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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($)
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VALUE($)
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|
Asset-Backed Securities — 38.9%
|
||
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ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 6.28%, 12/18/2037 (a) (b)
|
998,610
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984,829
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American Credit Acceptance Receivables Trust Series 2023-1, Class A, 5.45%, 9/14/2026 (a)
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1,263,415
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1,260,982
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Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series
2003-7, Class M1, 4.68%,
8/25/2033 (b)
|
5,718
|
5,809
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Amortizing Residential Collateral Trust Series 2002-BC9, Class M1, 7.11%, 12/25/2032 (b)
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1,189,514
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1,084,497
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AMSR Trust
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Series 2020-SFR3, Class A, 1.36%, 9/17/2037 (a)
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7,104,240
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6,544,689
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Series 2021-SFR2, Class A, 1.53%, 8/17/2038 (a)
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4,000,000
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3,544,622
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Apidos CLO (Cayman Islands) Series 2019-31A, Class A1R, 6.76%, 4/15/2031 (a) (b)
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4,350,000
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4,347,668
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Arivo Acceptance Auto Loan Receivables Trust Series 2021-1A, Class A, 1.19%, 1/15/2027 (a)
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113,708
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111,687
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Ballyrock CLO Ltd. (Cayman Islands)
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Series 2020-2A, Class A1R, 6.69%, 10/20/2031 (a) (b)
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3,244,000
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3,241,256
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Series 2019-1A, Class A1R, 6.69%, 7/15/2032 (a) (b)
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6,415,000
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6,390,552
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Bear Stearns Asset-Backed Securities I Trust Series 2005-HE1, Class M2, 5.06%, 1/25/2035 (b)
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347,881
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347,318
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Bear Stearns Asset-Backed Securities Trust Series 2003-SD1, Class A, 6.36%, 12/25/2033 (b)
|
392,475
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371,936
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BRE Grand Islander Timeshare Issuer LLC Series 2019-A, Class A, 3.28%, 9/26/2033 (a)
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1,197,824
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1,134,173
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BSPRT Issuer Ltd. (Cayman Islands) Series 2022-FL8, Class A, 6.82%, 2/15/2037 (a) (b)
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5,000,000
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4,916,150
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Business Jet Securities LLC
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Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a)
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797,925
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756,880
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Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a)
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1,396,641
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1,279,625
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Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (a)
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7,897,482
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7,428,910
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BXG Receivables Note Trust Series 2018-A, Class A, 3.77%, 2/2/2034 (a)
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805,498
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779,888
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BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 6.84%, 11/15/2037 (a) (b)
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7,415,862
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7,103,417
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CarMax Auto Owner Trust
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Series 2020-4, Class A3, 0.50%, 8/15/2025
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562,414
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555,106
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Series 2022-2, Class A3, 3.49%, 2/16/2027
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4,720,000
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4,629,953
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Carvana Auto Receivables Trust
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Series 2020-P1, Class A4, 0.61%, 10/8/2026
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1,845,685
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1,783,748
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Series 2023-N4, Class A, 6.42%, 1/10/2028 (a)
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5,250,000
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5,256,062
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Centex Home Equity Loan Trust Series 2002-A, Class MV1, 6.31%, 1/25/2032 (b)
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68,034
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67,803
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CF Hippolyta Issuer LLC Series 2020-1, Class A1, 1.69%, 7/15/2060 (a)
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2,307,094
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2,111,862
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CoreVest American Finance Trust
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Series 2019-1, Class A, 3.32%, 3/15/2052 (a)
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16,393
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16,348
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Series 2020-2, Class A, 3.38%, 5/15/2052 (a)
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652,505
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625,675
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Series 2020-4, Class A, 1.17%, 12/15/2052 (a)
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3,926,568
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3,593,243
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Countrywide Asset-Backed Certificates
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Series 2003-BC2, Class 2A1, 6.06%, 6/25/2033 (b)
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237,315
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216,592
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Series 2004-S1, Class M2, 5.58%, 2/25/2035 (c)
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14,789
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14,565
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CPS Auto Receivables Trust
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Series 2023-A, Class A, 5.54%, 3/16/2026 (a)
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1,514,321
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1,511,536
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Series 2022-C, Class A, 4.18%, 4/15/2030 (a)
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2,190,788
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2,180,902
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Credit Acceptance Auto Loan Trust
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Series 2021-2A, Class A, 0.96%, 2/15/2030 (a)
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1,084,520
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1,076,663
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Series 2023-3A, Class A, 6.39%, 8/15/2033 (a)
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2,375,000
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2,384,735
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Diamond Resorts Owner Trust Series 2021-1A, Class A, 1.51%, 11/21/2033 (a)
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476,258
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440,042
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DLLST LLC Series 2022-1A, Class A3, 3.40%, 1/21/2025 (a)
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3,142,089
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3,117,333
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DT Auto Owner Trust
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Series 2022-2A, Class A, 2.88%, 6/15/2026 (a)
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597,308
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594,492
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Series 2021-1A, Class C, 0.84%, 10/15/2026 (a)
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650,615
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641,301
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
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Asset-Backed Securities — continued
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Series 2023-1A, Class A, 5.48%, 4/15/2027 (a)
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2,617,436
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2,609,523
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Elmwood CLO Ltd. (Cayman Islands) Series 2020-2A, Class AR, 6.83%, 10/20/2034 (a) (b)
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7,500,000
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7,495,980
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Enterprise Fleet Financing LLC Series 2022-1, Class A2, 3.03%, 1/20/2028 (a)
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2,230,424
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2,181,916
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Exeter Automobile Receivables Trust
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Series 2022-3A, Class A3, 4.21%, 1/15/2026
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1,421,409
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1,419,761
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Series 2023-4A, Class C, 6.51%, 8/15/2028
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2,500,000
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2,496,254
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First Franklin Mortgage Loan Trust
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Series 2002-FF1, Class M1, 6.51%, 4/25/2032 (b)
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49,069
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48,635
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Series 2002-FF4, Class M1, 7.03%, 2/25/2033 (b)
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578,174
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450,185
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Series 2003-FFH1, Class M2, 8.08%, 9/25/2033 (b)
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226,721
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193,290
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Series 2004-FF8, Class M4, 7.06%, 10/25/2034 (b)
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205,363
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183,781
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FirstKey Homes Trust Series 2021-SFR1, Class A, 1.54%, 8/17/2038 (a)
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6,909,174
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6,148,208
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FS Rialto (Cayman Islands) Series 2021-FL3, Class A, 6.69%, 11/16/2036 (a) (b)
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5,290,000
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5,188,622
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Galaxy CLO Ltd. (Cayman Islands) Series 2013-15A, Class ARR, 6.63%, 10/15/2030 (a) (b)
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1,717,985
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1,714,537
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Goodgreen (Cayman Islands)
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Series 2018-1A, Class A, 3.93%, 10/15/2053 ‡ (a) (b)
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1,966,761
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1,708,677
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Series 2019-1A, Class A, 3.86%, 10/15/2054 ‡ (a)
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1,412,991
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1,252,432
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Goodgreen Trust Series 2017-2A, Class A, 3.26%, 10/15/2053 ‡ (a)
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1,239,070
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1,110,168
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GreenPoint Mortgage Funding Trust Series 2005-HE3, Class A, 5.62%, 9/15/2030 (b)
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8,192
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7,886
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HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (a)
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784,780
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690,670
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Hilton Grand Vacations Trust
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Series 2018-AA, Class A, 3.54%, 2/25/2032 (a)
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349,579
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338,327
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Series 2022-2A, Class A, 4.30%, 1/25/2037 (a)
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1,904,826
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1,830,127
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Series 2020-AA, Class A, 2.74%, 2/25/2039 (a)
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777,039
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733,526
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Hyundai Auto Lease Securitization Trust Series 2021-B, Class B, 0.62%, 3/16/2026 (a)
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4,635,000
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4,622,853
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LCM Ltd. (Cayman Islands) Series 29A, Class AR, 6.73%, 4/15/2031 (a) (b)
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5,000,000
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4,970,790
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Lendingpoint Asset Securitization Trust
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Series 2022-B, Class A, 4.77%, 10/15/2029 (a)
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1,764,073
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1,745,586
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Series 2022-C, Class A, 6.56%, 2/15/2030 (a)
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1,745,114
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1,743,076
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Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (a)
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3,000,000
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2,947,678
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LP LMS Asset Securitization Trust
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Series 2021-2A, Class A, 1.75%, 1/15/2029 (a)
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372,638
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369,656
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Series 2023-1A, Class A, 8.18%, 10/17/2033 ‡ (a)
|
2,333,321
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2,322,611
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Mariner Finance Issuance Trust
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Series 2020-AA, Class A, 2.19%, 8/21/2034 (a)
|
1,849,544
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1,802,418
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Series 2021-AA, Class A, 1.86%, 3/20/2036 (a)
|
3,000,000
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2,691,454
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Marlin Receivables LLC Series 2022-1A, Class A2, 4.53%, 9/20/2025 (a)
|
1,951,028
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1,940,638
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MF1 Ltd. (Cayman Islands)
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Series 2021-FL7, Class A, 6.53%, 10/16/2036 (a) (b)
|
3,498,599
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3,447,530
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Series 2022-FL8, Class A, 6.68%, 2/19/2037 (a) (b)
|
5,000,000
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4,902,415
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Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR,
6.65%, 7/20/2031 (a) (b)
|
4,425,000
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4,405,437
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New Century Home Equity Loan Trust Series 2003-5, Class AII, 3.73%, 11/25/2033 (b)
|
172,684
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145,913
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OCP CLO Ltd. (Cayman Islands) Series 2015-9A, Class A1R2, 6.64%, 1/15/2033 (a) (b)
|
5,000,000
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4,969,460
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OneMain Financial Issuance Trust Series 2021-1A, Class A1, 1.55%, 6/16/2036 (a)
|
5,000,000
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4,405,725
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Oportun Issuance Trust Series 2022-A, Class A, 5.05%, 6/9/2031 (a)
|
5,000,000
|
4,887,906
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Pagaya AI Technology in Housing Trust Series 2023-1, Class A, 3.60%, 10/25/2040 (a)
|
3,500,000
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3,109,241
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Palmer Square Loan Funding Ltd. (Cayman Islands)
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Series 2021-3A, Class A1, 6.48%, 7/20/2029 (a) (b)
|
1,849,142
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1,843,642
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Series 2021-4A, Class A1, 6.46%, 10/15/2029 (a) (b)
|
3,301,029
|
3,291,182
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
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Series 2022-2A, Class A1, 6.66%, 10/15/2030 (a) (b)
|
4,107,501
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4,093,922
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PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (c)
|
1,789,142
|
1,728,597
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Progress Residential
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Series 2021-SFR1, Class A, 1.05%, 4/17/2038 (a)
|
3,010,165
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2,684,443
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Series 2021-SFR4, Class A, 1.56%, 5/17/2038 (a)
|
4,988,847
|
4,470,874
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Progress Residential Trust
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Series 2020-SFR3, Class A, 1.29%, 10/17/2027 (a)
|
8,925,255
|
8,187,533
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Series 2019-SFR4, Class A, 2.69%, 10/17/2036 (a)
|
8,461,765
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8,199,945
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Series 2020-SFR2, Class A, 2.08%, 6/17/2037 (a)
|
5,043,390
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4,751,588
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Series 2021-SFR8, Class A, 1.51%, 10/17/2038 (a)
|
4,466,301
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3,931,776
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Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (a)
|
3,392,478
|
3,176,781
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PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (a) (c)
|
1,194,944
|
1,136,581
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RASC Trust Series 2003-KS4, Class MI2, 5.01%, 6/25/2033 (c)
|
522,587
|
391,073
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Santander Consumer Auto Receivables Trust Series 2021-AA, Class B, 0.71%, 8/17/2026 (a)
|
2,750,000
|
2,606,501
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Santander Drive Auto Receivables Trust Series 2022-4, Class A3, 4.14%, 2/16/2027
|
5,742,021
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5,693,965
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SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (a)
|
5,900,000
|
5,933,482
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Sierra Timeshare Receivables Funding LLC
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Series 2019-2A, Class A, 2.59%, 5/20/2036 (a)
|
351,276
|
343,703
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|
Series 2020-2A, Class A, 1.33%, 7/20/2037 (a)
|
509,521
|
481,081
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SoFi Professional Loan Program Trust
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|
|
|
Series 2021-B, Class AFX, 1.14%, 2/15/2047 (a)
|
2,972,113
|
2,448,480
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|
Series 2018-B, Class A2FX, 3.34%, 8/25/2047 (a)
|
732,598
|
711,862
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|
Structured Asset Investment Loan Trust Series 2003-BC2, Class A3, 6.16%, 4/25/2033 (b)
|
11,278
|
11,226
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Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 6.77%, 7/23/2033 (a) (b)
|
5,000,000
|
4,990,130
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Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (a)
|
2,680,000
|
2,617,602
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|
Toyota Auto Receivables Owner Trust Series 2020-C, Class A4, 0.57%, 10/15/2025
|
4,410,881
|
4,338,716
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Tricon American Homes Series 2020-SFR1, Class A, 1.50%, 7/17/2038 (a)
|
5,977,900
|
5,363,312
|
|
Tricon American Homes Trust Series 2019-SFR1, Class A, 2.75%, 3/17/2038 (a)
|
3,253,046
|
3,032,522
|
|
Upstart Securitization Trust
|
|
|
|
Series 2021-4, Class A, 0.84%, 9/20/2031 (a)
|
231,541
|
230,358
|
|
Series 2022-4, Class A, 5.98%, 8/20/2032 (a)
|
2,192,528
|
2,179,822
|
|
Series 2023-1, Class A, 6.59%, 2/20/2033 (a)
|
2,657,827
|
2,656,085
|
|
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 ‡ (a)
|
1,550,489
|
1,479,766
|
|
VCAT LLC Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 (a) (c)
|
548,343
|
539,292
|
|
Verdant Receivables LLC Series 2023-1A, Class A2, 6.24%, 1/13/2031 (a)
|
2,810,000
|
2,805,886
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (a) (c)
|
1,416,265
|
1,324,224
|
|
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (c)
|
1,056,043
|
1,005,823
|
|
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (c)
|
3,809,271
|
3,583,795
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (c)
|
3,152,131
|
3,006,346
|
|
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (c)
|
1,051,248
|
989,573
|
|
VOLT XCV LLC Series 2021-NPL4, Class A1, 2.24%, 3/27/2051 (a) (c)
|
1,657,482
|
1,605,133
|
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (c)
|
2,170,397
|
2,076,271
|
|
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (c)
|
3,005,719
|
2,832,340
|
|
Westgate Resorts LLC Series 2020-1A, Class A, 2.71%, 3/20/2034 (a)
|
521,623
|
514,165
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2022-3A, Class A2, 5.24%, 7/15/2025 (a)
|
3,575,698
|
3,572,261
|
|
Series 2022-2A, Class A3, 3.75%, 4/15/2026 (a)
|
5,350,000
|
5,296,697
|
|
Series 2023-3A, Class A3, 5.82%, 5/17/2027 (a)
|
4,000,000
|
3,998,250
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
World Omni Select Auto Trust Series 2020-A, Class B, 0.84%, 6/15/2026
|
1,996,456
|
1,981,256
|
|
Total Asset-Backed Securities
(Cost $315,656,228)
|
|
303,823,603
|
|
Collateralized Mortgage Obligations — 27.5%
|
||
|
Alternative Loan Trust
|
|
|
|
Series 2004-J4, Class 1A6, 5.40%, 6/25/2034 (c)
|
213
|
206
|
|
Series 2004-33, Class 3A3, 4.22%, 12/25/2034 (b)
|
104,270
|
94,850
|
|
Banc of America Funding Trust Series 2006-1, Class 2A1, 5.50%, 1/25/2036
|
90,923
|
75,790
|
|
Banc of America Mortgage Trust Series 2004-D, Class 2A2, 4.61%, 5/25/2034 (b)
|
86,222
|
79,338
|
|
Bear Stearns Asset-Backed Securities I Trust Series 2004-AC6, Class M1, 6.46%, 11/25/2034 (b)
|
89,949
|
19,829
|
|
Connecticut Avenue Securities Trust
|
|
|
|
Series 2021-R01, Class 1M1, 6.08%, 10/25/2041 (a) (b)
|
304,999
|
304,623
|
|
Series 2021-R03, Class 1M1, 6.18%, 12/25/2041 (a) (b)
|
3,627,677
|
3,602,868
|
|
Series 2022-R01, Class 1M1, 6.33%, 12/25/2041 (a) (b)
|
2,154,317
|
2,143,886
|
|
Series 2022-R06, Class 1M1, 8.08%, 5/25/2042 (a) (b)
|
2,827,371
|
2,896,582
|
|
Series 2022-R07, Class 1M1, 8.28%, 6/25/2042 (a) (b)
|
4,189,334
|
4,302,494
|
|
Series 2022-R08, Class 1M1, 7.88%, 7/25/2042 (a) (b)
|
1,613,020
|
1,653,352
|
|
Credit Suisse First Boston Mortgage Securities Corp. (Switzerland)
|
|
|
|
Series 2005-5, Class 1A1, 5.00%, 7/25/2020
|
2,648
|
2,535
|
|
Series 2004-5, Class 4A1, 6.00%, 9/25/2034
|
233,423
|
221,631
|
|
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-AR24, Class 2A4, 5.67%,
10/25/2033 (b)
|
149,855
|
142,858
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust Series 2005-1, Class 2A1, 3.71%,
2/25/2020 (b)
|
24,152
|
23,640
|
|
FHLMC STACR REMIC Trust Series 2021-DNA3, Class M1, 6.08%, 10/25/2033 (a) (b)
|
1,324,618
|
1,321,351
|
|
FHLMC, REMIC
|
|
|
|
Series 1974, Class ZA, 7.00%, 7/15/2027
|
11,460
|
11,441
|
|
Series 3737, Class DG, 5.00%, 10/15/2030
|
83,987
|
82,958
|
|
Series 4120, Class KI, IO, 3.00%, 10/15/2032
|
731,178
|
42,926
|
|
Series 5000, Class CB, 1.25%, 1/25/2035
|
4,362,333
|
3,748,608
|
|
Series 3300, Class FA, 5.74%, 8/15/2035 (b)
|
104,076
|
102,036
|
|
Series 3085, Class VS, IF, 6.97%, 12/15/2035 (b)
|
98,241
|
104,063
|
|
Series 4867, Class WF, 5.09%, 4/15/2037 (b)
|
7,116,868
|
6,966,837
|
|
Series 4350, Class AF, 5.25%, 12/15/2037 (b)
|
1,869,406
|
1,800,389
|
|
Series 4350, Class FK, 5.17%, 6/15/2038 (b)
|
2,220,046
|
2,137,693
|
|
Series 4515, Class FA, 5.23%, 8/15/2038 (b)
|
1,103,655
|
1,078,425
|
|
Series 4350, Class KF, 4.56%, 1/15/2039 (b)
|
377,814
|
363,650
|
|
Series 4448, Class TF, 5.27%, 5/15/2040 (b)
|
2,144,808
|
2,095,914
|
|
Series 4480, Class FM, 4.63%, 6/15/2040 (b)
|
2,711,095
|
2,604,998
|
|
Series 4457, Class KF, 5.08%, 10/15/2040 (b)
|
3,528,572
|
3,443,472
|
|
Series 4363, Class FA, 5.01%, 9/15/2041 (b)
|
1,705,478
|
1,662,712
|
|
Series 4413, Class WF, 5.00%, 10/15/2041 (b)
|
1,562,754
|
1,505,356
|
|
Series 4559, Class AF, 5.55%, 3/15/2042 (b)
|
1,142,711
|
1,134,300
|
|
Series 4074, Class FE, 5.84%, 7/15/2042 (b)
|
1,312,126
|
1,270,375
|
|
Series 4150, Class F, 5.81%, 1/15/2043 (b)
|
3,496,294
|
3,346,584
|
|
Series 4161, Class YF, 5.81%, 2/15/2043 (b)
|
2,635,169
|
2,523,850
|
|
Series 4281, Class FB, 5.99%, 12/15/2043 (b)
|
1,826,128
|
1,762,066
|
|
Series 4606, Class FL, 5.94%, 12/15/2044 (b)
|
3,676,259
|
3,534,229
|
|
Series 4594, Class GN, 2.50%, 2/15/2045
|
1,770,335
|
1,570,752
|
|
Series 5072, Class QC, 1.00%, 10/25/2050
|
5,288,451
|
3,899,401
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
FHLMC, STRIPS
|
|
|
|
Series 343, Class F4, 5.78%, 10/15/2037 (b)
|
1,837,522
|
1,795,229
|
|
Series 328, Class S4, IF, IO, 1.82%, 2/15/2038 (b)
|
3,430,418
|
191,173
|
|
FHLMC, Structured Pass-Through Certificates, Whole Loan
|
|
|
|
Series T-51, Class 1A, PO, 9/25/2042
|
38,032
|
30,073
|
|
Series T-54, Class 4A, 4.16%, 2/25/2043 (b)
|
734,261
|
657,214
|
|
First Horizon Mortgage Pass-Through Trust Series 2004-AR6, Class 2A1, 4.74%, 12/25/2034 (b)
|
74,734
|
69,470
|
|
Flagstar Mortgage Trust Series 2019-2, Class A2, 3.50%, 12/25/2049 (a) (b)
|
1,398,842
|
1,218,371
|
|
FNMA Trust, Whole Loan Series 2004-W2, Class 4A, 4.16%, 2/25/2044 (b)
|
109,292
|
104,357
|
|
FNMA, Grantor Trust, Whole Loan
|
|
|
|
Series 2002-T6, Class A4, 4.94%, 3/25/2041 (b)
|
361,454
|
340,484
|
|
Series 2001-T8, Class A1, 7.50%, 7/25/2041
|
124,851
|
123,150
|
|
FNMA, REMIC
|
|
|
|
Series G94-9, Class PJ, 6.50%, 8/17/2024
|
1,211
|
1,208
|
|
Series 2013-43, Class YH, 2.50%, 5/25/2033
|
715,465
|
668,140
|
|
Series 2004-17, Class BF, 5.79%, 1/25/2034 (b)
|
95,945
|
95,565
|
|
Series 2006-3, Class SB, IF, IO, 1.26%, 7/25/2035 (b)
|
93,298
|
1,061
|
|
Series 2006-16, Class HZ, 5.50%, 3/25/2036
|
106,926
|
104,346
|
|
Series 2006-124, Class FC, 5.79%, 1/25/2037 (b)
|
556,013
|
537,068
|
|
Series 2014-23, Class FA, 5.41%, 10/25/2039 (b)
|
7,913,981
|
7,731,385
|
|
Series 2012-38, Class PA, 2.00%, 9/25/2041
|
852,387
|
765,826
|
|
Series 2012-93, Class ME, 2.50%, 1/25/2042
|
1,032,239
|
932,976
|
|
Series 2012-13, Class FA, 6.02%, 2/25/2042 (b)
|
4,936,441
|
4,779,754
|
|
Series 2012-31, Class FB, 5.99%, 4/25/2042 (b)
|
3,955,528
|
3,826,398
|
|
Series 2013-23, Class KJ, 2.25%, 5/25/2042
|
1,625,666
|
1,441,499
|
|
Series 2012-119, Class FB, 5.79%, 11/25/2042 (b)
|
2,597,836
|
2,480,511
|
|
Series 2012-139, Class JA, 3.50%, 12/25/2042
|
1,952,691
|
1,770,655
|
|
Series 2013-6, Class FL, 5.84%, 2/25/2043 (b)
|
640,375
|
614,211
|
|
Series 2014-49, Class AF, 5.36%, 8/25/2044 (b)
|
110,628
|
106,932
|
|
Series 2015-42, Class BF, 5.63%, 6/25/2045 (b)
|
2,526,798
|
2,479,271
|
|
Series 2016-25, Class LA, 3.00%, 7/25/2045
|
6,937,503
|
6,217,780
|
|
Series 2016-33, Class JA, 3.00%, 7/25/2045
|
2,421,721
|
2,185,931
|
|
Series 2015-91, Class AF, 5.09%, 12/25/2045 (b)
|
2,558,454
|
2,488,693
|
|
Series 2016-58, Class SA, IO, 1.33%, 8/25/2046 (b)
|
6,709,275
|
293,383
|
|
Series 2017-108, Class PA, 3.00%, 6/25/2047
|
1,504,033
|
1,339,581
|
|
Series 2017-104, Class LA, 3.00%, 11/25/2047
|
1,045,108
|
924,652
|
|
Series 2019-38, Class PC, 3.00%, 2/25/2048
|
2,351,731
|
2,119,015
|
|
Series 2019-77, Class FP, 5.99%, 1/25/2050 (b)
|
9,339,564
|
8,983,098
|
|
Series 2014-66, Class WF, 5.41%, 10/25/2054 (b)
|
1,064,884
|
1,048,508
|
|
Series 2019-74, Class BF, 5.99%, 12/25/2059 (b)
|
4,565,154
|
4,372,022
|
|
FNMA, REMIC Trust, Whole Loan
|
|
|
|
Series 2003-W4, Class 5A, 3.96%, 10/25/2042 (b)
|
345,580
|
303,984
|
|
Series 2003-W15, Class 3A, 4.48%, 12/25/2042 (b)
|
371,634
|
344,473
|
|
Series 2003-W1, Class 2A, 5.23%, 12/25/2042 (b)
|
111,722
|
105,815
|
|
Series 2009-W1, Class A, 6.00%, 12/25/2049
|
124,687
|
123,760
|
|
GNMA
|
|
|
|
Series 2011-158, Class EB, 4.00%, 12/20/2026
|
2,031,816
|
1,976,402
|
|
Series 2010-166, Class GP, 3.00%, 4/20/2039
|
219,941
|
215,797
|
|
Series 2012-61, Class FM, 5.84%, 5/16/2042 (b)
|
3,454,207
|
3,371,736
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2012-H21, Class FA, 5.94%, 7/20/2062 (b)
|
959,324
|
954,630
|
|
Series 2012-H29, Class FA, 5.95%, 10/20/2062 (b)
|
788,905
|
785,731
|
|
Series 2013-H16, Class FA, 5.98%, 7/20/2063 (b)
|
1,985,595
|
1,976,595
|
|
Series 2014-H07, Class FC, 6.04%, 5/20/2064 (b)
|
8,830,831
|
8,795,415
|
|
Series 2014-H11, Class JA, 5.94%, 6/20/2064 (b)
|
2,196,593
|
2,184,132
|
|
Series 2014-H17, Class FM, 5.92%, 8/20/2064 (b)
|
6,589,075
|
6,551,137
|
|
Series 2015-H03, Class FD, 6.08%, 1/20/2065 (b)
|
3,651,407
|
3,613,220
|
|
Series 2015-H04, Class FL, 5.91%, 2/20/2065 (b)
|
5,683,548
|
5,653,099
|
|
Series 2015-H12, Class FJ, 5.87%, 5/20/2065 (b)
|
3,254,262
|
3,237,397
|
|
Series 2015-H14, Class FB, 5.87%, 5/20/2065 (b)
|
3,793,838
|
3,776,578
|
|
Series 2015-H12, Class FA, 5.92%, 5/20/2065 (b)
|
4,112,680
|
4,092,995
|
|
Series 2015-H15, Class FB, 6.04%, 6/20/2065 (b)
|
5,964,282
|
5,914,597
|
|
Series 2015-H19, Class FN, 5.88%, 7/20/2065 (b)
|
6,377,541
|
6,339,115
|
|
Series 2015-H23, Class TA, 5.91%, 9/20/2065 (b)
|
8,699,835
|
8,649,017
|
|
GSAA Trust Series 2004-CW1, Class 1A1, 5.50%, 4/1/2034
|
358,785
|
329,536
|
|
GSR Mortgage Loan Trust Series 2004-10F, Class 7A1, 5.50%, 9/25/2034
|
66,022
|
62,826
|
|
Impac CMB Trust
|
|
|
|
Series 2004-6, Class 1A2, 6.24%, 10/25/2034 (b)
|
32,117
|
31,055
|
|
Series 2005-5, Class A1, 6.10%, 8/25/2035 (b)
|
290,807
|
262,535
|
|
IndyMac INDA Mortgage Loan Trust Series 2007-AR1, Class 1A1, 3.54%, 3/25/2037 (b)
|
203,707
|
167,352
|
|
JPMorgan Mortgage Trust Series 2003-A1, Class 1A1, 4.52%, 10/25/2033 (b)
|
18,583
|
16,730
|
|
MASTR Adjustable Rate Mortgages Trust
|
|
|
|
Series 2004-13, Class 2A1, 5.87%, 4/21/2034 (b)
|
52,981
|
49,733
|
|
Series 2004-13, Class 3A7B, 7.41%, 11/21/2034 (b)
|
173,685
|
160,090
|
|
MASTR Seasoned Securitization Trust Series 2003-1, Class 3A2, 5.86%, 2/25/2033 (b)
|
34,341
|
32,276
|
|
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates
|
|
|
|
Series 2002-TBC1, Class B1, 6.44%, 9/15/2030 (b)
|
14,791
|
13,783
|
|
Series 2002-TBC1, Class B2, 6.84%, 9/15/2030 (b)
|
5,951
|
4,653
|
|
Series 2001-TBC1, Class B1, 6.32%, 11/15/2031 (b)
|
59,688
|
54,323
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2004-D, Class A1, 6.12%, 9/25/2029 (b)
|
75,046
|
71,075
|
|
Series 2004-1, Class 2A3, 4.57%, 12/25/2034 (b)
|
67,408
|
61,030
|
|
Metlife Securitization Trust
|
|
|
|
Series 2017-1A, Class A, 3.00%, 4/25/2055 (a) (b)
|
580,044
|
532,083
|
|
Series 2018-1A, Class A, 3.75%, 3/25/2057 (a) (b)
|
1,737,299
|
1,611,081
|
|
Morgan Stanley Dean Witter Capital I, Inc. Trust
|
|
|
|
Series 2003-HYB1, Class A4, 6.09%, 3/25/2033 (b)
|
43,071
|
37,095
|
|
Series 2003-HYB1, Class B1, 6.09%, 3/25/2033 (b)
|
44,193
|
24,873
|
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
Series 2004-3, Class 4A, 5.64%, 4/25/2034 (b)
|
558,780
|
541,609
|
|
Series 2004-5AR, Class 3A3, 5.23%, 7/25/2034 (b)
|
73,440
|
64,599
|
|
Series 2004-5AR, Class 3A5, 5.23%, 7/25/2034 (b)
|
413,866
|
380,283
|
|
Series 2004-11AR, Class 1A2A, 5.77%, 1/25/2035 (b)
|
174,386
|
154,507
|
|
MRFC Mortgage Pass-Through Trust Series 2002-TBC2, Class B1, 6.29%, 8/15/2032 (b)
|
31,379
|
28,187
|
|
NAAC Reperforming Loan REMIC Trust Certificates Series 2004-R3, Class AF, 5.91%, 2/25/2035 (a) (b)
|
515,105
|
408,311
|
|
New Residential Mortgage Loan Trust Series 2018-4A, Class A1S, 6.21%, 1/25/2048 (a) (b)
|
1,127,714
|
1,091,519
|
|
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, Class A1, 5.50%,
8/25/2033 (c)
|
129,117
|
125,754
|
|
Prime Mortgage Trust Series 2005-2, Class 2A1, 5.94%, 10/25/2032 (b)
|
175,255
|
170,148
|
|
PRPM LLC Series 2020-6, Class A1, 5.36%, 11/25/2025 (a) (c)
|
1,830,926
|
1,798,243
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
RFMSI Trust
|
|
|
|
Series 2005-SA2, Class 2A2, 5.17%, 6/25/2035 (b)
|
306,364
|
284,925
|
|
Series 2006-SA4, Class 2A1, 5.55%, 11/25/2036 (b)
|
141,864
|
120,840
|
|
Seasoned Credit Risk Transfer Trust Series 2020-1, Class M55G, 3.00%, 8/25/2059
|
7,078,834
|
6,143,291
|
|
Sequoia Mortgage Trust
|
|
|
|
Series 11, Class A, 6.35%, 12/20/2032 (b)
|
7,514
|
6,595
|
|
Series 2003-3, Class A2, 6.37%, 7/20/2033 (b)
|
58,740
|
51,059
|
|
Series 2004-11, Class A2, 6.44%, 12/20/2034 (b)
|
324,623
|
279,342
|
|
Structured Asset Mortgage Investments II Trust Series 2004-AR1, Class 1A1, 6.15%,
3/19/2034 (b)
|
26,099
|
23,833
|
|
Structured Asset Mortgage Investments Trust Series 2002-AR2, Class A3, 6.20%, 7/19/2032 (b)
|
116,575
|
79,605
|
|
Structured Asset Securities Corp. Mortgage Pass-Through Certificates
|
|
|
|
Series 2003-24A, Class 2A, 6.60%, 7/25/2033 (b)
|
243,074
|
229,433
|
|
Series 2003-40A, Class 4A, 7.16%, 1/25/2034 (b)
|
118,939
|
108,854
|
|
Thornburg Mortgage Securities Trust Series 2004-4, Class 5A, 2.80%, 12/25/2044 (b)
|
1,226,845
|
1,039,886
|
|
Towd Point Mortgage Trust Series 2018-4, Class A1, 3.00%, 6/25/2058 (a) (b)
|
2,875,422
|
2,617,651
|
|
WaMu Mortgage Pass-Through Certificates Trust
|
|
|
|
Series 2004-AR3, Class A1, 4.50%, 6/25/2034 (b)
|
238,982
|
213,532
|
|
Series 2004-AR11, Class A, 5.97%, 10/25/2034 (b)
|
119,527
|
106,570
|
|
Total Collateralized Mortgage Obligations
(Cost $225,193,615)
|
|
215,074,188
|
|
Mortgage-Backed Securities — 9.5%
|
||
|
FHLMC Gold Pools, Other Pool # U49009, 3.00%, 8/1/2028
|
805,127
|
769,009
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # RA2459, 4.00%, 4/1/2050
|
4,869,061
|
4,487,486
|
|
Pool # RA2904, 3.00%, 6/1/2050
|
4,746,661
|
4,055,325
|
|
Pool # RA2970, 2.50%, 7/1/2050
|
5,418,299
|
4,410,696
|
|
Pool # SD1787, 5.00%, 10/1/2052
|
3,651,506
|
3,578,568
|
|
Pool # SD8277, 5.50%, 12/1/2052
|
4,618,575
|
4,559,348
|
|
FNMA UMBS, 15 Year Pool # AD1969, 4.00%, 2/1/2025
|
103,610
|
103,155
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # MA1338, 3.00%, 2/1/2033
|
841,584
|
780,445
|
|
Pool # MA1401, 3.00%, 4/1/2033
|
326,414
|
302,495
|
|
Pool # MA1490, 3.00%, 7/1/2033
|
1,081,058
|
1,001,151
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # 995724, 6.00%, 4/1/2039
|
146,195
|
150,940
|
|
Pool # AD0588, 5.00%, 12/1/2039
|
718,794
|
716,732
|
|
Pool # AD9721, 5.50%, 8/1/2040
|
170,518
|
170,022
|
|
Pool # BM3048, 4.00%, 10/1/2042
|
3,051,061
|
2,861,672
|
|
Pool # AS4592, 4.00%, 2/1/2045
|
5,126,944
|
4,778,511
|
|
Pool # BM5560, 4.00%, 1/1/2046
|
3,584,962
|
3,356,888
|
|
Pool # CA0411, 4.00%, 9/1/2047
|
3,434,610
|
3,207,824
|
|
Pool # CA2489, 4.50%, 10/1/2048
|
618,402
|
582,157
|
|
Pool # BP7345, 3.00%, 6/1/2050
|
6,140,284
|
5,235,094
|
|
Pool # BQ7436, 3.00%, 9/1/2051
|
4,315,697
|
3,660,827
|
|
Pool # BQ7454, 3.00%, 12/1/2051
|
5,791,133
|
4,912,361
|
|
Pool # FS2898, 4.50%, 9/1/2052
|
5,476,695
|
5,131,558
|
|
Pool # FS3051, 5.00%, 10/1/2052
|
3,496,662
|
3,426,817
|
|
Pool # CB4839, 5.50%, 10/1/2052
|
3,695,003
|
3,648,144
|
|
FNMA, Other Pool # BK7908, 4.00%, 11/1/2048
|
291,806
|
265,037
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
GNMA I, 15 Year Pool # 723171, 4.50%, 10/15/2024
|
39,236
|
39,471
|
|
GNMA II, 30 Year Pool # CG5224, 3.50%, 8/20/2051
|
8,989,143
|
7,924,225
|
|
Total Mortgage-Backed Securities
(Cost $84,585,868)
|
|
74,115,958
|
|
Commercial Mortgage-Backed Securities — 9.1%
|
||
|
20 Times Square Trust Series 2018-20TS, Class A, 3.20%, 5/15/2035 (a) (b)
|
1,944,523
|
1,759,936
|
|
BAMLL Commercial Mortgage Securities Trust Series 2015-200P, Class A, 3.22%, 4/14/2033 (a)
|
3,500,000
|
3,302,200
|
|
BANK Series 2021-BN35, Class A2, 1.87%, 6/15/2064
|
2,650,000
|
2,371,596
|
|
Bayview Commercial Asset Trust
|
|
|
|
Series 2005-2A, Class A2, 5.98%, 8/25/2035 (a) (b)
|
377,418
|
342,845
|
|
Series 2005-2A, Class M1, 6.10%, 8/25/2035 (a) (b)
|
75,378
|
69,304
|
|
Series 2007-3, Class A2, 5.89%, 7/25/2037 (a) (b)
|
367,885
|
323,602
|
|
BBCMS Mortgage Trust Series 2020-C7, Class A2, 2.02%, 4/15/2053
|
1,000,000
|
895,045
|
|
BBCMS Trust Series 2015-VFM, Class A1, 2.47%, 3/10/2036 (a)
|
764,549
|
722,715
|
|
BHMS Series 2018-ATLS, Class A, 6.87%, 7/15/2035 (a) (b)
|
6,000,000
|
5,929,548
|
|
BPR Trust Series 2021-KEN, Class A, 6.69%, 2/15/2029 (a) (b)
|
2,115,000
|
2,102,013
|
|
BX Series 2021-MFM1, Class A, 6.14%, 1/15/2034 (a) (b)
|
3,065,047
|
3,016,868
|
|
BX Trust
|
|
|
|
Series 2021-BXMF, Class A, 6.07%, 10/15/2026 (a) (b)
|
7,507,721
|
7,340,429
|
|
Series 2021-LBA, Class AJV, 6.24%, 2/15/2036 (a) (b)
|
6,500,000
|
6,369,492
|
|
Commercial Mortgage Trust Series 2020-CBM, Class A1, 2.31%, 2/10/2037 (a) (b)
|
6,000,000
|
5,676,364
|
|
FHLMC, Multi-Family Structured Credit Risk Series 2021-MN1, Class M1, 7.33%, 1/25/2051 (a) (b)
|
162,784
|
158,045
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series Q007, Class APT2, 3.46%, 10/25/2047 (b)
|
1,028,763
|
1,005,528
|
|
Series Q013, Class APT1, 1.78%, 5/25/2050 (b)
|
2,699,582
|
2,596,604
|
|
ILPT Commercial Mortgage Trust Series 2022-LPF2, Class A, 7.57%, 10/15/2039 (a) (b)
|
3,000,000
|
2,971,535
|
|
OAKST Commercial Mortgage Trust Series 2023-NLP, Class A, 6.30%, 3/15/2040 (a) (b)
|
2,000,000
|
1,992,219
|
|
One Bryant Park Trust Series 2019-OBP, Class A, 2.52%, 9/15/2054 (a)
|
5,000,000
|
4,065,000
|
|
ONE Mortgage Trust Series 2021-PARK, Class A, 6.14%, 3/15/2036 (a) (b)
|
7,000,000
|
6,595,333
|
|
SMR Mortgage Trust Series 2022-IND, Class A, 6.97%, 2/15/2039 (a) (b)
|
7,421,798
|
6,997,271
|
|
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 7.09%, 11/15/2036 (a) (b)
|
2,300,000
|
2,237,214
|
|
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (a)
|
36,602
|
33,674
|
|
Wells Fargo Commercial Mortgage Trust Series 2021-SAVE, Class A, 6.59%, 2/15/2040 (a) (b)
|
2,158,874
|
2,072,212
|
|
Total Commercial Mortgage-Backed Securities
(Cost $74,581,107)
|
|
70,946,592
|
|
Corporate Bonds — 6.0%
|
||
|
Banks — 1.6%
|
||
|
BNP Paribas SA (France) (SOFR + 1.00%), 1.32%, 1/13/2027 (a) (d)
|
6,470,000
|
5,879,427
|
|
Sumitomo Mitsui Financial Group, Inc. (Japan) 0.95%, 1/12/2026
|
2,900,000
|
2,639,184
|
|
Truist Financial Corp. 1.20%, 8/5/2025
|
4,000,000
|
3,708,299
|
|
|
|
12,226,910
|
|
Capital Markets — 0.5%
|
||
|
Credit Suisse AG (Switzerland) 7.95%, 1/9/2025
|
4,000,000
|
4,077,718
|
|
Consumer Finance — 1.3%
|
||
|
American Honda Finance Corp. (3-MONTH CME TERM SOFR + 0.54%), 5.97%, 1/12/2024 (d)
|
10,000,000
|
10,000,713
|
|
Diversified Telecommunication Services — 0.5%
|
||
|
AT&T, Inc. 1.65%, 2/1/2028
|
4,335,000
|
3,775,839
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Independent Power and Renewable Electricity Producers — 0.2%
|
||
|
Southern Power Co. 0.90%, 1/15/2026
|
1,780,000
|
1,618,562
|
|
Insurance — 1.9%
|
||
|
Metropolitan Life Global Funding I (SOFR + 0.32%), 5.68%, 1/7/2024 (a) (d)
|
10,000,000
|
10,000,458
|
|
Protective Life Global Funding 1.17%, 7/15/2025 (a)
|
5,190,000
|
4,824,472
|
|
|
|
14,824,930
|
|
Total Corporate Bonds
(Cost $48,664,021)
|
|
46,524,672
|
|
|
SHARES
|
|
|
Short-Term Investments — 8.6%
|
||
|
Investment Companies — 8.6%
|
||
|
JPMorgan Prime Money Market Fund Class IM Shares, 5.48% (e) (f)
(Cost $66,975,667)
|
66,955,400
|
66,988,878
|
|
Total Investments — 99.6%
(Cost $815,656,506)
|
|
777,473,891
|
|
Other Assets Less Liabilities — 0.4%
|
|
2,995,278
|
|
NET ASSETS — 100.0%
|
|
780,469,169
|
|
Percentages indicated are based on net assets.
|
|
Abbreviations
|
|
|
CLO
|
Collateralized Loan Obligations
|
|
CME
|
Chicago Mercantile Exchange
|
|
FHLMC
|
Federal Home Loan Mortgage Corp.
|
|
FNMA
|
Federal National Mortgage Association
|
|
GNMA
|
Government National Mortgage Association
|
|
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 November 30, 2023. 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.
|
|
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
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
(a)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
(b)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments on the
underlying pool of assets. The interest rate shown is the current rate as of November
30, 2023.
|
|
(c)
|
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.
|
|
(d)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of November 30, 2023.
|
|
(e)
|
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.
|
|
(f)
|
The rate shown is the current yield as of November 30, 2023.
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$285,793,864
|
$18,029,739
|
$303,823,603
|
|
Collateralized Mortgage Obligations
|
—
|
215,074,188
|
—
|
215,074,188
|
|
Commercial Mortgage-Backed Securities
|
—
|
70,946,592
|
—
|
70,946,592
|
|
Corporate Bonds
|
—
|
46,524,672
|
—
|
46,524,672
|
|
Mortgage-Backed Securities
|
—
|
74,115,958
|
—
|
74,115,958
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
66,988,878
|
—
|
—
|
66,988,878
|
|
Total Investments in Securities
|
$66,988,878
|
$692,455,274
|
$18,029,739
|
$777,473,891
|
|
|
Balance as of
February 28,
2023*
|
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
November 30,
2023
|
|
Investments in
Securities:
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed
Securities
|
$18,725,809
|
$—
|
$82,024
|
$10,851
|
$6,194,524
|
$(6,983,469
)
|
$—
|
$—
|
$18,029,739
|
|
Collateralized
Mortgage
Obligations
|
—
|
—
|
—
|
—
|
5,000,000
|
(5,000,000
)
|
—
|
—
|
—
|
|
Total
|
$18,725,809
|
$—
|
$82,024
|
$10,851
|
$11,194,524
|
$(11,983,469
)
|
$—
|
$—
|
$18,029,739
|
|
|
|||||||||
|
1
|
Purchases include all purchases of securities and securities received in corporate
actions.
|
||||||||
|
2
|
Sales include all sales of securities, maturities, paydowns and securities tendered
in corporate actions.
|
||||||||
|
*
|
As of the close of business on July 28, 2023, JPMorgan Limited Duration Bond Fund
(the "Acquired Fund"), a series of Trust II Funds,
reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan
Limited Duration Bond ETF (the "Fund"). Following the
Reorganization, the Acquired Fund's performance and financial history were adopted
by the Fund. The tables include transactions from the
Acquired Fund for the period March 1, 2023 through July 28, 2023.
|
|
|
Fair Value at
November 30, 2023
|
Valuation
Technique(s)
|
Unobservable
Input
|
Range (Weighted
Average) (a)
|
|
|
$15,707,127
|
Discounted Cash Flow
|
Constant Prepayment Rate
|
0.00% - 10.00% (2.98%)
|
|
|
|
|
Constant Default Rate
|
0.00% - 29.00% (2.73%)
|
|
|
|
|
Yield (Discount Rate of Cash Flows)
|
6.62% - 15.84% (7.80%)
|
|
Asset-Backed Securities
|
15,707,127
|
|
|
|
|
Total
|
$15,707,127
|
|
|
|
|
#
|
The table above does not include certain level 3 investments that are valued by brokers
and Pricing Services. At November 30, 2023, the value
of these investments was $2,322,612. The inputs for these investments are not readily
available or cannot be reasonably estimated and are
generally those inputs described in Note A.
|
|
(a)
|
Unobservable inputs were weighted by the relative fair value of the instruments.
|
|
|
|||||||||
|
For the period ended November 30, 2023*
|
|||||||||
|
Security Description
|
Value at
February 28,
2023
|
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 Prime Money Market
Fund Class IM Shares,
5.48% (a) (b)
|
$—
|
$170,115,248
|
$103,142,322
|
$2,741
|
$13,211
|
$66,988,878
|
66,955,400
|
$965,436
|
$—
|
|
JPMorgan Prime Money Market
Fund Class Institutional
Shares, 5.39% (a) (b)
|
98,193,083
|
216,149,340
|
314,319,032
|
13,438
|
(36,829
)
|
—
|
—
|
1,660,612
|
—
|
|
Total
|
$98,193,083
|
$386,264,588
|
$417,461,354
|
$16,179
|
$(23,618
)
|
$66,988,878
|
|
$2,626,048
|
$—
|
|
|
|
|
(a)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
(b)
|
The rate shown is the current yield as of November 30, 2023.
|
|
*
|
As of the close of business on July 28, 2023, JPMorgan Limited Duration Bond Fund
(the "Acquired Fund"), a series of Trust II Funds,
reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan
Limited Duration Bond ETF (the "Fund"). Following the
Reorganization, the Acquired Fund's performance and financial history were adopted
by the Fund. The tables include transactions from the
Acquired Fund for the period March 1, 2023 through July 28, 2023.
|