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THE “UNAUDITED EXCHANGE-TRADED FUNDS HOLDINGS”
LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES
ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS
ADVERTISING OR SALES LITERATURE WITH THE GENERAL
PUBLIC. The list is submitted for the general information of the
shareholders of the Fund. It is not authorized for distribution to
prospective investors in the Fund unless preceded or accompanied by a
prospectus. The list has been created from the books and records of
the Fund. Holdings are available 60 days after the fund’s fiscal quarter,
using a trade date accounting convention, by contacting the appropriate
service center. The list is subject to change without notice. The list is
for informational purposes only and is not intended as an offer or
solicitation with respect to the purchase or sale of any security.
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JPMorgan Asset Management is the marketing name for the asset
management business of J.P. Morgan Chase & Co.
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J.P. Morgan Distribution Services, Inc., member FINRA.
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© J.P. Morgan Chase & Co., 2023.
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
U.S. Treasury Obligations — 27.0%
|
||
|
U.S. Treasury Bonds
|
|
|
|
3.88%, 8/15/2040
|
600,000
|
546,258
|
|
4.75%, 2/15/2041
|
1,679,000
|
1,699,660
|
|
4.38%, 8/15/2043
|
5,380,000
|
5,142,103
|
|
4.13%, 8/15/2053
|
2,759,000
|
2,580,096
|
|
U.S. Treasury Notes
|
|
|
|
5.00%, 9/30/2025
|
2,200,000
|
2,208,078
|
|
4.38%, 8/15/2026
|
11,200,000
|
11,158,437
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|
4.63%, 9/30/2028
|
4,380,000
|
4,437,487
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|
2.38%, 3/31/2029
|
1,000,000
|
906,523
|
|
4.13%, 8/31/2030
|
4,735,000
|
4,666,010
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|
4.88%, 10/31/2030
|
1,300,000
|
1,339,000
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|
3.38%, 5/15/2033
|
1,800,000
|
1,663,313
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U.S. Treasury STRIPS Bonds
5.37%, 2/15/2041 (a)
|
2,249,000
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968,728
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Total U.S. Treasury Obligations
(Cost $36,550,437)
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37,315,693
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Mortgage-Backed Securities — 25.1%
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FHLMC Gold Pools, Other Pool # RE0003, 4.00%, 7/1/2049
|
560,716
|
526,182
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FNMA UMBS, 30 Year
|
|
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Pool # AL9058, 3.50%, 9/1/2046
|
315,060
|
284,058
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|
Pool # AL9397, 3.00%, 10/1/2046
|
399,818
|
346,715
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Pool # BE9590, 3.50%, 5/1/2047
|
149,756
|
134,183
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|
Pool # BQ3137, 2.50%, 10/1/2050
|
448,739
|
370,979
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|
Pool # CA8021, 2.50%, 12/1/2050
|
489,706
|
399,548
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Pool # CB0458, 2.50%, 5/1/2051
|
477,203
|
389,525
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Pool # CB0397, 3.00%, 5/1/2051
|
278,274
|
236,591
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Pool # FM7910, 2.50%, 7/1/2051
|
655,616
|
541,753
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Pool # CB1406, 3.00%, 8/1/2051
|
842,019
|
715,885
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Pool # BU3608, 3.00%, 11/1/2051
|
148,462
|
126,208
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Pool # BU9885, 2.50%, 1/1/2052
|
640,758
|
519,578
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Pool # CB2855, 2.50%, 2/1/2052
|
781,630
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641,942
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Pool # CB3384, 4.00%, 4/1/2052
|
416,047
|
378,050
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Pool # CB3775, 4.00%, 6/1/2052
|
385,322
|
350,174
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Pool # BY9849, 6.00%, 10/1/2053
|
576,814
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578,524
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FNMA, Other
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Pool # BS2870, 1.27%, 8/1/2028
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348,659
|
296,568
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Pool # BS5507, 3.23%, 11/1/2028
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300,000
|
278,064
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Pool # BS4928, 2.15%, 3/1/2029
|
2,646,000
|
2,311,227
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Pool # BL4429, 2.25%, 10/1/2029
|
301,160
|
262,652
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Pool # AM6835, 3.58%, 10/1/2029
|
1,180,603
|
1,098,181
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Pool # AN8514, 3.27%, 2/1/2030
|
962,735
|
880,067
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Pool # BS6161, 4.47%, 8/1/2030
|
494,211
|
478,238
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Pool # BM6857, 1.83%, 12/1/2031 (b)
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1,499,208
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1,191,922
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Pool # BS5337, 3.01%, 4/1/2032
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310,000
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269,657
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Pool # BS5581, 3.46%, 6/1/2032
|
371,652
|
335,310
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Pool # BS5659, 3.66%, 6/1/2032
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795,000
|
718,963
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Pool # AN5759, 3.29%, 7/1/2032
|
1,142,153
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1,012,958
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Pool # BS5530, 3.30%, 7/1/2032
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701,000
|
617,258
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
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Mortgage-Backed Securities — continued
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Pool # BS6132, 3.86%, 7/1/2032
|
415,000
|
381,821
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Pool # BS6276, 3.97%, 8/1/2032
|
680,000
|
627,745
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Pool # BS5718, 3.46%, 9/1/2032
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900,000
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799,142
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Pool # BS6689, 3.83%, 9/1/2032
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390,000
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357,287
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Pool # BS6417, 3.83%, 10/1/2032
|
499,423
|
459,129
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Pool # BS6951, 3.90%, 10/1/2032
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500,000
|
458,784
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Pool # BS6619, 3.91%, 10/1/2032
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594,928
|
545,694
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Pool # BS6731, 3.78%, 11/1/2032
|
133,511
|
121,882
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Pool # BS1636, 2.25%, 4/1/2033
|
750,000
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600,571
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Pool # BS1899, 2.17%, 5/1/2033
|
605,000
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480,738
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Pool # BS9616, 4.79%, 9/1/2033
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300,000
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292,995
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Pool # BL2213, 3.34%, 5/1/2034
|
1,000,000
|
871,925
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Pool # BL3772, 2.92%, 10/1/2034
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111,243
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93,794
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Pool # BL7071, 1.91%, 6/1/2035
|
383,000
|
277,782
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Pool # AN4430, 3.61%, 1/1/2037
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426,749
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389,949
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Pool # BF0189, 3.00%, 6/1/2057
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695,207
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567,927
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FNMA/FHLMC UMBS, Single Family, 30 Year
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TBA, 2.50%, 12/25/2053 (c)
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2,800,000
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2,266,687
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TBA, 5.00%, 12/25/2053 (c)
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7,800,000
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7,505,647
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GNMA II, 30 Year
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Pool # AQ6679, 3.50%, 10/20/2045
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134,405
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122,033
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Pool # AK8802, 3.75%, 3/20/2046
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301,525
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277,852
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Pool # CO8957, 5.00%, 12/20/2052
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811,403
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785,232
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Pool # CX2674, 6.00%, 10/20/2053
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228,925
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233,463
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Total Mortgage-Backed Securities
(Cost $33,871,238)
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34,809,039
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Asset-Backed Securities — 19.7%
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ACM Auto Trust Series 2023-2A, Class A, 7.97%, 6/20/2030 (d)
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346,041
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346,902
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American Credit Acceptance Receivables Trust Series 2023-4, Class C, 6.99%, 9/12/2030 (d)
|
430,000
|
434,818
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AMSR Trust
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Series 2020-SFR2, Class E1, 4.03%, 7/17/2037 (d)
|
253,000
|
240,389
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Series 2020-SFR4, Class D, 2.01%, 11/17/2037 (d)
|
544,000
|
497,756
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Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (d)
|
100,000
|
88,616
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Series 2023-SFR2, Class E1, 3.95%, 6/17/2040 (d)
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550,000
|
465,003
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Bridge Trust Series 2022-SFR1, Class A, 3.40%, 11/17/2037 (d)
|
350,000
|
329,020
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Bridgecrest Lending Auto Securitization Trust Series 2023-1, Class C, 7.10%, 8/15/2029
|
350,000
|
355,234
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BXG Receivables Note Trust Series 2022-A, Class C, 5.35%, 9/28/2037 (d)
|
263,034
|
246,693
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Carvana Auto Receivables Trust
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Series 2023-N1, Class B, 5.85%, 11/10/2027 (d)
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660,000
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652,516
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Series 2021-P4, Class A4, 1.64%, 12/10/2027
|
400,000
|
363,172
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Series 2022-P1, Class A4, 3.52%, 2/10/2028
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300,000
|
283,661
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CPS Auto Receivables Trust Series 2023-D, Class C, 7.17%, 1/15/2030 (d)
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400,000
|
403,981
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Credit Acceptance Auto Loan Trust
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Series 2021-2A, Class A, 0.96%, 2/15/2030 (d)
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971,792
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964,752
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Series 2021-2A, Class C, 1.64%, 6/17/2030 (d)
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800,000
|
772,526
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Series 2021-4, Class A, 1.26%, 10/15/2030 (d)
|
458,114
|
447,225
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Series 2021-4, Class C, 1.94%, 2/18/2031 (d)
|
480,000
|
445,908
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Series 2023-2A, Class A, 5.92%, 5/16/2033 (d)
|
600,000
|
594,945
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DP Lion Holdco LLC Series 2023-1A, Class A, 8.24%, 11/30/2043
|
250,000
|
250,000
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
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FHF Issuer Trust Series 2023-2A, Class B, 7.49%, 11/15/2029 (d)
|
450,000
|
457,999
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First Investors Auto Owner Trust Series 2023-1A, Class C, 6.81%, 12/17/2029 (d)
|
340,000
|
343,545
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|
FirstKey Homes Trust
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|
|
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Series 2020-SFR1, Class D, 2.24%, 8/17/2037 (d)
|
400,000
|
368,841
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|
Series 2020-SFR2, Class C, 1.67%, 10/19/2037 (d)
|
295,000
|
268,689
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|
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (d)
|
615,000
|
565,291
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|
Series 2021-SFR1, Class C, 1.89%, 8/17/2038 (d)
|
450,000
|
396,609
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|
FMC GMSR Issuer Trust
|
|
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|
Series 2020-GT1, Class A, 4.45%, 1/25/2026 (b) (d)
|
500,000
|
439,592
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|
Series 2021-GT1, Class A, 3.62%, 7/25/2026 (b) (d)
|
463,095
|
390,427
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|
Series 2021-GT2, Class A, 3.85%, 10/25/2026 (b) (d)
|
522,400
|
442,779
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Series 2022-GT1, Class B, 7.17%, 4/25/2027 (d)
|
500,000
|
435,767
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|
Foundation Finance Trust Series 2023-2A, Class D, 9.10%, 6/15/2049 (d)
|
500,000
|
511,726
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|
GLS Auto Select Receivables Trust Series 2023-2A, Class A3, 6.38%, 2/15/2029 (d)
|
500,000
|
505,185
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|
Granite Park Equipment Leasing LLC
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|
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|
Series 2023-1A, Class A3, 6.46%, 9/20/2032 (d)
|
354,000
|
358,557
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|
Series 2023-1A, Class D, 7.00%, 8/22/2033 (d)
|
350,000
|
337,280
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|
Hilton Grand Vacations Trust Series 2022-2A, Class B, 4.74%, 1/25/2037 (d)
|
460,034
|
441,997
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|
HIN Timeshare Trust Series 2020-A, Class A, 1.39%, 10/9/2039 (d)
|
337,141
|
308,215
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|
Home Partners of America Trust Series 2020-2, Class E, 3.08%, 1/17/2041 (d)
|
493,656
|
398,443
|
|
Lendmark Funding Trust Series 2021-1A, Class B, 2.47%, 11/20/2031 (d)
|
400,000
|
336,852
|
|
Mariner Finance Issuance Trust
|
|
|
|
Series 2020-AA, Class A, 2.19%, 8/21/2034 (d)
|
251,566
|
245,156
|
|
Series 2020-AA, Class B, 3.21%, 8/21/2034 (d)
|
200,000
|
188,947
|
|
Series 2021-AA, Class B, 2.33%, 3/20/2036 (d)
|
310,000
|
270,776
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|
Series 2021-AA, Class C, 2.96%, 3/20/2036 (d)
|
200,000
|
172,606
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|
Series 2021-AA, Class D, 3.83%, 3/20/2036 (d)
|
225,000
|
193,761
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|
Series 2021-BA, Class C, 2.66%, 11/20/2036 (d)
|
200,000
|
166,877
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Merchants Fleet Funding LLC Series 2023-1A, Class A, 7.21%, 5/20/2036 (d)
|
500,000
|
503,282
|
|
MNR ABS Issuer I LLC, 8.95%, 12/15/2038
|
250,000
|
250,000
|
|
New Residential Mortgage Loan Trust Series 2022-SFR1, Class B, 2.85%, 2/17/2039 (d)
|
455,000
|
407,516
|
|
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (d)
|
493,051
|
467,517
|
|
Oportun Issuance Trust Series 2021-C, Class A, 2.18%, 10/8/2031 (d)
|
168,000
|
153,782
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|
Prestige Auto Receivables Trust Series 2023-2A, Class C, 7.12%, 8/15/2029 (d)
|
390,000
|
394,348
|
|
Pretium Mortgage Credit Partners LLC
|
|
|
|
Series 2022-NPL1, Class A1, 2.98%, 1/25/2052 (d) (e)
|
490,903
|
471,386
|
|
Series 2021-RN1, Class A1, 1.99%, 2/25/2061 (d) (e)
|
179,196
|
170,500
|
|
Progress Residential
|
|
|
|
Series 2021-SFR3, Class A, 1.64%, 5/17/2026 (d)
|
98,748
|
88,786
|
|
Series 2021-SFR1, Class C, 1.56%, 4/17/2038 (d)
|
500,000
|
446,062
|
|
Progress Residential Trust
|
|
|
|
Series 2023-SFR2, Class D, 4.50%, 10/17/2028 (d)
|
450,000
|
401,035
|
|
Series 2021-SFR6, Class A, 1.52%, 7/17/2038 (d)
|
99,569
|
88,659
|
|
Series 2023-SFR1, Class E2, 6.60%, 3/17/2040 (d)
|
450,000
|
421,742
|
|
Series 2021-SFR7, Class A, 1.69%, 8/17/2040 (d)
|
419,233
|
346,580
|
|
Series 2022-SFR4, Class A, 4.44%, 5/17/2041 (d)
|
199,486
|
185,835
|
|
PRPM LLC Series 2021-7, Class A1, 1.87%, 8/25/2026 (d) (e)
|
413,972
|
391,413
|
|
Regional Management Issuance Trust Series 2022-1, Class B, 3.71%, 3/15/2032 (d)
|
300,000
|
272,406
|
|
Renew Series 2023-1A, Class A, 5.90%, 11/20/2058 ‡ (d)
|
487,365
|
461,717
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Republic Finance Issuance Trust Series 2020-A, Class B, 3.54%, 11/20/2030 (d)
|
125,000
|
119,353
|
|
SCF Equipment Leasing LLC
|
|
|
|
Series 2022-2A, Class A3, 6.50%, 10/21/2030 (d)
|
600,000
|
603,405
|
|
Series 2023-1A, Class A3, 6.17%, 5/20/2032 (d)
|
300,000
|
302,550
|
|
Series 2023-1A, Class D, 7.00%, 8/22/2033 (d)
|
399,000
|
392,184
|
|
Sierra Timeshare Receivables Funding LLC
|
|
|
|
Series 2021-2A, Class A, 1.35%, 9/20/2038 (d)
|
103,499
|
96,326
|
|
Series 2021-2A, Class C, 1.95%, 9/20/2038 (d)
|
29,278
|
26,977
|
|
Series 2023-1A, Class C, 7.00%, 1/20/2040 (d)
|
441,820
|
441,646
|
|
Series 2022-2A, Class C, 6.36%, 6/20/2040 (d)
|
400,058
|
395,350
|
|
Tricolor Auto Securitization Trust Series 2022-1A, Class D, 5.38%, 1/15/2026 (d)
|
350,000
|
341,165
|
|
Tricon American Homes Trust Series 2020-SFR2, Class E1, 2.73%, 11/17/2039 (d)
|
500,000
|
425,627
|
|
Tricon Residential Trust
|
|
|
|
Series 2023-SFR2, Class C, 5.00%, 12/17/2028 (d)
|
300,000
|
278,882
|
|
Series 2022-SFR1, Class E1, 5.34%, 4/17/2039 (d)
|
272,000
|
250,915
|
|
Vericrest Opportunity Loan Transferee Series 2021-NP11, Class A1, 1.87%, 8/25/2051 (d) (e)
|
237,098
|
221,695
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (d) (e)
|
74,247
|
69,422
|
|
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (d) (e)
|
152,872
|
143,823
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (d) (e)
|
159,075
|
151,718
|
|
Westlake Automobile Receivables Trust Series 2023-4A, Class D, 7.19%, 7/16/2029 (d)
|
350,000
|
352,802
|
|
Total Asset-Backed Securities
(Cost $26,969,405)
|
|
27,265,440
|
|
Corporate Bonds — 16.0%
|
||
|
Aerospace & Defense — 0.9%
|
||
|
BAE Systems plc (United Kingdom) 5.80%, 10/11/2041 (d)
|
100,000
|
97,777
|
|
Boeing Co. (The)
|
|
|
|
5.15%, 5/1/2030
|
250,000
|
247,694
|
|
5.71%, 5/1/2040
|
160,000
|
157,751
|
|
3.38%, 6/15/2046
|
400,000
|
273,873
|
|
L3Harris Technologies, Inc.
|
|
|
|
5.40%, 7/31/2033
|
100,000
|
99,673
|
|
4.85%, 4/27/2035
|
115,000
|
107,895
|
|
Northrop Grumman Corp. 5.15%, 5/1/2040
|
110,000
|
104,970
|
|
RTX Corp. 3.03%, 3/15/2052
|
170,000
|
107,657
|
|
|
|
1,197,290
|
|
Automobiles — 0.1%
|
||
|
General Motors Co. 5.95%, 4/1/2049
|
130,000
|
118,550
|
|
Banks — 3.1%
|
||
|
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 1.10%), 2.47%,
12/13/2029 (d) (f)
|
200,000
|
169,652
|
|
Bank of America Corp.
|
|
|
|
(SOFR + 1.06%), 2.09%, 6/14/2029 (f)
|
500,000
|
429,904
|
|
(SOFR + 1.21%), 2.57%, 10/20/2032 (f)
|
500,000
|
397,926
|
|
Banque Federative du Credit Mutuel SA (France) 5.79%, 7/13/2028 (d)
|
200,000
|
202,033
|
|
BPCE SA (France)
|
|
|
|
(SOFR + 1.98%), 6.61%, 10/19/2027 (d) (f)
|
250,000
|
253,197
|
|
(SOFR + 2.59%), 7.00%, 10/19/2034 (d) (f)
|
250,000
|
257,634
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Banks — continued
|
||
|
Citigroup, Inc.
|
|
|
|
(3-MONTH CME TERM SOFR + 1.45%), 4.08%, 4/23/2029 (f)
|
150,000
|
141,033
|
|
(SOFR + 1.18%), 2.52%, 11/3/2032 (f)
|
250,000
|
197,918
|
|
Credit Agricole SA (France) (SOFR + 1.86%), 6.32%, 10/3/2029 (d) (f)
|
250,000
|
254,797
|
|
HSBC Holdings plc (United Kingdom)
|
|
|
|
(SOFR + 1.29%), 2.21%, 8/17/2029 (f)
|
200,000
|
169,745
|
|
(SOFR + 2.39%), 6.25%, 3/9/2034 (f)
|
200,000
|
203,697
|
|
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.70%),
5.87%, 3/6/2029 (f)
|
200,000
|
200,526
|
|
Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.90%), 5.75%,
7/6/2034 (f)
|
200,000
|
199,130
|
|
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (d) (g)
|
250,000
|
196,372
|
|
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 1.95%), 5.81%,
9/13/2029 (f)
|
200,000
|
199,092
|
|
Societe Generale SA (France) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 1.30%), 2.89%,
6/9/2032 (d) (f)
|
200,000
|
156,610
|
|
Wells Fargo & Co.
|
|
|
|
(SOFR + 1.79%), 6.30%, 10/23/2029 (f)
|
315,000
|
324,490
|
|
(SOFR + 2.06%), 6.49%, 10/23/2034 (f)
|
265,000
|
276,767
|
|
|
|
4,230,523
|
|
Beverages — 0.2%
|
||
|
Anheuser-Busch InBev Worldwide, Inc. (Belgium) 5.80%, 1/23/2059
|
155,000
|
161,880
|
|
Molson Coors Beverage Co. 4.20%, 7/15/2046
|
105,000
|
83,270
|
|
|
|
245,150
|
|
Biotechnology — 0.6%
|
||
|
AbbVie, Inc.
|
|
|
|
4.55%, 3/15/2035
|
150,000
|
141,648
|
|
4.05%, 11/21/2039
|
120,000
|
103,132
|
|
4.25%, 11/21/2049
|
255,000
|
214,530
|
|
Amgen, Inc. 5.75%, 3/2/2063
|
225,000
|
220,182
|
|
Gilead Sciences, Inc. 2.60%, 10/1/2040
|
115,000
|
79,133
|
|
|
|
758,625
|
|
Broadline Retail — 0.1%
|
||
|
Amazon.com, Inc. 3.25%, 5/12/2061
|
160,000
|
109,637
|
|
Building Products — 0.1%
|
||
|
Masco Corp. 6.50%, 8/15/2032
|
100,000
|
104,141
|
|
Capital Markets — 0.8%
|
||
|
Bank of New York Mellon Corp. (The)
|
|
|
|
(SOFR + 1.60%), 6.32%, 10/25/2029 (f)
|
110,000
|
114,129
|
|
(SOFR + 1.85%), 6.47%, 10/25/2034 (f)
|
110,000
|
116,315
|
|
Goldman Sachs Group, Inc. (The)
|
|
|
|
(SOFR + 1.25%), 2.38%, 7/21/2032 (f)
|
250,000
|
196,860
|
|
(3-MONTH CME TERM SOFR + 1.69%), 4.41%, 4/23/2039 (f)
|
250,000
|
215,427
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
Morgan Stanley
|
|
|
|
(SOFR + 1.59%), 5.16%, 4/20/2029 (f)
|
250,000
|
245,845
|
|
(SOFR + 1.87%), 5.25%, 4/21/2034 (f)
|
250,000
|
239,540
|
|
|
|
1,128,116
|
|
Chemicals — 0.2%
|
||
|
CF Industries, Inc. 5.15%, 3/15/2034
|
100,000
|
94,684
|
|
DuPont de Nemours, Inc. 5.32%, 11/15/2038
|
80,000
|
77,798
|
|
LYB International Finance III LLC 4.20%, 10/15/2049
|
80,000
|
58,892
|
|
Nutrien Ltd. (Canada) 5.00%, 4/1/2049
|
85,000
|
73,137
|
|
|
|
304,511
|
|
Construction Materials — 0.1%
|
||
|
Martin Marietta Materials, Inc. 3.20%, 7/15/2051
|
85,000
|
57,099
|
|
Consumer Finance — 0.4%
|
||
|
AerCap Ireland Capital DAC (Ireland) 3.00%, 10/29/2028
|
200,000
|
176,271
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
|
|
|
4.38%, 5/1/2026 (d)
|
40,000
|
38,077
|
|
2.53%, 11/18/2027 (d)
|
300,000
|
259,233
|
|
|
|
473,581
|
|
Consumer Staples Distribution & Retail — 0.2%
|
||
|
7-Eleven, Inc. 1.80%, 2/10/2031 (d)
|
100,000
|
78,162
|
|
Alimentation Couche-Tard, Inc. (Canada) 3.44%, 5/13/2041 (d)
|
125,000
|
88,243
|
|
Kroger Co. (The) 5.00%, 4/15/2042
|
95,000
|
82,632
|
|
|
|
249,037
|
|
Diversified REITs — 0.2%
|
||
|
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (d)
|
150,000
|
136,942
|
|
Simon Property Group LP 3.25%, 9/13/2049
|
85,000
|
55,922
|
|
WP Carey, Inc. 2.25%, 4/1/2033
|
100,000
|
73,873
|
|
|
|
266,737
|
|
Diversified Telecommunication Services — 0.3%
|
||
|
AT&T, Inc.
|
|
|
|
3.50%, 6/1/2041
|
145,000
|
107,769
|
|
3.80%, 12/1/2057
|
240,000
|
164,047
|
|
Verizon Communications, Inc.
|
|
|
|
2.65%, 11/20/2040
|
130,000
|
88,492
|
|
3.55%, 3/22/2051
|
155,000
|
111,485
|
|
|
|
471,793
|
|
Electric Utilities — 1.7%
|
||
|
DTE Electric Co. 5.40%, 4/1/2053
|
70,000
|
68,036
|
|
Duke Energy Corp. 3.75%, 9/1/2046
|
270,000
|
195,455
|
|
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (d)
|
100,000
|
76,162
|
|
Emera US Finance LP (Canada) 4.75%, 6/15/2046
|
75,000
|
57,665
|
|
Entergy Texas, Inc. 5.80%, 9/1/2053
|
125,000
|
123,984
|
|
Evergy Metro, Inc. 5.30%, 10/1/2041
|
105,000
|
98,289
|
|
FirstEnergy Transmission LLC 5.45%, 7/15/2044 (d)
|
115,000
|
104,143
|
|
Fortis, Inc. (Canada) 3.06%, 10/4/2026
|
100,000
|
93,514
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
ITC Holdings Corp. 2.95%, 5/14/2030 (d)
|
100,000
|
85,258
|
|
Massachusetts Electric Co. 4.00%, 8/15/2046 (d)
|
65,000
|
45,865
|
|
Monongahela Power Co. 5.85%, 2/15/2034 (d)
|
100,000
|
100,379
|
|
NextEra Energy Capital Holdings, Inc. 5.25%, 2/28/2053
|
120,000
|
109,231
|
|
Oncor Electric Delivery Co. LLC 4.95%, 9/15/2052 (d)
|
110,000
|
99,905
|
|
Pacific Gas and Electric Co.
|
|
|
|
6.40%, 6/15/2033
|
100,000
|
101,187
|
|
4.45%, 4/15/2042
|
170,000
|
128,164
|
|
PPL Electric Utilities Corp. 5.25%, 5/15/2053
|
105,000
|
99,901
|
|
Public Service Co. of Oklahoma
|
|
|
|
5.25%, 1/15/2033
|
100,000
|
96,661
|
|
Series K, 3.15%, 8/15/2051
|
135,000
|
85,096
|
|
Sierra Pacific Power Co. 5.90%, 3/15/2054 (d)
|
145,000
|
142,710
|
|
Southern California Edison Co.
|
|
|
|
6.00%, 1/15/2034
|
100,000
|
103,771
|
|
5.70%, 3/1/2053
|
110,000
|
106,705
|
|
Union Electric Co. 4.00%, 4/1/2048
|
120,000
|
91,822
|
|
Xcel Energy, Inc. 4.80%, 9/15/2041
|
90,000
|
74,416
|
|
|
|
2,288,319
|
|
Electronic Equipment, Instruments & Components — 0.0% ^
|
||
|
Corning, Inc. 5.35%, 11/15/2048
|
60,000
|
55,457
|
|
Financial Services — 0.3%
|
||
|
Element Fleet Management Corp. (Canada) 6.32%, 12/4/2028 (d)
|
70,000
|
70,673
|
|
Fiserv, Inc. 4.40%, 7/1/2049
|
90,000
|
74,008
|
|
Global Payments, Inc. 5.30%, 8/15/2029
|
100,000
|
98,039
|
|
Nationwide Building Society (United Kingdom) (SOFR + 1.91%), 6.56%, 10/18/2027 (d) (f)
|
220,000
|
223,219
|
|
|
|
465,939
|
|
Food Products — 0.3%
|
||
|
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031
|
100,000
|
84,563
|
|
Campbell Soup Co. 3.13%, 4/24/2050
|
65,000
|
41,736
|
|
J M Smucker Co. (The)
|
|
|
|
6.20%, 11/15/2033
|
80,000
|
83,526
|
|
6.50%, 11/15/2053
|
75,000
|
79,700
|
|
JBS USA LUX SA 6.75%, 3/15/2034 (d)
|
100,000
|
100,515
|
|
Kraft Heinz Foods Co. 4.38%, 6/1/2046
|
90,000
|
73,473
|
|
|
|
463,513
|
|
Gas Utilities — 0.2%
|
||
|
Atmos Energy Corp. 4.13%, 3/15/2049
|
90,000
|
71,501
|
|
Boston Gas Co. 4.49%, 2/15/2042 (d)
|
100,000
|
79,921
|
|
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052
|
75,000
|
65,148
|
|
Southwest Gas Corp. 3.80%, 9/29/2046
|
65,000
|
45,502
|
|
|
|
262,072
|
|
Ground Transportation — 0.3%
|
||
|
Burlington Northern Santa Fe LLC 3.55%, 2/15/2050
|
100,000
|
74,173
|
|
CSX Corp. 3.35%, 9/15/2049
|
95,000
|
65,984
|
|
Norfolk Southern Corp. 4.05%, 8/15/2052
|
80,000
|
62,072
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Ground Transportation — continued
|
||
|
Penske Truck Leasing Co. LP 6.05%, 8/1/2028 (d)
|
100,000
|
100,763
|
|
Union Pacific Corp. 4.10%, 9/15/2067
|
65,000
|
49,467
|
|
|
|
352,459
|
|
Health Care Providers & Services — 0.6%
|
||
|
Aetna, Inc. 4.50%, 5/15/2042
|
100,000
|
82,831
|
|
CVS Health Corp.
|
|
|
|
5.25%, 1/30/2031
|
100,000
|
99,537
|
|
5.05%, 3/25/2048
|
175,000
|
153,411
|
|
Elevance Health, Inc. 4.65%, 1/15/2043
|
100,000
|
87,234
|
|
HCA, Inc.
|
|
|
|
5.50%, 6/1/2033
|
200,000
|
196,651
|
|
4.63%, 3/15/2052
|
165,000
|
130,670
|
|
UnitedHealth Group, Inc. 3.25%, 5/15/2051
|
185,000
|
130,032
|
|
|
|
880,366
|
|
Health Care REITs — 0.1%
|
||
|
Welltower OP LLC
|
|
|
|
3.10%, 1/15/2030
|
100,000
|
86,739
|
|
6.50%, 3/15/2041
|
100,000
|
103,174
|
|
|
|
189,913
|
|
Independent Power and Renewable Electricity Producers — 0.3%
|
||
|
Constellation Energy Generation LLC
|
|
|
|
5.80%, 3/1/2033
|
200,000
|
201,161
|
|
5.75%, 10/1/2041
|
105,000
|
98,405
|
|
Southern Power Co. 5.15%, 9/15/2041
|
130,000
|
110,322
|
|
|
|
409,888
|
|
Industrial REITs — 0.1%
|
||
|
Prologis LP 2.25%, 4/15/2030
|
100,000
|
83,482
|
|
Insurance — 0.2%
|
||
|
Berkshire Hathaway Finance Corp. 3.85%, 3/15/2052
|
110,000
|
85,991
|
|
Liberty Mutual Group, Inc. 3.95%, 10/15/2050 (d)
|
80,000
|
56,040
|
|
New York Life Insurance Co. 3.75%, 5/15/2050 (d)
|
120,000
|
87,426
|
|
Prudential Funding Asia plc (Hong Kong) 3.13%, 4/14/2030
|
50,000
|
43,325
|
|
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (d)
|
75,000
|
60,640
|
|
|
|
333,422
|
|
Interactive Media & Services — 0.1%
|
||
|
Meta Platforms, Inc. 5.60%, 5/15/2053
|
125,000
|
127,003
|
|
Media — 0.8%
|
||
|
Charter Communications Operating LLC
|
|
|
|
4.40%, 4/1/2033
|
200,000
|
177,454
|
|
3.50%, 3/1/2042
|
200,000
|
132,214
|
|
4.80%, 3/1/2050
|
145,000
|
107,864
|
|
Comcast Corp.
|
|
|
|
4.20%, 8/15/2034
|
250,000
|
227,823
|
|
3.25%, 11/1/2039
|
210,000
|
159,704
|
|
4.00%, 11/1/2049
|
135,000
|
105,597
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
Discovery Communications LLC 3.63%, 5/15/2030
|
150,000
|
132,550
|
|
Paramount Global 4.38%, 3/15/2043
|
80,000
|
54,491
|
|
|
|
1,097,697
|
|
Metals & Mining — 0.2%
|
||
|
Newcrest Finance Pty. Ltd. (Australia)
|
|
|
|
3.25%, 5/13/2030 (d)
|
100,000
|
87,830
|
|
5.75%, 11/15/2041 (d)
|
100,000
|
98,831
|
|
Nucor Corp. 2.98%, 12/15/2055
|
70,000
|
41,935
|
|
Steel Dynamics, Inc. 3.25%, 10/15/2050
|
85,000
|
54,275
|
|
|
|
282,871
|
|
Multi-Utilities — 0.3%
|
||
|
Consolidated Edison Co. of New York, Inc. 5.70%, 6/15/2040
|
70,000
|
67,585
|
|
Consumers Energy Co. 3.25%, 8/15/2046
|
80,000
|
56,873
|
|
Dominion Energy, Inc. Series C, 4.90%, 8/1/2041
|
110,000
|
95,032
|
|
Puget Energy, Inc. 2.38%, 6/15/2028
|
100,000
|
86,845
|
|
San Diego Gas & Electric Co. 3.95%, 11/15/2041
|
55,000
|
42,852
|
|
Southern Co. Gas Capital Corp. 4.40%, 6/1/2043
|
140,000
|
111,510
|
|
|
|
460,697
|
|
Oil, Gas & Consumable Fuels — 1.2%
|
||
|
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (d)
|
150,000
|
143,084
|
|
Columbia Pipelines Operating Co. LLC 5.93%, 8/15/2030 (d)
|
100,000
|
100,401
|
|
ConocoPhillips Co. 5.30%, 5/15/2053
|
85,000
|
81,888
|
|
Energy Transfer LP 6.50%, 2/1/2042
|
260,000
|
263,188
|
|
Exxon Mobil Corp.
|
|
|
|
3.00%, 8/16/2039
|
90,000
|
68,275
|
|
3.45%, 4/15/2051
|
95,000
|
70,307
|
|
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (d)
|
100,000
|
78,212
|
|
Marathon Petroleum Corp. 6.50%, 3/1/2041
|
70,000
|
71,815
|
|
MPLX LP 4.80%, 2/15/2029
|
100,000
|
96,817
|
|
NGPL PipeCo LLC
|
|
|
|
4.88%, 8/15/2027 (d)
|
100,000
|
96,160
|
|
3.25%, 7/15/2031 (d)
|
100,000
|
82,592
|
|
Phillips 66 Co. 4.90%, 10/1/2046
|
125,000
|
109,648
|
|
Plains All American Pipeline LP 4.90%, 2/15/2045
|
280,000
|
226,926
|
|
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030
|
100,000
|
94,409
|
|
TotalEnergies Capital International SA (France) 3.13%, 5/29/2050
|
125,000
|
86,054
|
|
|
|
1,669,776
|
|
Pharmaceuticals — 0.2%
|
||
|
Merck & Co., Inc. 5.15%, 5/17/2063
|
125,000
|
121,585
|
|
Takeda Pharmaceutical Co. Ltd. (Japan) 3.03%, 7/9/2040
|
200,000
|
144,462
|
|
|
|
266,047
|
|
Residential REITs — 0.1%
|
||
|
Essex Portfolio LP 1.65%, 1/15/2031
|
100,000
|
76,069
|
|
UDR, Inc. 3.10%, 11/1/2034
|
100,000
|
78,176
|
|
|
|
154,245
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Retail REITs — 0.1%
|
||
|
NNN REIT, Inc. 5.60%, 10/15/2033
|
100,000
|
97,777
|
|
Realty Income Corp. 4.85%, 3/15/2030
|
100,000
|
96,879
|
|
|
|
194,656
|
|
Semiconductors & Semiconductor Equipment — 0.5%
|
||
|
Broadcom, Inc. 2.45%, 2/15/2031 (d)
|
150,000
|
123,331
|
|
Intel Corp. 5.70%, 2/10/2053
|
110,000
|
111,755
|
|
KLA Corp. 3.30%, 3/1/2050
|
95,000
|
67,555
|
|
NXP BV (China)
|
|
|
|
5.00%, 1/15/2033
|
100,000
|
95,237
|
|
3.25%, 5/11/2041
|
180,000
|
127,758
|
|
QUALCOMM, Inc. 4.50%, 5/20/2052
|
75,000
|
65,177
|
|
Texas Instruments, Inc. 5.05%, 5/18/2063
|
95,000
|
90,181
|
|
|
|
680,994
|
|
Software — 0.2%
|
||
|
Intuit, Inc. 5.50%, 9/15/2053
|
70,000
|
71,827
|
|
Oracle Corp.
|
|
|
|
4.90%, 2/6/2033
|
100,000
|
96,207
|
|
3.65%, 3/25/2041
|
215,000
|
162,898
|
|
|
|
330,932
|
|
Specialized REITs — 0.1%
|
||
|
Crown Castle, Inc. 4.00%, 3/1/2027
|
100,000
|
95,045
|
|
Extra Space Storage LP 5.90%, 1/15/2031
|
80,000
|
80,252
|
|
|
|
175,297
|
|
Specialty Retail — 0.1%
|
||
|
Lowe's Cos., Inc.
|
|
|
|
2.63%, 4/1/2031
|
100,000
|
84,028
|
|
5.75%, 7/1/2053
|
105,000
|
103,518
|
|
|
|
187,546
|
|
Technology Hardware, Storage & Peripherals — 0.2%
|
||
|
Apple, Inc. 4.10%, 8/8/2062
|
260,000
|
215,762
|
|
Tobacco — 0.1%
|
||
|
BAT Capital Corp. (United Kingdom)
|
|
|
|
2.26%, 3/25/2028
|
100,000
|
87,604
|
|
4.39%, 8/15/2037
|
130,000
|
105,017
|
|
|
|
192,621
|
|
Wireless Telecommunication Services — 0.4%
|
||
|
T-Mobile USA, Inc.
|
|
|
|
3.88%, 4/15/2030
|
200,000
|
183,703
|
|
3.00%, 2/15/2041
|
400,000
|
282,168
|
|
Vodafone Group plc (United Kingdom) 4.88%, 6/19/2049
|
115,000
|
97,751
|
|
|
|
563,622
|
|
Total Corporate Bonds
(Cost $21,134,273)
|
|
22,099,386
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — 5.8%
|
||
|
FHLMC, REMIC
|
|
|
|
Series 4016, Class KZ, 4.00%, 3/15/2042
|
301,026
|
279,768
|
|
Series 4487, Class TL, 3.00%, 5/15/2045
|
1,000,000
|
807,015
|
|
Series 4710, Class JE, 2.75%, 6/15/2047
|
602,771
|
496,613
|
|
Series 4994, Class LI, IO, 4.00%, 12/25/2048
|
181,775
|
33,493
|
|
Series 4896, Class CG, 3.50%, 4/15/2049
|
358,035
|
326,366
|
|
Series 5141, Class PA, 1.00%, 4/25/2050
|
352,234
|
277,667
|
|
FHLMC, STRIPS
|
|
|
|
Series 276, Class 20, 2.00%, 9/15/2042
|
277,206
|
233,804
|
|
Series 326, Class 350, 3.50%, 3/15/2044
|
566,875
|
512,869
|
|
FNMA, REMIC
|
|
|
|
Series 2012-4, Class NB, 4.00%, 2/25/2042
|
265,000
|
245,655
|
|
Series 2012-124, Class PA, 2.50%, 7/25/2042
|
122,888
|
108,845
|
|
Series 2017-87, Class EA, 3.00%, 4/25/2044
|
288,764
|
250,537
|
|
Series 2019-12, Class BA, 3.00%, 4/25/2049
|
313,368
|
267,264
|
|
Series 2020-54, Class UB, 5.00%, 7/25/2050
|
158,457
|
152,751
|
|
Series 2021-27, Class EC, 1.50%, 5/25/2051
|
164,655
|
129,002
|
|
GNMA Series 2019-83, Class YA, 4.77%, 6/20/2040 (b)
|
179,728
|
172,056
|
|
PRPM LLC
|
|
|
|
Series 2020-4, Class A1, 5.95%, 10/25/2025 (d) (e)
|
595,901
|
591,603
|
|
Series 2023-RCF2, Class A1, 4.00%, 11/25/2053 (d) (e)
|
200,000
|
185,868
|
|
Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2019-1, Class MA, 3.50%, 7/25/2058
|
288,096
|
265,056
|
|
Series 2019-1, Class MT, 3.50%, 7/25/2058
|
314,893
|
271,719
|
|
Series 2019-2, Class HT, 3.00%, 8/25/2058
|
617,353
|
511,569
|
|
Vendee Mortgage Trust
|
|
|
|
Series 2010-1, Class DZ, 4.25%, 4/15/2040
|
602,477
|
565,970
|
|
Series 2011-1, Class DZ, 3.75%, 9/15/2046
|
1,570,082
|
1,413,044
|
|
Total Collateralized Mortgage Obligations
(Cost $7,867,695)
|
|
8,098,534
|
|
Commercial Mortgage-Backed Securities — 5.5%
|
||
|
BB-UBS Trust Series 2012-SHOW, Class B, 3.88%, 11/5/2036 (d)
|
465,000
|
406,729
|
|
CSMC OA LLC
|
|
|
|
Series 2014-USA, Class A2, 3.95%, 9/15/2037 (d)
|
495,000
|
425,106
|
|
Series 2014-USA, Class B, 4.18%, 9/15/2037 (d)
|
500,000
|
389,145
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series KL06, Class XFX, IO, 1.47%, 12/25/2029 (b)
|
5,000,000
|
276,865
|
|
Series KJ40, Class A2, 3.69%, 11/25/2030 (b)
|
335,000
|
310,378
|
|
Series K135, Class AM, 1.91%, 10/25/2031 (b)
|
1,050,000
|
837,932
|
|
FNMA ACES Series 2023-M8, Class A1, 4.47%, 11/25/2032 (b)
|
500,000
|
490,366
|
|
FREMF Mortgage Trust
|
|
|
|
Series 2017-KGX1, Class BFX, 3.71%, 10/25/2027 (b) (d)
|
570,000
|
504,607
|
|
Series 2018-K154, Class B, 4.16%, 11/25/2032 (b) (d)
|
610,000
|
483,675
|
|
Series 2018-K155, Class B, 4.31%, 4/25/2033 (b) (d)
|
580,000
|
462,226
|
|
Series 2015-K46, Class C, 3.82%, 4/25/2048 (b) (d)
|
316,000
|
305,078
|
|
Series 2018-K80, Class B, 4.38%, 8/25/2050 (b) (d)
|
125,000
|
117,199
|
|
Series 2018-K79, Class C, 4.35%, 7/25/2051 (b) (d)
|
145,000
|
133,718
|
|
GAM Re-REMIC Trust
|
|
|
|
Series 2022-FRR3, Class BK41, PO, 10/27/2047 (d)
|
250,000
|
232,187
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Commercial Mortgage-Backed Securities — continued
|
||
|
Series 2022-FRR3, Class CK41, PO, 10/27/2047 (d)
|
100,000
|
92,434
|
|
Series 2022-FRR3, Class AK47, 0.70%, 5/27/2048 (b) (d)
|
500,000
|
453,535
|
|
Series 2021-FRR1, Class 2A, PO, 11/29/2050 (d)
|
580,000
|
436,495
|
|
Series 2021-FRR2, Class BK49, 2.30%, 9/27/2051 (b) (d)
|
300,000
|
274,394
|
|
GNMA Series 2017-76, Class B, 2.60%, 12/16/2056
|
745,502
|
520,637
|
|
JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK39, 2.70%, 8/27/2047 (b) (d)
|
500,000
|
476,002
|
|
Total Commercial Mortgage-Backed Securities
(Cost $7,491,289)
|
|
7,628,708
|
|
Foreign Government Securities — 0.2%
|
||
|
United Mexican States 6.34%, 5/4/2053
(Cost $217,232)
|
230,000
|
218,730
|
|
|
SHARES
|
|
|
Short-Term Investments — 9.1%
|
||
|
Investment Companies — 9.1%
|
||
|
JPMorgan U.S. Government Money Market Fund Class IM Shares, 5.28% (h) (i)
(Cost $12,614,631)
|
12,614,631
|
12,614,631
|
|
Total Investments — 108.4%
(Cost $146,716,200)
|
|
150,050,161
|
|
Liabilities in Excess of Other Assets — (8.4)%
|
|
(11,586,135
)
|
|
NET ASSETS — 100.0%
|
|
138,464,026
|
|
Percentages indicated are based on net assets.
|
|
Abbreviations
|
|
|
ABS
|
Asset-Backed Securities
|
|
ACES
|
Alternative Credit Enhancement Securities
|
|
CME
|
Chicago Mercantile Exchange
|
|
CSMC
|
Credit Suisse Mortgage Trust
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
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.
|
|
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
|
|
Re-REMIC
|
Combined Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
(a)
|
The rate shown is the effective yield as of November 30, 2023.
|
|
|
(b)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
November 30, 2023.
|
|
|
(c)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(d)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(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 November
30, 2023.
|
|
|
(f)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of November 30, 2023.
|
|
|
(g)
|
Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a
pre-specified trigger event occurs. The total value of aggregate CoCo holdings at November 30, 2023 is $196,372 or 0.14% of the Fund’s
net assets as of November 30, 2023.
|
|
|
(h)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(i)
|
The rate shown is the current yield as of November 30, 2023.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury Ultra Bond
|
16
|
03/19/2024
|
USD
|
1,970,000
|
25,215
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$26,803,723
|
$461,717
|
$27,265,440
|
|
Collateralized Mortgage Obligations
|
—
|
8,098,534
|
—
|
8,098,534
|
|
Commercial Mortgage-Backed Securities
|
—
|
7,628,708
|
—
|
7,628,708
|
|
Corporate Bonds
|
—
|
22,099,386
|
—
|
22,099,386
|
|
Foreign Government Securities
|
—
|
218,730
|
—
|
218,730
|
|
Mortgage-Backed Securities
|
—
|
34,809,039
|
—
|
34,809,039
|
|
U.S. Treasury Obligations
|
—
|
37,315,693
|
—
|
37,315,693
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
12,614,631
|
—
|
—
|
12,614,631
|
|
Total Investments in Securities
|
$12,614,631
|
$136,973,813
|
$461,717
|
$150,050,161
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$25,215
|
$—
|
$—
|
$25,215
|
|
|
|||||||||
|
For the period ended November 30, 2023
|
|||||||||
|
Security Description
|
Value at
October 11,
2023(a)
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
November 30,
2023
|
Shares at
November 30,
2023
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan U.S. Government Money
Market Fund Class IM Shares, 5.28%
(b) (c)
|
$—
|
$87,348,252
|
$74,733,621
|
$—
|
$—
|
$12,614,631
|
12,614,631
|
$137,148
|
$—
|
|
|
|
|
(a)
|
Commencement of operations was October 11, 2023.
|
|
(b)
|
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.
|
|
(c)
|
The rate shown is the current yield as of November 30, 2023.
|