class M55D, 4.00%, 11/25/2057		202			212


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


Series 2019-1, Class MT, 3.50%, 7/25/2058 ‡		377			395

Series 2019-3, Class M55D, 4.00%, 10/25/2058 ‡		64			67

Series 2019-4, Class M55D, 4.00%, 2/25/2059		223			234

Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028		272			279

Vendee Mortgage Trust

Series 1993-1, Class ZB, 7.25%, 2/15/2023		17			17

Series 1994-1, Class 1, 4.92%, 2/15/2024 (e)		21			21

Series 1996-1, Class 1Z, 6.75%, 2/15/2026		68			73

Series 1996-2, Class 1Z, 6.75%, 6/15/2026		21			23

Series 1997-1, Class 2Z, 7.50%, 2/15/2027		93			102

Series 1998-1, Class 2E, 7.00%, 3/15/2028		24			26

WaMu Mortgage Pass-Through Certificates Trust

Series 2003-AR5, Class A7, 2.58%, 6/25/2033 (e)		23			24

Series 2004-AR3, Class A2, 2.60%, 6/25/2034 (e)		11			11

Washington Mutual Mortgage Pass-Through Certificates WMALT Trust Series 2005-4, Class CB7, 5.50%, 6/25/2035		67			68

Washington Mutual MSC Mortgage Pass-Through Certificates Trust Series 2003-MS7, Class P, PO, 3/25/2033 ‡		—	(f)		—	(f)


Total Collateralized Mortgage Obligations (Cost $13,358)					13,815

Mortgage-Backed Securities — 9.9%

FHLMC

Pool # 785618, ARM, 2.13%, 7/1/2026 (e)		5			5

Pool # 611141, ARM, 2.23%, 1/1/2027 (e)		5			5

Pool # 1G2557, ARM, 2.22%, 6/1/2036 (e)		30			32

Pool # 1A1085, ARM, 1.93%, 8/1/2036 (e)		42			44

Pool # 1Q0105, ARM, 2.00%, 9/1/2036 (e)		12			12

Pool # 1B7242, ARM, 2.18%, 9/1/2036 (e)		32			34

Pool # 1Q0737, ARM, 2.01%, 11/1/2036 (e)		16			16

Pool # 1N1511, ARM, 1.79%, 1/1/2037 (e)		14			14

Pool # 1Q0739, ARM, 2.13%, 3/1/2037 (e)		16			17

Pool # 1Q0722, ARM, 2.35%, 4/1/2038 (e)		17			18

FHLMC Gold Pools, 20 Year Pool # C90985, 6.50%, 8/1/2026		4			4

FHLMC Gold Pools, 30 Year

Pool # G00245, 8.00%, 8/1/2024		—	(f)		—	(f)

Pool # C00376, 8.00%, 11/1/2024		—	(f)		—	(f)

Pool # C00414, 7.50%, 8/1/2025		1			1

Pool # C00452, 7.00%, 4/1/2026		1			1

Pool # G00981, 8.50%, 7/1/2028		3			3


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

Pool # A17537, 6.00%, 1/1/2034		18			21

Pool # G02682, 7.00%, 2/1/2037		14			15

Pool # Q58054, 4.50%, 11/1/2046		162			177

FHLMC Gold Pools, Other

Pool # G20027, 10.00%, 10/1/2030		2			2

Pool # U80336, 3.50%, 5/1/2033		279			289

Pool # U90690, 3.50%, 6/1/2042		107			113

Pool # U90975, 4.00%, 6/1/2042		94			101

Pool # U91427, 3.50%, 5/1/2043		325			340

FNMA

Pool # 54844, ARM, 2.18%, 9/1/2027 (e)		2			2

Pool # 303532, ARM, 3.85%, 3/1/2029 (e)		1			1

Pool # BS5117, 2.58% 3/1/2032 (g)		200			203

Pool # 745446, ARM, 2.42%, 4/1/2033 (e)		19			19

Pool # 746299, ARM, 2.06%, 9/1/2033 (e)		31			33

Pool # 743546, ARM, 1.74%, 11/1/2033 (e)		34			35

Pool # 735332, ARM, 2.27%, 8/1/2034 (e)		28			28

Pool # 790964, ARM, 1.90%, 9/1/2034 (e)		14			14

Pool # 896463, ARM, 2.42%, 10/1/2034 (e)		34			35

Pool # 810896, ARM, 1.69%, 1/1/2035 (e)		20			20

Pool # 816361, ARM, 1.69%, 1/1/2035 (e)		71			70

Pool # 816594, ARM, 1.86%, 2/1/2035 (e)		11			12

Pool # 816597, ARM, 2.05%, 2/1/2035 (e)		11			11

Pool # 745862, ARM, 2.35%, 4/1/2035 (e)		20			20

Pool # 843026, ARM, 1.83%, 9/1/2035 (e)		34			35

Pool # 832801, ARM, 1.90%, 9/1/2035 (e)		31			31

Pool # 920340, ARM, 2.63%, 2/1/2036 (e)		21			21

Pool # 886558, ARM, 2.02%, 8/1/2036 (e)		8			9

Pool # 893424, ARM, 1.83%, 9/1/2036 (e)		24			25

Pool # 913984, ARM, 1.77%, 2/1/2037 (e)		12			12

Pool # 915645, ARM, 2.27%, 2/1/2037 (e)		21			22

Pool # 887094, ARM, 2.19%, 7/1/2046 (e)		38			40

FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024		3			3

FNMA UMBS, 20 Year Pool # 254305, 6.50%, 5/1/2022		—	(f)		—	(f)

FNMA UMBS, 30 Year

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		—	(f)		—	(f)

Pool # 308499, 8.50%, 5/1/2025		—	(f)		—	(f)

Pool # 695533, 8.00%, 6/1/2027		5			5

Pool # 313687, 7.00%, 9/1/2027		1			1

Pool # 755973, 8.00%, 11/1/2028		6			6

Pool # 598559, 6.50%, 8/1/2031		10			12


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


Pool # 995409, 8.00%, 11/1/2032		75			84

Pool # 675555, 6.00%, 12/1/2032		12			14

Pool # 674349, 6.00%, 3/1/2033		8			9

Pool # 702901, 6.00%, 5/1/2033		27			30

Pool # 721535, 5.00%, 7/1/2033		39			44

Pool # 723852, 5.00%, 7/1/2033		13			14

Pool # 729296, 5.00%, 7/1/2033		29			33

Pool # 713700, 4.50%, 8/1/2033		13			14

Pool # 737825, 6.00%, 9/1/2033		7			8

Pool # 725027, 5.00%, 11/1/2033		26			29

Pool # 725017, 5.50%, 12/1/2033		28			31

Pool # AA0922, 6.00%, 9/1/2036		35			40

Pool # 986648, 6.00%, 9/1/2037		18			20

Pool # AD9151, 5.00%, 8/1/2040		71			79

Pool # BM3375, 4.00%, 1/1/2048		157			167

Pool # BK8753, 4.50%, 6/1/2049		145			153

Pool # BP6363, 3.00%, 4/1/2050		339			343

Pool # CB2637, 2.50%, 1/1/2052		80			79

FNMA, 30 Year

Pool # 252409, 6.50%, 3/1/2029		6			6

Pool # 752786, 6.00%, 9/1/2033		7			8

FNMA, Other

Pool # AM8317, 2.96%, 3/1/2025		176			182

Pool # AN2309, 2.21%, 7/1/2026		447			451

Pool # AM6381, 3.29%, 8/1/2026		974			1,020

Pool # AM7515, 3.34%, 2/1/2027		500			527

Pool # BL1040, 3.81%, 12/1/2028		150			164

Pool # BL0907, 3.88%, 12/1/2028		300			330

Pool # AM6892, 3.76%, 9/1/2029		221			242

Pool # BM4162, 3.20%, 10/1/2029 (e)		279			296

Pool # BL4333, 2.52%, 11/1/2029		391			400

Pool # 888408, 6.00%, 3/1/2037		9			9

Pool # 257172, 5.50%, 4/1/2038		5			6

Pool # MA1125, 4.00%, 7/1/2042		147			157

GNMA I, 30 Year

Pool # 352108, 7.00%, 8/15/2023		—	(f)		—	(f)

Pool # 363030, 7.00%, 9/15/2023		3			3

Pool # 352022, 7.00%, 11/15/2023		—	(f)		—	(f)

Pool # 366706, 6.50%, 1/15/2024		3			3

Pool # 371281, 7.00%, 2/15/2024		1			1

Pool # 782507, 9.50%, 10/15/2024		—	(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


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

Pool # 468236, 6.50%, 9/15/2028		28			31

Pool # 486537, 7.50%, 9/15/2028		2			2

Pool # 466406, 6.00%, 11/15/2028		10			11

Pool # 607645, 6.50%, 2/15/2033		8			8

Pool # 781614, 7.00%, 6/15/2033		12			14

Pool # 782615, 7.00%, 6/15/2035		28			32

Pool # 782025, 6.50%, 12/15/2035		38			43

Pool # 681638, 6.00%, 12/15/2038		64			69

GNMA II, 30 Year

Pool # 1974, 8.50%, 3/20/2025		—	(f)		—	(f)

Pool # 1989, 8.50%, 4/20/2025		1			1

Pool # 2006, 8.50%, 5/20/2025		1			1

Pool # 2141, 8.00%, 12/20/2025		—	(f)		—	(f)

Pool # 2234, 8.00%, 6/20/2026		1			1

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		—	(f)		—	(f)

Pool # 2499, 8.00%, 10/20/2027		1			1

Pool # 2512, 8.00%, 11/20/2027		1			1

Pool # 2525, 8.00%, 12/20/2027		1			1

Pool # 2549, 7.50%, 2/20/2028		—	(f)		1

Pool # 2562, 6.00%, 3/20/2028		7			8

Pool # 2633, 8.00%, 8/20/2028		—	(f)		—	(f)

Pool # 2646, 7.50%, 9/20/2028		2			2

Pool # 4245, 6.00%, 9/20/2038		40			45

Pool # BA7567, 4.50%, 5/20/2048		85			89

Pool # BI0416, 4.50%, 11/20/2048		117			124

Pool # BM9692, 4.50%, 7/20/2049		79			83

Pool # BQ3224, 4.50%, 9/20/2049		402			430

Pool # MA7534, 2.50%, 8/20/2051		125			125

Pool # MA7649, 2.50%, 10/20/2051		39			39

GNMA II, Other Pool # AD0860, 3.50%, 11/20/2033		301			315


Total Mortgage-Backed Securities (Cost $8,220)					8,469

Asset-Backed Securities — 9.6%

Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)		82			81

Ally Auto Receivables Trust Series 2019-1, Class A3, 2.91%, 9/15/2023		10			10

American Airlines Pass-Through Trust

Series 2016-3, Class AA, 3.00%, 10/15/2028		63			63

Series 2021-1, Class B, 3.95%, 7/11/2030		75			71


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


American Credit Acceptance Receivables Trust

Series 2021-1, Class A, 0.35%, 5/13/2024 (b)		6		6

Series 2022-1, Class A, 0.99%, 12/15/2025 (b)		113		113

American Express Credit Account Master Trust Series 2019-1, Class A, 2.87%, 10/15/2024		135		135

AmeriCredit Automobile Receivables Trust

Series 2019-2, Class A3, 2.28%, 1/18/2024		20		20

Series 2020-1, Class A3, 1.11%, 8/19/2024		33		33

Series 2020-2, Class A3, 0.66%, 12/18/2024		21		21

Series 2021-1, Class A3, 0.37%, 8/18/2025		86		85

Series 2020-3, Class B, 0.76%, 12/18/2025		75		74

Series 2021-2, Class B, 0.69%, 1/19/2027		55		54

AMSR Trust Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b)		100		96

Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b)		116		115

Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b)		100		100

BA Credit Card Trust

Series 2019-A1, Class A1, 1.74%, 1/15/2025		230		231

Series 2020-A1, Class A1, 0.34%, 5/15/2026		88		86

British Airways Pass-Through Trust (United Kingdom) Series 2018-1, Class AA, 3.80%, 9/20/2031 (b)		52		53

CarMax Auto Owner Trust

Series 2018-3, Class A3, 3.13%, 6/15/2023		5		5

Series 2019-1, Class A3, 3.05%, 3/15/2024		52		53

Series 2020-1, Class A3, 1.89%, 12/16/2024		70		70

Series 2020-3, Class A3, 0.62%, 3/17/2025		78		78

Series 2021-1, Class A3, 0.34%, 12/15/2025		41		40

Carvana Auto Receivables Trust

Series 2021-P3, Class A3, 0.70%, 11/10/2026		90		88

Series 2021-P4, Class A4, 1.64%, 12/10/2027		150		147

CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b)		60		59

CoreVest American Finance Trust Series 2019-3, Class A, 2.71%, 10/15/2052 (b)		74		74

CPS Auto Receivables Trust Series 2021-B, Class B, 0.81%, 12/15/2025 (b)		100		99

Credit Acceptance Auto Loan Trust

Series 2019-3A, Class A, 2.38%, 11/15/2028 (b)		167		168

Series 2020-1A, Class A, 2.01%, 2/15/2029 (b)		250		250


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

Series 2021-2A, Class A, 0.96%, 2/15/2030 (b)		250		245

Drive Auto Receivables Trust

Series 2021-1, Class A3, 0.44%, 11/15/2024		44		44

Series 2020-2, Class B, 1.42%, 3/17/2025		15		15

Series 2021-3, Class B, 1.11%, 5/15/2026		28		28

DT Auto Owner Trust

Series 2020-3A, Class B, 0.91%, 12/16/2024 (b)		65		65

Series 2021-1A, Class B, 0.62%, 9/15/2025 (b)		20		20

Series 2022-1A, Class A, 1.58%, 4/15/2026 (b)		200		200

Series 2021-3A, Class C, 0.87%, 5/17/2027 (b)		95		92

Series 2021-4A, Class D, 1.99%, 9/15/2027 (b)		57		55

Exeter Automobile Receivables Trust

Series 2022-1A, Class A2, 1.15%, 6/17/2024		135		135

Series 2020-3A, Class B, 0.79%, 9/16/2024		24		24

Series 2021-1A, Class B, 0.50%, 2/18/2025		78		78

Series 2021-2A, Class B, 0.57%, 9/15/2025		55		55

Series 2021-4A, Class B, 1.05%, 5/15/2026		74		73

First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (b)		17		17

Flagship Credit Auto Trust

Series 2020-4, Class A, 0.53%, 4/15/2025 (b)		89		89

Series 2019-4, Class C, 2.77%, 12/15/2025 (b)		105		106

Series 2021-4, Class A, 0.81%, 7/17/2026 (b)		110		109

Series 2022-1, Class A, 1.79%, 10/15/2026 (b)		180		178

Series 2021-3, Class A, 0.36%, 7/15/2027 (b)		115		113

Ford Credit Auto Lease Trust

Series 2020-A, Class A3, 1.85%, 3/15/2023		3		3

Series 2020-B, Class A4, 0.69%, 10/15/2023		47		47

Series 2021-A, Class A3, 0.26%, 2/15/2024		72		72

FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b)		156		148

GE Capital Mortgage Services, Inc. Trust Series 1999-HE1, Class M, 6.71%, 4/25/2029 ‡ (e)		12		10

GLS Auto Receivables Issuer Trust

Series 2020-4A, Class A, 0.52%, 2/15/2024 (b)		6		6

Series 2021-4A, Class A, 0.84%, 7/15/2025 (b)		135		135


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


Series 2021-3A, Class C, 1.11%, 9/15/2026 (b)		66		64

GLS Auto Receivables Trust Series 2021-2A, Class B, 0.77%, 9/15/2025 (b)		32		32

GM Financial Consumer Automobile Receivables Trust 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		77

Gold Key Resorts LLC

Series 2014-A, Class A, 3.22%, 3/17/2031 (b)		8		8

Honda Auto Receivables Owner Trust Series 2019-4, Class A3, 1.83%, 1/18/2024		101		102

Hyundai Auto Lease Securitization Trust Series 2020-B, Class A3, 0.51%, 9/15/2023 (b)		135		135

Mercedes-Benz Auto Lease Trust

Series 2019-B, Class A3, 2.00%, 10/17/2022		3		3

Series 2020-A, Class A3, 1.84%, 12/15/2022		16		16

Series 2021-A, Class A3, 0.25%, 1/16/2024		59		59

MVW LLC Series 2021-2A, Class A, 1.43%, 5/20/2039 (b)		105		101

Progress Residential Trust Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 ‡ (b)		100		92

Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b)		35		35

Santander Drive Auto Receivables Trust

Series 2022-1, Class A2, 1.36%, 12/16/2024		175		174

Series 2020-3, Class B, 0.69%, 3/17/2025		62		62

Series 2021-1, Class B, 0.50%, 4/15/2025		146		146

Series 2021-3, Class B, 0.60%, 12/15/2025		102		101

Series 2020-4, Class C, 1.01%, 1/15/2026		50		50

Series 2021-2, Class C, 0.90%, 6/15/2026		74		73

Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b)		34		34

Securitized Asset-Backed Receivables LLC Trust Series 2006-CB1, Class AF2, 2.91%, 1/25/2036 ‡ (h)		22		22

Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030		36		36

Tesla Auto Lease Trust

Series 2019-A, Class A3, 2.16%, 10/20/2022 (b)		107		107

Series 2021-B, Class A4, 0.63%, 9/22/2025 (b)		51		50


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

Toyota Auto Receivables Owner Trust

Series 2020-A, Class A3, 1.66%, 5/15/2024		130		131

Series 2021-A, Class A3, 0.26%, 5/15/2025		131		129

Series 2020-C, Class A4, 0.57%, 10/15/2025		56		55

United Airlines Pass-Through Trust

Series 2016-2, Class AA, 2.88%, 10/7/2028		95		94

Series 2018-1, Class A, 3.70%, 3/1/2030		104		103

United Auto Credit Securitization Trust

Series 2021-1, Class A, 0.34%, 7/10/2023 (b)		8		8

Series 2021-1, Class C, 0.84%, 6/10/2026 (b)		70		69

US Auto Funding Series 2021-1A, Class A, 0.79%, 7/15/2024 (b)		80		80

VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (h)		64		62

VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (h)		79		78

VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (h)		74		73

VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (h)		102		100

VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (h)		75		74

VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (h)		107		105

VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (h)		116		113

Westlake Automobile Receivables Trust

Series 2020-2A, Class A2A, 0.93%, 2/15/2024 (b)		15		15

Series 2020-3A, Class B, 0.78%, 11/17/2025 (b)		90		90

Series 2021-3A, Class D, 2.12%, 1/15/2027 (b)		72		71

World Omni Auto Receivables Trust

Series 2020-A, Class A3, 1.70%, 1/17/2023		110		110

Series 2021-A, Class A3, 0.30%, 1/15/2026		123		122

World Omni Automobile Lease Securitization Trust

Series 2021-A, Class A3, 0.42%, 8/15/2024		67		66

Series 2020-B, Class A4, 0.52%, 2/17/2026		60		59

World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025		60		60


Total Asset-Backed Securities (Cost $8,301)				8,220

Commercial Mortgage-Backed Securities — 8.1%

20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (b) (e)		145		145

Commercial Mortgage Trust Series 2015-CR25, Class A4, 3.76%, 8/10/2048		281		292


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


FHLMC, Multi-Family Structured Pass-Through Certificates

Series KSMC, Class A2, 2.62%, 1/25/2023		500		506

Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (e)		500		515

Series KLU2, Class A7, 2.23%, 9/25/2025 (e)		213		214

Series K737, Class AM, 2.10%, 10/25/2026		305		304

Series K069, Class A2, 3.19%, 9/25/2027 (e)		480		505

Series K081, Class A1, 3.88%, 2/25/2028		100		106

Series K083, Class A2, 4.05%, 9/25/2028 (e)		297		329

Series K088, Class A2, 3.69%, 1/25/2029		480		522

FNMA ACES

Series 2015-M17, Class FA, 1.03%, 11/25/2022 (e)		61		61

Series 2014-M2, Class A2, 3.51%, 12/25/2023 (e)		291		297

Series 2014-M13, Class A2, 3.02%, 8/25/2024 (e)		429		439

Series 2015-M7, Class A2, 2.59%, 12/25/2024		571		578

Series 2018-M2, Class A2, 2.90%, 1/25/2028 (e)		500		517

Series 2020-M50, Class A1, 0.67%, 10/25/2030		352		335

Series 2020-M50, Class A2, 1.20%, 10/25/2030		165		156

Series 2020-M50, Class X1, IO, 1.91%, 10/25/2030 (e)		2,673		263

Series 2021-M11, Class A2, 1.46%, 3/25/2031 (e)		117		109

Series 2021-M3, Class 1A1, 1.00%, 11/25/2033		17		16

Series 2021-M3, Class X1, IO, 1.98%, 11/25/2033 (e)		107		13

Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (b)		147		141

MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)		200		198

SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b)		155		150

UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)		116		116

UBS-Barclays Commercial Mortgage Trust Series 2012-C2, Class A4, 3.53%, 5/10/2063		88		88


Total Commercial Mortgage-Backed Securities (Cost $6,814)				6,915


INVESTMENTS	PRINCIPAL AMOUNT ($000)		VALUE ($000)
Foreign Government Securities — 0.2%

United Mexican States (Mexico) 2.66%, 5/24/2031 (Cost $199)		200		183

U.S. Government Agency Securities — 0.1%

Resolution Funding Corp. STRIPS DN, 3.29%, 1/15/2026 (d) (Cost $54)		60		56


	SHARES (000)
Short-Term Investments — 1.6%

Investment Companies — 1.6%

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (i) (j) (Cost $1,357)		1,357		1,357

Total Investments — 100.1% (Cost $85,391)				85,760
Liabilities in Excess of Other Assets — (0.1)%				(98	)

NET ASSETS — 100.0%				85,662

Percentages indicated are based on net assets.

Abbreviations


ACES		Alternative Credit Enhancement Securities
ARM		Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2022.
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, 2022. 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.
UMBS		Uniform Mortgage-Backed Securities
USD		United States Dollar

(a)		Amount rounds to less than 0.1% of net assets.
(b)		Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended.
(c)		Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2022.
(d)		The rate shown is the effective yield as of February 28, 2022.
(e)		Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and

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, 2022.

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

The various inputs that are used in determining the valuation of the 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, 2022, which were valued using significant unobservable inputs (level 3), amounted to $(3,629). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.

There were no significant transfers into or out of level 3 for the year ended February 28, 2022.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2022, which were valued using significant unobservable inputs (level 3) amounted to $(38). This amount is included in Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.

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, 2022, 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. Loan Assignments — Core Bond Trust invested in debt instruments that are interests in amounts owed to lenders or lending syndicates (a “Lender”) by corporate, governmental or other borrowers (a “Borrower”). A loan is often administered by a bank or other financial institution (the “Agent”) that acts as Agent for all holders. The Agent administers the terms of the loan, as specified in the loan agreement. The above Fund invested in loan assignments of all or a portion of the loans. When a Fund purchases a loan assignment, the Fund has direct rights against the Borrower on a loan, provided, however, the Fund’s rights may be more limited than the Lender from which it acquired the assignment and the Fund may be able to enforce its rights only through the Agent. As a result, a Fund assumes the credit risk of the Borrower as well as any other persons interpositioned between the Fund and the Borrower (“Intermediate Participants”). A Fund may incur certain costs and delays in realizing payment on a loan assignment or suffer a loss of principal and/or interest if assets or interests held by the Agent or other Intermediate Participants are determined to be subject to claims by their creditors. In addition, it is unclear whether loan assignments and other forms of direct indebtedness offer securities law protections against fraud and misrepresentation. Also, because JPMIM may wish to invest in publicly traded securities of a Borrower, it may not have access to material non-public information regarding the Borrower to which other investors have access. Although certain loan assignments are secured by collateral, a Fund could experience delays or limitations in realizing the value on such collateral or have its interest subordinated to other indebtedness of the Borrower.

Loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid when purchased, may become illiquid and difficult to value. In addition, the settlement period for loans is uncertain as there is no standardized settlement schedule applicable to such investments. Therefore, a Fund may not receive the proceeds from a sale of such investments for a period after the sale.

D. 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 and are disclosed in the table below.

The Funds had when-issued securities, delayed delivery securities or forward commitments outstanding as of February 28, 2022, 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, 2022 are detailed on the SOIs.

The Funds’ delayed delivery securities collateral requirements and collateral posted or received by counterparty as of February 28, 2022 are as follows:

E. 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 an affiliated money market fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the 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.

F. Investment Transactions with Affiliates — The Funds invested in an Underlying Fund, which is advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuer listed in the tables below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the tables below.

G. 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.

Core Bond Trust invests 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.

H. 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.

I. 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, 2022, 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.

J. 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.

The reclassifications for the Funds relate primarily to callable bond adjustments and investments in perpetual bonds.

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, 2022 and the contractual expense limitation percentages in the table above are in place until at least June 30, 2022.

For the year ended February 28, 2022, 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, 2022 were as follows:

Effective January 1, 2022, JPMIM voluntarily agreed to reimburse the Funds for the Trustee Fees paid to one of the interested Trustees. For the period January 1, 2022 through February 28, 2022 the amount of these waivers 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, 2022, 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, 2022, 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, 2022 were as follows:

The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to callable bond adjustments.

The tax character of distributions paid during the year ended February 28, 2022 was as follows:

The tax character of distributions paid during the year ended February 28, 2021 was as follows:

As of February 28, 2022, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:

The cumulative timing differences primarily consist of callable bond adjustments.

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, 2022, the Funds deferred to March 1, 2022 the following net capital losses of:

At February 28, 2022, 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, or loans outstanding to another fund, during the year ended February 28, 2022.

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 October 31, 2022.

The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended February 28, 2022.

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 was decreased from 1.25% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month London Interbank Offered Rate (“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 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.

The Funds did not utilize the Credit Facility during the year ended February 28, 2022.

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, 2022, 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. In addition, certain regulated entities ceased entering into most new LIBOR contracts in connection with regulatory guidance or prohibitions. 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, unavailability or replacement, all of which may affect the value, volatility, 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 changing reference rates used for positions, closing out positions and entering into new trades. Certain of a Fund’s investments may transition from LIBOR prior to the dates announced by the FCA. The transition from LIBOR to alternative reference rates may result in operational issues for a Fund or its investments. No assurances can be given as to the impact of the LIBOR transition (and the timing of any such impact) on a Fund and its investments.

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, 2022, the related statements of operations for the year ended February 28, 2022, the statements of changes in net assets for each of the two years in the period ended February 28, 2022, including the related notes, and the financial highlights for each of the five years in the period ended February 28, 2022 (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, 2022, 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, 2022 and each of the financial highlights for each of the five years in the period ended February 28, 2022 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, 2022 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, 2021, and continued to hold your shares at the end of the reporting period, February 28, 2022.

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 covered in this report has adopted the J.P. Morgan Funds and J.P. Morgan Exchange-Traded Funds Amended and Restated Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the Investment Company Act of 1940, as amended (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”), where applicable, 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, 2022, the Board reviewed the Program Administrator’s annual written report (the “Report”) concerning the operation of the Program for the period from January 1, 2021 through December 31, 2021 (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 Fund’s HLIM. During the Program Reporting Period, the Program was amended, pursuant to an exemptive order from the Securities and Exchange Commission, to permit the Funds to use liquidity definitions and classification methodologies that differ from the requirements under the Liquidity

Rule in some respects. The Report discussed the implementation of these changes. No other material changes were made 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 the required liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined or modified under the Program), 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 or modified under the Program) and the procedures for monitoring for this limit; ; and (5) specific liquidity events arising during the Program Reporting Period. The Report further summarized the conditions of the exemptive order.

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, 2022. 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, 2022. The information necessary to complete your income tax returns for the calendar year ending December 31, 2022 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, 2022:


	Long-Term Capital Gain Distribution
JPMorgan Core Bond Trust	$	14,518
JPMorgan Intermediate Bond Trust		795

JPMorgan Institutional Trust ( the “Trust”) held a special meeting of shareholders on October 27, 2021, for the purpose of considering and voting upon the election of Trustees.

Trustees were elected by the shareholders of all of the series of the Trust, including each of the Funds. The results of the voting were as follows:


	Votes Received (Amounts in thousands)
Independent Nominee

John F. Finn
In Favor		206,256
Withheld		0

Steven P. Fisher
In Favor		206,256
Withheld		0

Gary L. French
In Favor		206,256
Withheld		0

Kathleen M. Gallagher
In Favor		206,256
Withheld		0

Robert J. Grassi
In Favor		206,256
Withheld		0

Frankie D. Hughes
In Favor		206,256
Withheld		0

Raymond Kanner
In Favor		206,256
Withheld		0

Thomas P. Lemke
In Favor		206,256
Withheld		0


	Votes Received (Amounts in thousands)

Lawrence R. Maffia
In Favor		206,256
Withheld		0

Mary E. Martinez
In Favor		206,256
Withheld		0

Marilyn McCoy
In Favor		206,256
Withheld		0

Dr. Robert A. Oden, Jr.
In Favor		206,256
Withheld		0

Marian U. Pardo
In Favor		206,256
Withheld		0

Emily A. Youssouf
In Favor		206,256
Withheld		0

Interested Nominee

Robert F. Deutsch
In Favor		206,256
Withheld		0

Nina O. Shenker
In Favor		206,256
Withheld		0

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:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

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:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

The audit committee financial expert is Kathleen M. Gallagher. She 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. Mr. Harrington was not an “interested person” of the Registrant and was “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, 2022 and 2021, 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*			(1.92)%
Bloomberg U.S. Aggregate Index (formerly known as Bloomberg Barclays U.S. Aggregate Index)			(2.64)%

Net Assets as of 2/28/2022 (In Thousands)			$2,073,952
Duration as of 2/28/2022			6.1 Years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022

	INCEPTION DATE OF FUND	1 YEAR			5 YEAR			10 YEAR
	February 7, 2005		(1.92	)%		3.44	%		3.14	%


REPORTING PERIOD RETURN:
Fund*			(2.10)%
Bloomberg Intermediate U.S. Government/Credit Index (formerly known as Bloomberg Barclays Intermediate U.S. Government/Credit Index)			(2.46)%

Net Assets as of 2/28/2022 (In Thousands)			$85,662
Duration as of 2/28/2022			3.7 Years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2022

	INCEPTION DATE OF FUND	1 YEAR			5 YEAR			10 YEAR
	February 7, 2005		(2.10	)%		2.66	%		2.46	%


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			59

Financial Highlights			62

Notes to Financial Statements			66

Report of Independent Registered Public Accounting Firm			76

Trustees			77

Officers			80

Schedule of Shareholder Expenses			81

Liquidity Risk Management Program			82

Tax Letter			83

Special Shareholder Meeting Results			84


		prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2022.
(f)		Amount rounds to less than one thousand.
(g)		All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment.
(h)		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, 2022.
(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, 2022.
‡		Value determined using significant unobservable inputs.



	JPMorgan Core Bond Trust			JPMorgan Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	2,048,834		$	84,403
Investments in affiliates, at value		80,987			1,357
Restricted cash for delayed delivery securities		550			—
Cash		3,556			7
Receivables:
Investment securities sold		2,654			5
Investment securities sold — delayed delivery securities		8,515			159
Interest from non-affiliates		9,215			332
Dividends from affiliates		4			—	(a)
Due from adviser		—			3

Total Assets		2,154,315			86,266


LIABILITIES:
Payables:
Investment securities purchased		3,567			200
Investment securities purchased — delayed delivery securities		76,545			363
Accrued liabilities:
Investment advisory fees		179			—
Custodian and accounting fees		21			8
Other		51			33

Total Liabilities		80,363			604

Net Assets	$	2,073,952		$	85,662


NET ASSETS:
Paid-in-Capital	$	2,084,554		$	85,522
Total distributable earnings (loss)		(10,602	)		140

Total Net Assets	$	2,073,952		$	85,662


Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		207,749			9,044
Net asset value, offering and redemption price per share (b)	$	9.98		$	9.47


Cost of investments in non-affiliates	$	2,058,701		$	84,034
Cost of investments in affiliates		80,982			1,357



	JPMorgan Core Bond Trust			JPMorgan Intermediate Bond Trust
INVESTMENT INCOME:
Interest income from non-affiliates	$	55,263		$	2,335
Dividend income from affiliates		61			1

Total investment income		55,324			2,336


EXPENSES:
Investment advisory fees		5,944			259
Administration fees		2,123			93
Custodian and accounting fees		167			71
Interest expense to affiliates		—	(a)		—
Professional fees		116			64
Trustees’ and Chief Compliance Officer’s fees		31			25
Printing and mailing costs		23			1
Transfer agency fees		14			1
Other		120			11

Total expenses		8,538			525

Less fees waived		(5,482	)		(355	)
Less expense reimbursements		—			(33	)

Net expenses		3,056			137

Net investment income (loss)		52,268			2,199


REALIZED/UNREALIZED GAINS (LOSSES):
Net realized gain (loss) on transactions from:
Investments in non-affiliates		6,279			299
Investments in affiliates		(18	)		—	(a)

Net realized gain (loss)		6,261			299

Change in net unrealized appreciation/depreciation on:
Investments in non-affiliates		(99,786	)		(4,311	)
Investments in affiliates		(5	)		—	(a)

Change in net unrealized appreciation/depreciation		(99,791	)		(4,311	)

Net realized/unrealized gains (losses)		(93,530	)		(4,012	)

Change in net assets resulting from operations	$	(41,262	)	$	(1,813	)


	JPMorgan Core Bond Trust						JPMorgan Intermediate Bond Trust
	Year Ended February 28, 2022			Year Ended February 28, 2021			Year Ended February 28, 2022			Year Ended February 28, 2021
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	52,268		$	58,263		$	2,199		$	3,307
Net realized gain (loss)		6,261			48,621			299			2,760
Change in net unrealized appreciation/depreciation		(99,791	)		(62,702	)		(4,311	)		(2,546	)

Change in net assets resulting from operations		(41,262	)		44,182			(1,813	)		3,521


DISTRIBUTIONS TO SHAREHOLDERS:
Total distributions to shareholders		(67,247	)		(108,836	)		(3,003	)		(4,940	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		372,391			784,534			3,085			5,450
Distributions reinvested		62,290			103,812			2,025			3,651
Cost of shares redeemed		(472,906	)		(662,720	)		(19,782	)		(42,534	)

Change in net assets resulting from capital transactions		(38,225	)		225,626			(14,672	)		(33,433	)


NET ASSETS:
Change in net assets		(146,734	)		160,972			(19,488	)		(34,852	)
Beginning of period		2,220,686			2,059,714			105,150			140,002

End of period	$	2,073,952		$	2,220,686		$	85,662		$	105,150


SHARE TRANSACTIONS:
Issued		35,822			72,882			311			535
Reinvested		6,006			9,653			207			358
Redeemed		(45,563	)		(61,771	)		(1,987	)		(4,135	)

Change in Shares		(3,735	)		20,764			(1,469	)		(3,242	)


			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, 2022	$	10.50	$	0.26	$	(0.45	)	$	(0.19	)	$	(0.26	)	$	(0.07	)	$	(0.33	)
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	)


		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

$	9.98		(1.92	)%	$	2,073,952		0.14	%		2.46	%		0.40	%		66	%
	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


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Asset-Backed Securities	$	—	$	169,238	$	59,313	$	228,551
Collateralized Mortgage Obligations		—		219,070		14,123		233,193
Commercial Mortgage-Backed Securities		—		79,135		1,684		80,819
Corporate Bonds		—		563,008		—		563,008
Foreign Government Securities		—		9,507		—		9,507
Loan Assignments		—		3,514		—		3,514
Mortgage-Backed Securities		—		337,515		—		337,515
Municipal Bonds		—		11,842		—		11,842
U.S. Government Agency Securities		—		15,276		—		15,276
U.S. Treasury Obligations		—		565,609		—		565,609
Short-Term Investments
Investment Companies		80,987		—		—		80,987

Total Investments in Securities	$	80,987	$	1,973,714	$	75,120	$	2,129,821


Core Bond Trust	Balance as of February 28, 2021		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, 2022
Investments in Securities:
Asset-Backed Securities	$	58,045	$	—		$	(2,462	)	$	(106	)	$	20,387	$	(12,984	)	$	—	$	(3,567	)	$	59,313
Collateralized Mortgage Obligations		32,493		—	(a)		(1,295	)		(845	)		5,620		(21,850	)		—		—			14,123
Commercial Mortgage-Backed Securities		4,574		—			(77	)		(115	)		4		—	(a)		—		(2,702	)		1,684

Total	$	95,112	$	—	(a)	$	(3,834	)	$	(1,066	)	$	26,011	$	(34,834	)	$	—	$	(6,269	)	$	75,120


Intermediate Bond Trust	Balance as of February 28, 2021		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, 2022
Investments in Securities:
Asset-Backed Securities	$	894	$	—	$	(14	)	$	—	(a)	$	100	$	(856	)	$	—	$	—	$	124
Collateralized Mortgage Obligations		654		—		(29	)		—	(a)		1		(130	)		—		—		496

Total	$	1,548	$	—	$	(43	)	$	—	(a)	$	101	$	(986	)	$	—	$	—	$	620



FEBRUARY 28, 2022	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2022



FEBRUARY 28, 2022	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2022


	Fair Value at February 28, 2022		Valuation Technique(s)	Unobservable Input	Range (Weighted Average) (a)
	$	48,555	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 30.00% (5.98%)
				Constant Default Rate		0.00% - 4.92% (0.07%)
				Yield (Discount Rate of Cash Flows)		1.26% - 5.73% (3.64%)

Asset-Backed Securities		48,555

		7,632	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (69.62%)
				Constant Default Rate		0.00% - 6.69% (0.89%)
				Yield (Discount Rate of Cash Flows)		1.91% - 19.30% (6.12%)

Collateralized Mortgage Obligations		7,632

		1,684	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (0.46%)
				Yield (Discount Rate of Cash Flows)		-0.87% - 6.53% (4.90%)

Commercial Mortgage-Backed Securities		1,684

Total	$	57,871


Fund		Counterparty		Collateral amount
Core Bond Trust	Collateral Posted		Goldman Sachs & Co. LLC	$	550


For the year ended February 28, 2022
Security Description	Value at February 28, 2021		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation/ (Depreciation)			Value at February 28, 2022		Shares at February 28, 2022		Dividend Income		Capital Gain Distributions
JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b)	$	108,295	$	720,581	$	747,866	$	(18	)	$	(5	)	$	80,987		80,963	$	61	$	—


	Paid-in-Capital		Accumulated undistributed (distributions in excess of) net investment income			Accumulated net realized gains (losses)
Core Bond Trust	$	—	$	(12	)	$	12
Intermediate Bond Trust		—		1			(1	)


	Contractual Waivers
	Investment Advisory Fees		Administration Fees		Total		Contractual Reimbursements
Core Bond Trust	$	3,225	$	2,123	$	5,348	$	—
Intermediate Bond Trust		259		93		352		33


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	1,047,195	$	1,135,105	$	321,149	$	315,451
Intermediate Bond Trust		13,820		25,845		18,626		19,526


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	2,140,864	$	40,759	$	51,802	$	(11,043	)
Intermediate Bond Trust		85,465		1,556		1,261		295


	Ordinary Income*		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	52,729	$	14,518	$	67,247
Intermediate Bond Trust		2,208		795		3,003


	Current Distributable Ordinary Income		Unrealized Appreciation (Depreciation)
Core Bond Trust	$	519	$	(11,043	)
Intermediate Bond Trust		14		295


	Net Capital Losses (Gains)
	Short-Term		Long-Term
Core Bond Trust	$	1,735	$	(1,730	)
Intermediate Bond Trust		156		(25	)


	Number of Individual Shareholder and/or Non-Affiliated Omnibus Accounts		% of the Fund
Core Bond Trust		1		16.4	%
Intermediate Bond Trust		4		82.5


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 since 1998.	Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present).	172	Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present).

Stephen P. Fisher (1959); Trustee 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).	172	Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present).

Gary L. French (1951); Trustee since 2014.	Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017).	172	Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014).

Kathleen M. Gallagher (1958); Trustee since 2018.	Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016).	172	Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016).

Robert J. Grassi (1957); Trustee since 2014.	Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012).	172	None

Frankie D. Hughes (1952); Trustee 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).	172	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. since 2014.

Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018)		Executive Director, J.P. Morgan Investment 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 2010-2019)**		Managing 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.

Kiesha Astwood-Smith (1973), Assistant Secretary (2021)**		Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from 2015 to 2021.

Matthew Beck (1988), Assistant Secretary (2021)***		Vice President and Assistant General Counsel, JPMorgan Chase since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018.

Elizabeth A. Davin (1964), Assistant Secretary (2005)***		Executive Director and Assistant General Counsel, JPMorgan Chase. 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.

Max Vogel (1990), Assistant Secretary (2021)**		Vice President and Assistant General Counsel, JPMorgan Chase since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 through June 2021; Associate, Stroock & Stroock & Lavan LLP (law firm) from October 2015 through March 2017.

Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)**		Vice President and Assistant General Counsel, JPMorgan Chase since September 2016.

Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)		Managing Director, J.P. Morgan Investment 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. since February 2012.

Shannon Gaines (1977), Assistant Treasurer (2018)***		Vice President, J.P. Morgan Investment Management Inc. since January 2014.

Jeffrey D. House (1972), Assistant Treasurer (2017)***		Vice President, J.P. Morgan Investment Management Inc. since July 2006.

Michael Mannarino (1985), Assistant Treasurer (2020)		Vice President, J.P. Morgan Investment Management Inc. since 2014.

Joseph Parascondola (1963), Assistant Treasurer (2011)*		Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006.

Gillian I. Sands (1969), Assistant Treasurer (2012)		Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012.


	Beginning Account Value September 1, 2021		Ending Account Value February 28, 2022		Expenses Paid During the Period*		Annualized Expense Ratio
JPMorgan Core Bond Trust
Actual	$	1,000.00	$	963.80	$	0.68		0.14	%
Hypothetical		1,000.00		1,024.10		0.70		0.14

JPMorgan Intermediate Bond Trust
Actual		1,000.00		970.80		0.73		0.15
Hypothetical		1,000.00		1,024.05		0.75		0.15


	Income from U.S. Treasury Obligations
JPMorgan Core Bond Trust		14.8	%
JPMorgan Intermediate Bond Trust		12.2



FACTS		WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION?


Why?		Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.


How?		All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing.



Reasons we can share your personal information	Does J.P. Morgan Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes — information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share



Questions?		Call 1-800-480-4111 or go to www.jpmorganfunds.com