|
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., 2024.
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
U.S. Treasury Obligations — 28.0%
|
||
|
U.S. Treasury Inflation Linked Notes
|
|
|
|
0.13%, 10/15/2025
|
10,453,191
|
10,112,302
|
|
0.13%, 4/15/2026 (a)
|
76,543,642
|
73,070,982
|
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2.38%, 10/15/2028
|
56,486,836
|
57,092,774
|
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1.75%, 1/15/2034
|
39,279,234
|
37,937,212
|
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Total U.S. Treasury Obligations
(Cost $179,898,041)
|
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178,213,270
|
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Corporate Bonds — 26.6%
|
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Aerospace & Defense — 0.8%
|
||
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BAE Systems plc (United Kingdom) 3.40%, 4/15/2030 (b)
|
400,000
|
360,362
|
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Boeing Co. (The)
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2.75%, 2/1/2026
|
782,000
|
740,040
|
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3.10%, 5/1/2026
|
931,000
|
882,327
|
|
6.39%, 5/1/2031 (b)
|
314,000
|
317,629
|
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6.53%, 5/1/2034 (b)
|
88,000
|
89,225
|
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L3Harris Technologies, Inc. 3.85%, 12/15/2026
|
425,000
|
409,790
|
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Leidos, Inc. 2.30%, 2/15/2031
|
767,000
|
628,966
|
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RTX Corp. 5.75%, 1/15/2029
|
1,500,000
|
1,538,836
|
|
|
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4,967,175
|
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Automobile Components — 0.0% ^
|
||
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Lear Corp. 2.60%, 1/15/2032
|
222,000
|
180,631
|
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Automobiles — 0.4%
|
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Hyundai Capital America
|
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|
3.00%, 2/10/2027 (b)
|
903,000
|
846,322
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2.38%, 10/15/2027 (b)
|
919,000
|
831,680
|
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Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b)
|
678,000
|
564,053
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|
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2,242,055
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Banks — 7.7%
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ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity
1 Year + 1.10%), 2.47%,
12/13/2029 (b) (c)
|
900,000
|
788,385
|
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AIB Group plc (Ireland) (SOFR + 2.33%), 6.61%, 9/13/2029 (b) (c)
|
264,000
|
271,435
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Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d)
|
1,550,000
|
1,513,331
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Banco Santander SA (Spain)
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c)
|
200,000
|
182,742
|
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2.75%, 12/3/2030
|
1,600,000
|
1,334,238
|
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Bank of America Corp.
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(SOFR + 1.15%), 1.32%, 6/19/2026 (c)
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21,000
|
20,056
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Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c)
|
178,000
|
166,396
|
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(3-MONTH CME TERM SOFR + 1.84%), 3.82%, 1/20/2028 (c)
|
937,000
|
900,816
|
|
(SOFR + 1.63%), 5.20%, 4/25/2029 (c)
|
1,147,000
|
1,140,805
|
|
(SOFR + 1.53%), 1.90%, 7/23/2031 (c)
|
2,777,000
|
2,267,562
|
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(SOFR + 1.65%), 5.47%, 1/23/2035 (c)
|
1,707,000
|
1,695,784
|
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Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.10%), 2.03%,
9/30/2027 (b) (c)
|
1,525,000
|
1,401,369
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Bank of Montreal (Canada) 2.65%, 3/8/2027
|
40,000
|
37,416
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Barclays plc (United Kingdom)
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(SOFR + 1.88%), 6.50%, 9/13/2027 (c)
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699,000
|
710,620
|
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(SOFR + 1.74%), 5.69%, 3/12/2030 (c)
|
400,000
|
399,742
|
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(SOFR + 2.98%), 6.22%, 5/9/2034 (c)
|
300,000
|
307,074
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BNP Paribas SA (France)
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(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c)
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500,000
|
482,442
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(SOFR + 1.23%), 2.59%, 1/20/2028 (b) (c)
|
300,000
|
277,978
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
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Corporate Bonds — continued
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Banks — continued
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BPCE SA (France)
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(SOFR + 1.09%), 2.05%, 10/19/2027 (b) (c)
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964,000
|
884,782
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(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c)
|
1,194,000
|
965,497
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Citigroup, Inc.
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(SOFR + 0.77%), 1.12%, 1/28/2027 (c)
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1,056,000
|
982,238
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4.45%, 9/29/2027
|
472,000
|
459,428
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(3-MONTH CME TERM SOFR + 1.82%), 3.89%, 1/10/2028 (c)
|
90,000
|
86,703
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(SOFR + 1.17%), 2.56%, 5/1/2032 (c)
|
1,200,000
|
997,656
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(SOFR + 1.35%), 3.06%, 1/25/2033 (c)
|
450,000
|
379,948
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Cooperatieve Rabobank UA (Netherlands)
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (b) (c)
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750,000
|
686,449
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.40%), 5.56%, 2/28/2029 (b) (c)
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250,000
|
250,468
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Credit Agricole SA (France)
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(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c)
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1,500,000
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1,441,630
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(SOFR + 1.69%), 5.34%, 1/10/2030 (b) (c)
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800,000
|
794,855
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Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1
Year + 1.40%), 5.71%,
3/1/2030 (b) (c)
|
407,000
|
407,440
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Discover Bank 3.45%, 7/27/2026
|
447,000
|
426,802
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DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year
+ 0.68%), 1.61%,
3/30/2028 (b) (c)
|
1,000,000
|
898,080
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Fifth Third Bancorp
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3.95%, 3/14/2028
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500,000
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474,813
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(SOFR + 1.84%), 5.63%, 1/29/2032 (c)
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66,000
|
65,405
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Fifth Third Bank NA 2.25%, 2/1/2027
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250,000
|
230,569
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HSBC Holdings plc (United Kingdom)
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(3-MONTH CME TERM SOFR + 1.61%), 4.29%, 9/12/2026 (c)
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1,250,000
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1,226,959
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(SOFR + 1.73%), 2.01%, 9/22/2028 (c)
|
300,000
|
268,369
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(3-MONTH CME TERM SOFR + 1.87%), 3.97%, 5/22/2030 (c)
|
640,000
|
595,848
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(SOFR + 2.39%), 2.85%, 6/4/2031 (c)
|
1,141,000
|
980,973
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ING Groep NV (Netherlands) (SOFR + 1.01%), 1.73%, 4/1/2027 (c)
|
880,000
|
820,672
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KeyBank NA 3.30%, 6/1/2025
|
250,000
|
243,382
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KeyCorp (SOFRINDX + 1.25%), 6.59%, 5/23/2025 (c)
|
184,000
|
184,075
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Lloyds Banking Group plc (United Kingdom)
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (c)
|
1,150,000
|
1,124,260
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3.75%, 1/11/2027
|
469,000
|
450,926
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Mitsubishi UFJ Financial Group, Inc. (Japan)
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1.41%, 7/17/2025
|
400,000
|
382,137
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (c)
|
600,000
|
555,432
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Mizuho Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant
Maturity 1 Year + 1.12%), 5.38%,
5/26/2030 (c)
|
1,750,000
|
1,743,128
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National Bank of Canada (Canada) 5.60%, 12/18/2028
|
400,000
|
403,645
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NatWest Group plc (United Kingdom)
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (c)
|
286,000
|
264,092
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|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.50%), 5.78%, 3/1/2035 (c)
|
320,000
|
320,214
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PNC Financial Services Group, Inc. (The)
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(SOFRINDX + 1.09%), 4.76%, 1/26/2027 (c)
|
573,000
|
565,806
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|
(SOFR + 1.34%), 5.30%, 1/21/2028 (c)
|
340,000
|
339,023
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Santander UK Group Holdings plc (United Kingdom)
|
||
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(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c)
|
1,200,000
|
1,139,284
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|
(SOFR + 2.75%), 6.83%, 11/21/2026 (c)
|
200,000
|
202,896
|
|
(SOFR + 2.60%), 6.53%, 1/10/2029 (c)
|
750,000
|
769,801
|
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Societe Generale SA (France)
|
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|
2.63%, 1/22/2025 (b)
|
700,000
|
685,196
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INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
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Banks — continued
|
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4.25%, 4/14/2025 (b)
|
400,000
|
393,448
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c)
|
1,737,000
|
1,600,172
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Standard Chartered plc (United Kingdom)
|
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(3-MONTH SOFR + 1.21%), 2.82%, 1/30/2026 (b) (c)
|
800,000
|
783,616
|
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.10%, 1/11/2035 (b) (c)
|
630,000
|
642,206
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Sumitomo Mitsui Financial Group, Inc. (Japan) 1.90%, 9/17/2028
|
1,300,000
|
1,132,621
|
|
Toronto-Dominion Bank (The) (Canada) 1.15%, 6/12/2025
|
40,000
|
38,287
|
|
Truist Bank 3.30%, 5/15/2026
|
1,000,000
|
957,676
|
|
Truist Financial Corp.
|
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|
(SOFR + 2.45%), 7.16%, 10/30/2029 (c)
|
275,000
|
291,268
|
|
(SOFR + 1.62%), 5.44%, 1/24/2030 (c)
|
500,000
|
497,165
|
|
UniCredit SpA (Italy)
|
||
|
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c)
|
835,000
|
775,597
|
|
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c)
|
600,000
|
587,565
|
|
US Bancorp
|
||
|
(SOFR + 1.56%), 5.38%, 1/23/2030 (c)
|
125,000
|
124,689
|
|
(SOFR + 1.86%), 5.68%, 1/23/2035 (c)
|
127,000
|
126,811
|
|
Wachovia Corp. 7.57%, 8/1/2026 (e)
|
366,000
|
380,385
|
|
Wells Fargo & Co.
|
||
|
(SOFR + 2.10%), 2.39%, 6/2/2028 (c)
|
700,000
|
642,149
|
|
(SOFR + 1.50%), 5.20%, 1/23/2030 (c)
|
2,206,000
|
2,187,162
|
|
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (c)
|
637,000
|
561,193
|
|
|
|
49,319,082
|
|
Biotechnology — 0.4%
|
||
|
AbbVie, Inc.
|
||
|
2.95%, 11/21/2026
|
1,277,000
|
1,212,923
|
|
3.20%, 11/21/2029
|
800,000
|
729,368
|
|
5.05%, 3/15/2034
|
245,000
|
242,389
|
|
Amgen, Inc. 5.25%, 3/2/2030
|
200,000
|
200,522
|
|
Gilead Sciences, Inc. 3.50%, 2/1/2025
|
35,000
|
34,523
|
|
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030
|
481,000
|
391,975
|
|
|
|
2,811,700
|
|
Broadline Retail — 0.0% ^
|
||
|
eBay, Inc. 2.60%, 5/10/2031
|
50,000
|
42,437
|
|
Capital Markets — 2.0%
|
||
|
Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026
|
362,000
|
354,128
|
|
Deutsche Bank AG (Germany)
|
||
|
(SOFR + 2.52%), 7.15%, 7/13/2027 (c)
|
190,000
|
194,757
|
|
(SOFR + 1.32%), 2.55%, 1/7/2028 (c)
|
700,000
|
645,526
|
|
(SOFR + 1.72%), 3.04%, 5/28/2032 (c)
|
1,126,000
|
944,289
|
|
Goldman Sachs Group, Inc. (The)
|
||
|
4.25%, 10/21/2025
|
237,000
|
232,771
|
|
3.50%, 11/16/2026
|
1,185,000
|
1,133,903
|
|
(SOFR + 1.09%), 1.99%, 1/27/2032 (c)
|
512,000
|
413,204
|
|
(SOFR + 1.28%), 2.62%, 4/22/2032 (c)
|
2,000,000
|
1,669,262
|
|
Invesco Finance plc 3.75%, 1/15/2026
|
386,000
|
375,255
|
|
Macquarie Group Ltd. (Australia)
|
||
|
(3-MONTH SOFR + 1.75%), 5.03%, 1/15/2030 (b) (c)
|
200,000
|
196,199
|
|
(SOFR + 2.30%), 6.26%, 12/7/2034 (b) (c)
|
300,000
|
309,995
|
|
Morgan Stanley
|
||
|
(SOFR + 1.99%), 2.19%, 4/28/2026 (c)
|
40,000
|
38,754
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Capital Markets — continued
|
||
|
4.35%, 9/8/2026
|
1,163,000
|
1,137,710
|
|
(SOFR + 1.45%), 5.17%, 1/16/2030 (c)
|
2,440,000
|
2,422,546
|
|
(SOFR + 1.02%), 1.93%, 4/28/2032 (c)
|
110,000
|
87,882
|
|
Nasdaq, Inc. 5.55%, 2/15/2034
|
138,000
|
137,792
|
|
Nomura Holdings, Inc. (Japan)
|
||
|
2.33%, 1/22/2027
|
800,000
|
737,590
|
|
2.68%, 7/16/2030
|
753,000
|
638,005
|
|
UBS Group AG (Switzerland)
|
||
|
(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c)
|
250,000
|
241,067
|
|
(SOFRINDX + 0.98%), 1.31%, 2/2/2027 (b) (c)
|
900,000
|
834,708
|
|
|
|
12,745,343
|
|
Chemicals — 0.2%
|
||
|
Albemarle Corp. 5.05%, 6/1/2032
|
540,000
|
519,280
|
|
RPM International, Inc. 2.95%, 1/15/2032
|
438,000
|
364,580
|
|
Westlake Corp. 3.60%, 8/15/2026
|
400,000
|
384,105
|
|
|
|
1,267,965
|
|
Construction & Engineering — 0.1%
|
||
|
Quanta Services, Inc. 2.35%, 1/15/2032
|
446,000
|
360,674
|
|
Construction Materials — 0.0% ^
|
||
|
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030
|
40,000
|
34,531
|
|
Consumer Finance — 1.9%
|
||
|
AerCap Ireland Capital DAC (Ireland)
|
||
|
2.45%, 10/29/2026
|
1,404,000
|
1,306,388
|
|
3.00%, 10/29/2028
|
1,835,000
|
1,657,934
|
|
American Express Co. (SOFR + 1.33%), 6.34%, 10/30/2026 (c)
|
490,000
|
495,238
|
|
Avolon Holdings Funding Ltd. (Ireland)
|
||
|
2.13%, 2/21/2026 (b)
|
692,000
|
647,733
|
|
4.25%, 4/15/2026 (b)
|
832,000
|
805,559
|
|
4.38%, 5/1/2026 (b)
|
1,063,000
|
1,032,418
|
|
2.53%, 11/18/2027 (b)
|
4,393,000
|
3,920,621
|
|
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (c)
|
709,000
|
573,800
|
|
General Motors Financial Co., Inc.
|
||
|
2.35%, 1/8/2031
|
1,590,000
|
1,297,186
|
|
5.95%, 4/4/2034
|
139,000
|
138,346
|
|
Macquarie Airfinance Holdings Ltd. (United Kingdom) 6.40%, 3/26/2029 (b)
|
37,000
|
37,389
|
|
Mitsubishi HC Finance America LLC (Japan) 5.81%, 9/12/2028 (b)
|
200,000
|
201,971
|
|
|
|
12,114,583
|
|
Consumer Staples Distribution & Retail — 0.1%
|
||
|
7-Eleven, Inc. 1.80%, 2/10/2031 (b)
|
505,000
|
402,967
|
|
Containers & Packaging — 0.1%
|
||
|
Graphic Packaging International LLC 1.51%, 4/15/2026 (b)
|
453,000
|
418,833
|
|
WRKCo, Inc. 4.90%, 3/15/2029
|
150,000
|
148,168
|
|
|
|
567,001
|
|
Diversified REITs — 0.4%
|
||
|
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b)
|
163,000
|
150,948
|
|
Safehold GL Holdings LLC 2.80%, 6/15/2031
|
682,000
|
567,087
|
|
Simon Property Group LP 2.45%, 9/13/2029
|
200,000
|
174,342
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Diversified REITs — continued
|
||
|
WP Carey, Inc.
|
||
|
2.40%, 2/1/2031
|
800,000
|
665,109
|
|
2.25%, 4/1/2033
|
893,000
|
679,772
|
|
|
|
2,237,258
|
|
Diversified Telecommunication Services — 0.5%
|
||
|
AT&T, Inc. 1.65%, 2/1/2028
|
881,000
|
778,554
|
|
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (b)
|
1,100,000
|
936,374
|
|
Sprint Capital Corp. 6.88%, 11/15/2028
|
155,000
|
163,684
|
|
Verizon Communications, Inc.
|
||
|
2.63%, 8/15/2026
|
793,000
|
750,589
|
|
1.68%, 10/30/2030
|
870,000
|
701,598
|
|
|
|
3,330,799
|
|
Electric Utilities — 1.9%
|
||
|
Alabama Power Co. 5.85%, 11/15/2033
|
500,000
|
518,591
|
|
American Electric Power Co., Inc. 5.63%, 3/1/2033
|
100,000
|
99,353
|
|
Arizona Public Service Co. 3.35%, 6/15/2024
|
322,000
|
321,646
|
|
Atlantic City Electric Co. 4.00%, 10/15/2028
|
20,000
|
19,119
|
|
CenterPoint Energy Houston Electric LLC Series AA, 3.00%, 2/1/2027
|
310,000
|
293,705
|
|
Cleveland Electric Illuminating Co. (The)
|
||
|
5.50%, 8/15/2024
|
10,000
|
9,990
|
|
3.50%, 4/1/2028 (b)
|
386,000
|
359,329
|
|
4.55%, 11/15/2030 (b)
|
290,000
|
272,753
|
|
Connecticut Light and Power Co. (The) Series A, 3.20%, 3/15/2027
|
20,000
|
19,030
|
|
DTE Electric Co. 3.38%, 3/1/2025
|
100,000
|
98,278
|
|
Duke Energy Carolinas LLC 6.45%, 10/15/2032
|
50,000
|
53,697
|
|
Duke Energy Indiana LLC 5.25%, 3/1/2034
|
450,000
|
448,277
|
|
Duke Energy Ohio, Inc. 5.25%, 4/1/2033
|
73,000
|
72,287
|
|
Duquesne Light Holdings, Inc.
|
||
|
2.53%, 10/1/2030 (b)
|
421,000
|
353,067
|
|
2.78%, 1/7/2032 (b)
|
554,000
|
447,478
|
|
Edison International 3.55%, 11/15/2024
|
714,000
|
706,664
|
|
Entergy Louisiana LLC 1.60%, 12/15/2030
|
100,000
|
79,690
|
|
Evergy, Inc. 2.90%, 9/15/2029
|
418,000
|
371,449
|
|
Fells Point Funding Trust 3.05%, 1/31/2027 (b)
|
864,000
|
810,263
|
|
FirstEnergy Pennsylvania Electric Co. 3.25%, 3/15/2028 (b)
|
256,000
|
237,742
|
|
Fortis, Inc. (Canada) 3.06%, 10/4/2026
|
721,000
|
681,986
|
|
Interstate Power and Light Co. 4.10%, 9/26/2028
|
30,000
|
28,683
|
|
ITC Holdings Corp. 2.95%, 5/14/2030 (b)
|
251,000
|
219,536
|
|
Kentucky Utilities Co. 3.30%, 10/1/2025
|
200,000
|
194,170
|
|
NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030
|
200,000
|
168,895
|
|
Niagara Mohawk Power Corp.
|
||
|
3.51%, 10/1/2024 (b)
|
640,000
|
634,299
|
|
1.96%, 6/27/2030 (b)
|
500,000
|
413,414
|
|
NRG Energy, Inc. 2.45%, 12/2/2027 (b)
|
805,000
|
722,981
|
|
Pacific Gas and Electric Co.
|
||
|
2.95%, 3/1/2026
|
458,000
|
436,841
|
|
4.55%, 7/1/2030
|
778,999
|
735,521
|
|
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036
|
848,000
|
786,250
|
|
Potomac Electric Power Co. 5.20%, 3/15/2034
|
172,000
|
170,913
|
|
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038
|
285,000
|
207,189
|
|
Southern Co. (The) 5.70%, 3/15/2034
|
207,000
|
210,005
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Electric Utilities — continued
|
||
|
Southwestern Electric Power Co. Series M, 4.10%, 9/15/2028
|
10,000
|
9,470
|
|
Tampa Electric Co. 4.90%, 3/1/2029
|
274,000
|
270,855
|
|
Virginia Electric and Power Co. Series A, 3.50%, 3/15/2027
|
210,000
|
200,934
|
|
Wisconsin Electric Power Co. 3.10%, 6/1/2025
|
400,000
|
390,796
|
|
|
|
12,075,146
|
|
Electrical Equipment — 0.0% ^
|
||
|
Eaton Corp. 3.10%, 9/15/2027
|
50,000
|
47,099
|
|
Energy Equipment & Services — 0.0% ^
|
||
|
Halliburton Co. 2.92%, 3/1/2030
|
200,000
|
178,116
|
|
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (b)
|
39,000
|
37,188
|
|
|
|
215,304
|
|
Financial Services — 0.5%
|
||
|
Corebridge Financial, Inc. 3.65%, 4/5/2027
|
300,000
|
286,484
|
|
Fiserv, Inc. 5.35%, 3/15/2031
|
850,000
|
846,366
|
|
Global Payments, Inc.
|
||
|
2.15%, 1/15/2027
|
901,000
|
830,830
|
|
3.20%, 8/15/2029
|
200,000
|
178,439
|
|
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b)
|
890,000
|
791,726
|
|
Nationwide Building Society (United Kingdom) 4.85%, 7/27/2027 (b)
|
300,000
|
295,640
|
|
|
|
3,229,485
|
|
Food Products — 0.3%
|
||
|
Bimbo Bakeries USA, Inc. (Mexico) 6.05%, 1/15/2029 (b)
|
500,000
|
510,313
|
|
Campbell Soup Co. 5.40%, 3/21/2034
|
164,000
|
162,236
|
|
General Mills, Inc. 4.95%, 3/29/2033
|
151,000
|
146,644
|
|
J M Smucker Co. (The) 6.20%, 11/15/2033
|
264,000
|
275,787
|
|
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025
|
89,000
|
87,487
|
|
Smithfield Foods, Inc.
|
||
|
5.20%, 4/1/2029 (b)
|
376,000
|
362,458
|
|
3.00%, 10/15/2030 (b)
|
600,000
|
506,990
|
|
|
|
2,051,915
|
|
Gas Utilities — 0.0% ^
|
||
|
ONE Gas, Inc. 2.00%, 5/15/2030
|
248,000
|
207,730
|
|
Ground Transportation — 0.5%
|
||
|
Canadian Pacific Railway Co. (Canada) 2.05%, 3/5/2030
|
200,000
|
169,134
|
|
Penske Truck Leasing Co. LP
|
||
|
5.75%, 5/24/2026 (b)
|
219,000
|
219,730
|
|
5.55%, 5/1/2028 (b)
|
1,218,000
|
1,222,458
|
|
Triton Container International Ltd. (Bermuda)
|
||
|
2.05%, 4/15/2026 (b)
|
637,000
|
589,499
|
|
3.25%, 3/15/2032
|
1,108,000
|
889,314
|
|
|
|
3,090,135
|
|
Health Care Equipment & Supplies — 0.0% ^
|
||
|
Becton Dickinson & Co. 3.36%, 6/6/2024
|
46,000
|
45,990
|
|
Health Care Providers & Services — 0.5%
|
||
|
CommonSpirit Health
|
||
|
3.35%, 10/1/2029
|
455,000
|
415,679
|
|
2.78%, 10/1/2030
|
171,000
|
147,075
|
|
CVS Health Corp. 1.88%, 2/28/2031
|
581,000
|
462,226
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Health Care Providers & Services — continued
|
||
|
HCA, Inc.
|
||
|
4.13%, 6/15/2029
|
764,000
|
719,820
|
|
2.38%, 7/15/2031
|
600,000
|
489,498
|
|
Humana, Inc. 3.95%, 3/15/2027
|
292,000
|
281,512
|
|
Quest Diagnostics, Inc.
|
||
|
3.45%, 6/1/2026
|
300,000
|
289,071
|
|
2.95%, 6/30/2030
|
93,000
|
81,995
|
|
2.80%, 6/30/2031
|
287,000
|
244,710
|
|
|
|
3,131,586
|
|
Health Care REITs — 0.6%
|
||
|
DOC DR LLC 2.63%, 11/1/2031
|
409,000
|
336,362
|
|
Healthcare Realty Holdings LP
|
||
|
3.10%, 2/15/2030
|
469,000
|
407,233
|
|
2.00%, 3/15/2031
|
429,000
|
336,989
|
|
Healthpeak OP LLC 2.13%, 12/1/2028
|
470,000
|
412,664
|
|
Sabra Health Care LP 3.20%, 12/1/2031
|
1,040,000
|
857,039
|
|
Ventas Realty LP
|
||
|
3.50%, 2/1/2025
|
110,000
|
108,247
|
|
4.13%, 1/15/2026
|
45,000
|
43,933
|
|
3.25%, 10/15/2026
|
529,000
|
499,957
|
|
Welltower OP LLC 2.75%, 1/15/2032
|
904,000
|
755,025
|
|
|
|
3,757,449
|
|
Hotels, Restaurants & Leisure — 0.2%
|
||
|
Expedia Group, Inc. 3.25%, 2/15/2030
|
1,255,000
|
1,120,933
|
|
Industrial REITs — 0.1%
|
||
|
Prologis LP 4.75%, 6/15/2033
|
707,000
|
678,547
|
|
Insurance — 0.8%
|
||
|
Aon North America, Inc. 5.45%, 3/1/2034
|
800,000
|
792,329
|
|
Athene Global Funding 2.72%, 1/7/2029 (b)
|
1,054,000
|
929,633
|
|
CNO Global Funding
|
||
|
1.75%, 10/7/2026 (b)
|
531,000
|
484,615
|
|
2.65%, 1/6/2029 (b)
|
200,000
|
173,792
|
|
F&G Global Funding 2.30%, 4/11/2027 (b)
|
1,004,000
|
901,553
|
|
Five Corners Funding Trust II 2.85%, 5/15/2030 (b)
|
400,000
|
348,833
|
|
Guardian Life Global Funding 0.88%, 12/10/2025 (b)
|
512,000
|
477,942
|
|
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026
|
389,000
|
381,390
|
|
Principal Financial Group, Inc.
|
||
|
3.10%, 11/15/2026
|
20,000
|
18,995
|
|
3.70%, 5/15/2029
|
30,000
|
27,789
|
|
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b)
|
650,000
|
664,260
|
|
|
|
5,201,131
|
|
Leisure Products — 0.1%
|
||
|
Hasbro, Inc. 3.90%, 11/19/2029
|
592,000
|
542,213
|
|
Media — 0.6%
|
||
|
Charter Communications Operating LLC 4.91%, 7/23/2025
|
372,000
|
368,203
|
|
Comcast Corp. 4.15%, 10/15/2028
|
1,244,000
|
1,201,079
|
|
Discovery Communications LLC 3.95%, 3/20/2028
|
1,452,000
|
1,360,417
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Media — continued
|
||
|
Paramount Global 2.90%, 1/15/2027
|
246,000
|
226,544
|
|
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033
|
346,000
|
383,039
|
|
|
|
3,539,282
|
|
Metals & Mining — 0.2%
|
||
|
Glencore Funding LLC (Australia)
|
||
|
2.50%, 9/1/2030 (b)
|
260,000
|
218,476
|
|
2.85%, 4/27/2031 (b)
|
650,000
|
547,524
|
|
Steel Dynamics, Inc. 1.65%, 10/15/2027
|
324,000
|
287,742
|
|
|
|
1,053,742
|
|
Multi-Utilities — 0.4%
|
||
|
Ameren Corp. 5.00%, 1/15/2029
|
650,000
|
639,663
|
|
CenterPoint Energy, Inc. 1.45%, 6/1/2026
|
288,000
|
266,555
|
|
CMS Energy Corp. 2.95%, 2/15/2027
|
170,000
|
158,876
|
|
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028
|
10,000
|
9,537
|
|
Consumers Energy Co. 4.63%, 5/15/2033
|
300,000
|
286,348
|
|
NiSource, Inc. 5.25%, 3/30/2028
|
366,000
|
365,013
|
|
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036
|
225,000
|
173,753
|
|
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030
|
300,000
|
240,678
|
|
Puget Energy, Inc. 2.38%, 6/15/2028
|
234,000
|
207,468
|
|
|
|
2,347,891
|
|
Office REITs — 0.3%
|
||
|
Alexandria Real Estate Equities, Inc. 3.38%, 8/15/2031
|
883,000
|
775,746
|
|
COPT Defense Properties LP 2.00%, 1/15/2029
|
457,000
|
386,557
|
|
Kilroy Realty LP 2.65%, 11/15/2033
|
1,092,000
|
799,119
|
|
|
|
1,961,422
|
|
Oil, Gas & Consumable Fuels — 1.7%
|
||
|
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b)
|
222,000
|
205,945
|
|
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b)
|
624,000
|
605,451
|
|
BP Capital Markets America, Inc. 2.72%, 1/12/2032
|
100,000
|
84,803
|
|
Cameron LNG LLC 2.90%, 7/15/2031 (b)
|
146,000
|
124,818
|
|
Columbia Pipelines Holding Co. LLC 5.68%, 1/15/2034 (b)
|
84,000
|
82,376
|
|
Coterra Energy, Inc. 3.90%, 5/15/2027
|
724,000
|
694,596
|
|
Ecopetrol SA (Colombia) 5.38%, 6/26/2026
|
795,000
|
776,914
|
|
Enbridge, Inc. (Canada) 5.70%, 3/8/2033
|
799,000
|
801,773
|
|
Energy Transfer LP 5.95%, 12/1/2025
|
446,000
|
447,633
|
|
Enterprise Products Operating LLC 3.95%, 2/15/2027
|
392,000
|
381,041
|
|
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b)
|
1,816,000
|
1,493,595
|
|
Gray Oak Pipeline LLC
|
||
|
2.60%, 10/15/2025 (b)
|
312,000
|
298,738
|
|
3.45%, 10/15/2027 (b)
|
637,000
|
598,319
|
|
HF Sinclair Corp. 5.88%, 4/1/2026
|
600,000
|
601,742
|
|
MPLX LP
|
||
|
4.13%, 3/1/2027
|
458,000
|
443,761
|
|
4.25%, 12/1/2027
|
118,000
|
114,045
|
|
2.65%, 8/15/2030
|
300,000
|
256,250
|
|
5.00%, 3/1/2033
|
350,000
|
332,567
|
|
NGPL PipeCo LLC 3.25%, 7/15/2031 (b)
|
471,000
|
400,060
|
|
Ovintiv, Inc. 5.38%, 1/1/2026
|
420,000
|
417,821
|
|
Plains All American Pipeline LP
|
||
|
4.65%, 10/15/2025
|
357,000
|
352,631
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Oil, Gas & Consumable Fuels — continued
|
||
|
3.55%, 12/15/2029
|
300,000
|
272,596
|
|
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030
|
550,000
|
525,332
|
|
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034
|
216,000
|
221,627
|
|
Targa Resources Partners LP 4.00%, 1/15/2032
|
253,000
|
226,144
|
|
|
|
10,760,578
|
|
Passenger Airlines — 0.0% ^
|
||
|
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024
|
97,006
|
96,307
|
|
Pharmaceuticals — 0.2%
|
||
|
Bristol-Myers Squibb Co.
|
||
|
3.40%, 7/26/2029
|
30,000
|
27,785
|
|
5.20%, 2/22/2034
|
787,000
|
781,917
|
|
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030
|
600,000
|
504,597
|
|
|
|
1,314,299
|
|
Real Estate Management & Development — 0.1%
|
||
|
Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027 (b)
|
519,000
|
493,460
|
|
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (b)
|
325,000
|
312,339
|
|
|
|
805,799
|
|
Residential REITs — 0.4%
|
||
|
Essex Portfolio LP 1.65%, 1/15/2031
|
679,000
|
533,389
|
|
Mid-America Apartments LP 1.70%, 2/15/2031
|
487,000
|
387,050
|
|
UDR, Inc.
|
||
|
3.20%, 1/15/2030
|
260,000
|
232,795
|
|
2.10%, 8/1/2032
|
266,000
|
205,723
|
|
2.10%, 6/15/2033
|
1,150,000
|
864,444
|
|
|
|
2,223,401
|
|
Retail REITs — 0.5%
|
||
|
Brixmor Operating Partnership LP
|
||
|
3.85%, 2/1/2025
|
375,000
|
369,786
|
|
2.25%, 4/1/2028
|
186,000
|
164,899
|
|
2.50%, 8/16/2031
|
440,000
|
359,406
|
|
NNN REIT, Inc.
|
||
|
3.60%, 12/15/2026
|
247,000
|
236,380
|
|
4.30%, 10/15/2028
|
870,000
|
835,311
|
|
Realty Income Corp. 4.13%, 10/15/2026
|
200,000
|
194,838
|
|
Regency Centers LP
|
||
|
2.95%, 9/15/2029
|
300,000
|
267,776
|
|
3.70%, 6/15/2030
|
350,000
|
319,785
|
|
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b)
|
350,000
|
344,424
|
|
SITE Centers Corp. 3.63%, 2/1/2025
|
100,000
|
98,705
|
|
|
|
3,191,310
|
|
Semiconductors & Semiconductor Equipment — 0.4%
|
||
|
Broadcom, Inc.
|
||
|
4.11%, 9/15/2028
|
792,000
|
759,305
|
|
3.14%, 11/15/2035 (b)
|
200,000
|
158,977
|
|
Foundry JV Holdco LLC
|
||
|
6.15%, 1/25/2032 (b)
|
212,000
|
216,045
|
|
6.25%, 1/25/2035 (b)
|
235,000
|
239,699
|
|
KLA Corp.
|
||
|
4.65%, 7/15/2032
|
62,000
|
60,077
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Corporate Bonds — continued
|
||
|
Semiconductors & Semiconductor Equipment — continued
|
||
|
4.70%, 2/1/2034
|
112,000
|
108,039
|
|
Marvell Technology, Inc. 2.95%, 4/15/2031
|
422,000
|
361,309
|
|
NXP BV (China) 2.50%, 5/11/2031
|
1,058,000
|
878,986
|
|
|
|
2,782,437
|
|
Software — 0.2%
|
||
|
Oracle Corp.
|
||
|
2.65%, 7/15/2026
|
60,000
|
56,660
|
|
4.50%, 5/6/2028
|
295,000
|
288,564
|
|
2.88%, 3/25/2031
|
502,000
|
431,713
|
|
6.50%, 4/15/2038
|
50,000
|
53,381
|
|
Roper Technologies, Inc. 1.40%, 9/15/2027
|
200,000
|
177,011
|
|
Workday, Inc. 3.50%, 4/1/2027
|
300,000
|
286,669
|
|
|
|
1,293,998
|
|
Specialized REITs — 0.6%
|
||
|
American Tower Corp. 1.45%, 9/15/2026
|
1,678,000
|
1,534,036
|
|
Crown Castle, Inc. 4.45%, 2/15/2026
|
578,000
|
567,528
|
|
Equinix, Inc. 2.90%, 11/18/2026
|
605,000
|
568,753
|
|
Extra Space Storage LP
|
||
|
2.20%, 10/15/2030
|
1,010,000
|
826,944
|
|
2.35%, 3/15/2032
|
467,000
|
370,072
|
|
|
|
3,867,333
|
|
Specialty Retail — 0.2%
|
||
|
AutoZone, Inc. 1.65%, 1/15/2031
|
565,000
|
450,148
|
|
O'Reilly Automotive, Inc.
|
||
|
5.75%, 11/20/2026
|
195,000
|
196,895
|
|
3.60%, 9/1/2027
|
203,000
|
193,055
|
|
1.75%, 3/15/2031
|
200,000
|
160,429
|
|
|
|
1,000,527
|
|
Tobacco — 0.2%
|
||
|
Altria Group, Inc. 2.45%, 2/4/2032
|
832,000
|
668,691
|
|
BAT Capital Corp. (United Kingdom) 2.26%, 3/25/2028
|
816,000
|
727,945
|
|
|
|
1,396,636
|
|
Trading Companies & Distributors — 0.2%
|
||
|
Air Lease Corp.
|
||
|
1.88%, 8/15/2026
|
345,000
|
318,533
|
|
3.63%, 4/1/2027
|
757,000
|
713,729
|
|
Aviation Capital Group LLC 5.50%, 12/15/2024 (b)
|
422,000
|
420,563
|
|
|
|
1,452,825
|
|
Wireless Telecommunication Services — 0.3%
|
||
|
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032
|
774,000
|
686,962
|
|
T-Mobile USA, Inc.
|
||
|
4.95%, 3/15/2028
|
440,000
|
435,326
|
|
3.88%, 4/15/2030
|
1,184,000
|
1,100,474
|
|
|
|
2,222,762
|
|
Total Corporate Bonds
(Cost $178,822,480)
|
|
169,329,413
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — 20.5%
|
||
|
FHLMC Gold Pools, 20 Year
|
|
|
|
Pool # C91030, 5.50%, 5/1/2027
|
13,986
|
13,935
|
|
Pool # C91802, 3.50%, 1/1/2035
|
1,798,860
|
1,694,892
|
|
FHLMC Gold Pools, 30 Year
|
|
|
|
Pool # A15232, 5.00%, 10/1/2033
|
87,155
|
86,162
|
|
Pool # A57681, 6.00%, 12/1/2036
|
549
|
562
|
|
Pool # G06493, 4.50%, 5/1/2041
|
365,714
|
353,404
|
|
FHLMC Gold Pools, Other
|
|
|
|
Pool # WN1157, 1.80%, 11/1/2028
|
1,000,000
|
875,983
|
|
Pool # U90690, 3.50%, 6/1/2042
|
378,284
|
339,781
|
|
FHLMC UMBS, 30 Year
|
|
|
|
Pool # ZM6956, 4.50%, 6/1/2048
|
743,082
|
709,038
|
|
Pool # RA5276, 2.50%, 5/1/2051
|
3,794,414
|
3,097,955
|
|
Pool # QC3244, 3.00%, 6/1/2051
|
2,465,368
|
2,089,451
|
|
Pool # QC7410, 2.50%, 9/1/2051
|
1,490,020
|
1,219,307
|
|
Pool # RA5906, 2.50%, 9/1/2051
|
1,337,105
|
1,096,811
|
|
Pool # QD7596, 2.50%, 2/1/2052
|
2,713,444
|
2,220,819
|
|
Pool # RA6702, 3.00%, 2/1/2052
|
3,399,159
|
2,864,705
|
|
Pool # SD3952, 2.50%, 3/1/2052
|
3,661,712
|
2,987,726
|
|
Pool # RA7937, 5.00%, 9/1/2052
|
3,538,943
|
3,411,131
|
|
Pool # SD3518, 5.50%, 7/1/2053
|
1,895,379
|
1,865,270
|
|
FNMA UMBS, 20 Year
|
|
|
|
Pool # MA1138, 3.50%, 8/1/2032
|
288,103
|
273,305
|
|
Pool # AP9584, 3.00%, 10/1/2032
|
1,367,368
|
1,281,614
|
|
FNMA UMBS, 30 Year
|
|
|
|
Pool # AL0045, 6.00%, 12/1/2032
|
121,813
|
123,936
|
|
Pool # 735503, 6.00%, 4/1/2035
|
33,645
|
34,369
|
|
Pool # 888460, 6.50%, 10/1/2036
|
222,024
|
230,729
|
|
Pool # 888890, 6.50%, 10/1/2037
|
4,843
|
5,039
|
|
Pool # 949320, 7.00%, 10/1/2037
|
19,265
|
19,789
|
|
Pool # 995149, 6.50%, 10/1/2038
|
11,205
|
11,390
|
|
Pool # 994410, 7.00%, 11/1/2038
|
118,951
|
122,186
|
|
Pool # AD9151, 5.00%, 8/1/2040
|
187,448
|
184,735
|
|
Pool # AE0681, 4.50%, 12/1/2040
|
448,663
|
432,985
|
|
Pool # BM3500, 4.00%, 9/1/2047
|
734,182
|
692,974
|
|
Pool # BM3499, 4.00%, 12/1/2047
|
932,980
|
862,702
|
|
Pool # BE8354, 4.00%, 3/1/2048
|
413,312
|
381,109
|
|
Pool # CA6989, 2.50%, 9/1/2050
|
2,118,151
|
1,745,841
|
|
Pool # FS5384, 2.50%, 6/1/2051
|
1,885,008
|
1,548,480
|
|
Pool # FM7957, 2.50%, 7/1/2051
|
3,120,609
|
2,550,558
|
|
Pool # FS6514, 2.50%, 9/1/2051
|
1,134,177
|
927,688
|
|
Pool # CB1878, 3.00%, 10/1/2051
|
2,605,841
|
2,211,028
|
|
Pool # CB2637, 2.50%, 1/1/2052
|
2,274,105
|
1,846,071
|
|
Pool # CB2670, 3.00%, 1/1/2052
|
2,118,651
|
1,785,770
|
|
Pool # FS5986, 2.50%, 2/1/2052
|
1,670,537
|
1,364,158
|
|
Pool # FS7749, 3.00%, 2/1/2052
|
1,094,574
|
931,092
|
|
Pool # FS0882, 2.50%, 3/1/2052
|
847,017
|
695,873
|
|
Pool # CB3265, 3.00%, 4/1/2052
|
3,375,134
|
2,852,202
|
|
Pool # CB3378, 4.00%, 4/1/2052
|
1,942,412
|
1,766,056
|
|
Pool # FS6323, 3.50%, 5/1/2052
|
2,757,145
|
2,436,170
|
|
Pool # CB3629, 4.00%, 5/1/2052
|
4,455,984
|
4,051,673
|
|
Pool # DA4015, 6.00%, 10/1/2053
|
604,865
|
606,346
|
|
Pool # DB3630, 5.50%, 6/1/2054
|
2,985,000
|
2,936,902
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Mortgage-Backed Securities — continued
|
||
|
FNMA, Other
|
|
|
|
Pool # AN1247, 2.64%, 6/1/2026
|
1,576,000
|
1,495,730
|
|
Pool # AN6732, 2.83%, 5/1/2027
|
1,165,797
|
1,096,854
|
|
Pool # AN7338, 3.06%, 11/1/2027
|
940,351
|
886,331
|
|
Pool # AN7943, 3.10%, 1/1/2028
|
2,355,133
|
2,211,532
|
|
Pool # AN1161, 3.05%, 4/1/2028
|
927,683
|
866,182
|
|
Pool # BS8224, 4.10%, 5/1/2028
|
3,775,000
|
3,658,834
|
|
Pool # AN9486, 3.57%, 6/1/2028
|
3,665,739
|
3,485,980
|
|
Pool # AN2069, 2.35%, 8/1/2028
|
1,365,854
|
1,238,887
|
|
Pool # BL0907, 3.88%, 12/1/2028
|
700,000
|
666,969
|
|
Pool # BM4162, 3.12%, 10/1/2029 (f)
|
126,017
|
117,057
|
|
Pool # BL4333, 2.52%, 11/1/2029
|
1,124,146
|
1,002,059
|
|
Pool # BS8252, 4.36%, 4/1/2030
|
3,495,000
|
3,401,420
|
|
Pool # BM7037, 1.75%, 3/1/2032 (f)
|
998,945
|
803,919
|
|
Pool # BS5117, 2.58%, 3/1/2032
|
2,393,690
|
2,040,262
|
|
Pool # BS8503, 4.62%, 5/1/2033
|
1,000,000
|
978,165
|
|
Pool # BS2933, 1.82%, 9/1/2033
|
3,400,000
|
2,620,416
|
|
Pool # MA1125, 4.00%, 7/1/2042
|
494,305
|
459,762
|
|
Pool # MA1437, 3.50%, 5/1/2043
|
690,931
|
626,551
|
|
Pool # MA1463, 3.50%, 6/1/2043
|
663,240
|
601,437
|
|
Pool # BF0669, 4.00%, 6/1/2052
|
2,019,665
|
1,864,197
|
|
Pool # BF0230, 5.50%, 1/1/2058
|
3,048,544
|
3,094,726
|
|
Pool # BM6734, 4.00%, 8/1/2059
|
3,487,729
|
3,183,503
|
|
Pool # BF0497, 3.00%, 7/1/2060
|
1,694,464
|
1,383,486
|
|
Pool # BF0546, 2.50%, 7/1/2061
|
814,142
|
645,811
|
|
Pool # BF0617, 2.50%, 3/1/2062
|
2,055,080
|
1,609,773
|
|
FNMA/FHLMC UMBS, Single Family, 30 Year
|
|
|
|
TBA, 2.50%, 6/25/2054 (g)
|
9,805,000
|
7,916,055
|
|
TBA, 3.00%, 6/25/2054 (g)
|
14,000,000
|
11,770,802
|
|
TBA, 5.50%, 6/25/2054 (g)
|
1,970,000
|
1,938,044
|
|
TBA, 6.00%, 6/25/2054 (g)
|
8,500,000
|
8,511,674
|
|
GNMA II, 30 Year
|
|
|
|
Pool # 4245, 6.00%, 9/20/2038
|
58,057
|
60,347
|
|
Pool # BA7567, 4.50%, 5/20/2048
|
631,625
|
595,668
|
|
Pool # BI0416, 4.50%, 11/20/2048
|
73,047
|
69,583
|
|
Pool # BM9692, 4.50%, 7/20/2049
|
263,519
|
249,894
|
|
Total Mortgage-Backed Securities
(Cost $137,484,750)
|
|
130,991,612
|
|
Asset-Backed Securities — 10.9%
|
||
|
Air Canada Pass-Through Trust (Canada)
|
|
|
|
Series 2013-1, Class A, 4.13%, 5/15/2025 (b)
|
251,102
|
245,186
|
|
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b)
|
354,890
|
320,612
|
|
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b)
|
1,966,000
|
1,799,245
|
|
American Airlines Pass-Through Trust
|
|
|
|
Series 2016-3, Class AA, 3.00%, 10/15/2028
|
71,234
|
64,664
|
|
Series 2021-1, Class B, 3.95%, 7/11/2030
|
962,745
|
882,224
|
|
American Credit Acceptance Receivables Trust
|
|
|
|
Series 2023-2, Class A, 5.89%, 10/13/2026 (b)
|
88,322
|
88,321
|
|
Series 2023-1, Class C, 5.59%, 4/12/2029 (b)
|
799,000
|
795,817
|
|
AmeriCredit Automobile Receivables Trust
|
|
|
|
Series 2021-2, Class B, 0.69%, 1/19/2027
|
676,333
|
665,067
|
|
Series 2024-1, Class B, 5.38%, 6/18/2029
|
1,020,000
|
1,020,231
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
AMSR Trust
|
|
|
|
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (b)
|
2,019,000
|
1,899,796
|
|
Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b)
|
526,971
|
496,528
|
|
Amur Equipment Finance Receivables LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b)
|
511,324
|
500,854
|
|
Avis Budget Rental Car Funding AESOP LLC
|
|
|
|
Series 2020-1A, Class A, 2.33%, 8/20/2026 (b)
|
710,000
|
686,334
|
|
Series 2024-2A, Class A, 5.13%, 10/20/2028 (b)
|
467,000
|
461,215
|
|
Business Jet Securities LLC Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (b)
|
838,367
|
807,339
|
|
CarMax Auto Owner Trust
|
|
|
|
Series 2021-1, Class A3, 0.34%, 12/15/2025
|
274,921
|
272,698
|
|
Series 2023-4, Class A3, 6.00%, 7/17/2028
|
241,000
|
243,480
|
|
Carvana Auto Receivables Trust
|
|
|
|
Series 2021-P3, Class A3, 0.70%, 11/10/2026
|
575,381
|
562,569
|
|
Series 2023-N1, Class A, 6.36%, 4/12/2027 (b)
|
401,126
|
401,918
|
|
Series 2022-P3, Class A3, 4.61%, 11/10/2027
|
244,520
|
242,027
|
|
Series 2021-P4, Class A4, 1.64%, 12/10/2027
|
2,700,000
|
2,524,043
|
|
CoreVest American Finance Trust
|
|
|
|
Series 2019-3, Class A, 2.71%, 10/15/2052 (b)
|
123,482
|
121,077
|
|
Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (f)
|
496,407
|
486,981
|
|
CPS Auto Receivables Trust
|
|
|
|
Series 2023-A, Class C, 5.54%, 4/16/2029 (b)
|
651,000
|
646,847
|
|
Series 2022-C, Class B, 4.88%, 4/15/2030 (b)
|
2,165,482
|
2,156,723
|
|
Credit Acceptance Auto Loan Trust
|
|
|
|
Series 2021-3A, Class A, 1.00%, 5/15/2030 (b)
|
57,735
|
57,561
|
|
Series 2023-1A, Class B, 7.02%, 5/16/2033 (b)
|
2,100,000
|
2,137,420
|
|
Series 2024-1A, Class A, 5.68%, 3/15/2034 (b)
|
797,000
|
797,251
|
|
DT Auto Owner Trust
|
|
|
|
Series 2021-3A, Class C, 0.87%, 5/17/2027 (b)
|
605,392
|
598,771
|
|
Series 2021-4A, Class D, 1.99%, 9/15/2027 (b)
|
760,000
|
715,977
|
|
Series 2023-1A, Class C, 5.55%, 10/16/2028 (b)
|
1,798,000
|
1,788,164
|
|
Series 2023-2A, Class B, 5.41%, 2/15/2029 (b)
|
756,000
|
751,572
|
|
Exeter Automobile Receivables Trust
|
|
|
|
Series 2022-5A, Class B, 5.97%, 3/15/2027
|
1,247,754
|
1,247,165
|
|
Series 2023-5A, Class A3, 6.32%, 3/15/2027
|
471,000
|
472,524
|
|
Series 2022-4A, Class C, 4.92%, 12/15/2028
|
1,076,000
|
1,068,634
|
|
Series 2023-1A, Class D, 6.69%, 6/15/2029
|
243,000
|
245,286
|
|
Series 2024-3A, Class C, 5.70%, 7/16/2029
|
284,000
|
283,781
|
|
FHF Trust Series 2023-1A, Class A2, 6.57%, 6/15/2028 (b)
|
439,140
|
440,356
|
|
FirstKey Homes Trust
|
|
|
|
Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (b)
|
1,017,924
|
958,219
|
|
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b)
|
600,000
|
544,869
|
|
Series 2021-SFR2, Class D, 2.06%, 9/17/2038 (b)
|
2,900,000
|
2,630,415
|
|
Flagship Credit Auto Trust
|
|
|
|
Series 2021-4, Class A, 0.81%, 7/17/2026 (b)
|
107,646
|
106,840
|
|
Series 2022-1, Class A, 1.79%, 10/15/2026 (b)
|
363,099
|
359,557
|
|
Series 2023-1, Class A2, 5.38%, 12/15/2026 (b)
|
72,940
|
72,789
|
|
Series 2023-2, Class A2, 5.76%, 4/15/2027 (b)
|
735,864
|
735,117
|
|
Series 2023-1, Class C, 5.43%, 5/15/2029 (b)
|
1,800,000
|
1,780,471
|
|
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b)
|
2,118,000
|
1,922,621
|
|
GLS Auto Receivables Issuer Trust Series 2021-3A, Class C, 1.11%, 9/15/2026 (b)
|
463,972
|
457,017
|
|
GM Financial Automobile Leasing Trust Series 2024-2, Class A3, 5.39%, 7/20/2027
|
480,000
|
479,958
|
|
GM Financial Consumer Automobile Receivables Trust Series 2021-1, Class A3, 0.35%,
10/16/2025
|
19,536
|
19,470
|
|
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b)
|
109,827
|
96,304
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Hertz Vehicle Financing LLC Series 2022-1A, Class A, 1.99%, 6/25/2026 (b)
|
922,000
|
892,449
|
|
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (b)
|
1,152,153
|
1,076,753
|
|
Kubota Credit Owner Trust Series 2023-1A, Class A3, 5.02%, 6/15/2027 (b)
|
1,063,000
|
1,055,418
|
|
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (b)
|
177,000
|
175,037
|
|
LP LMS Asset Securitization Trust Series 2023-1A, Class A, 8.18%, 10/17/2033 (b)
|
324,366
|
325,151
|
|
MVW LLC
|
|
|
|
Series 2021-2A, Class A, 1.43%, 5/20/2039 (b)
|
531,111
|
489,387
|
|
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (b)
|
101,861
|
94,825
|
|
Series 2024-1A, Class A, 5.32%, 2/20/2043 (b)
|
820,169
|
814,636
|
|
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (b)
|
1,534,000
|
1,528,003
|
|
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (b) (e)
|
423,609
|
413,785
|
|
Progress Residential Trust
|
|
|
|
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 (b)
|
785,000
|
740,346
|
|
Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 (b)
|
350,000
|
323,337
|
|
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (b)
|
1,144,000
|
1,029,954
|
|
Series 2021-SFR11, Class A, 2.28%, 1/17/2039 (b)
|
1,987,646
|
1,734,573
|
|
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (b)
|
1,252,224
|
1,197,642
|
|
Series 2021-SFR9, Class E1, 2.81%, 11/17/2040 (b)
|
1,048,000
|
902,457
|
|
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (e)
|
536,853
|
526,498
|
|
Santander Drive Auto Receivables Trust
|
|
|
|
Series 2022-5, Class B, 4.43%, 3/15/2027
|
562,000
|
558,222
|
|
Series 2023-1, Class B, 4.98%, 2/15/2028
|
440,000
|
436,973
|
|
Series 2023-5, Class B, 6.16%, 12/17/2029
|
740,000
|
751,384
|
|
Series 2024-2, Class C, 5.84%, 6/17/2030
|
298,000
|
299,709
|
|
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b)
|
236,372
|
235,353
|
|
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (b)
|
1,780,000
|
1,792,770
|
|
Sierra Timeshare Receivables Funding LLC Series 2022-2A, Class A, 4.73%, 6/20/2040 (b)
|
62,317
|
61,046
|
|
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030
|
102,939
|
91,906
|
|
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b)
|
159,633
|
145,380
|
|
Tesla Auto Lease Trust Series 2024-A, Class A3, 5.30%, 6/21/2027 (b)
|
313,000
|
312,049
|
|
Toyota Auto Receivables Owner Trust
|
|
|
|
Series 2021-A, Class A3, 0.26%, 5/15/2025
|
13,265
|
13,258
|
|
Series 2020-C, Class A4, 0.57%, 10/15/2025
|
138,004
|
137,718
|
|
Series 2021-C, Class A4, 0.72%, 1/15/2027
|
800,000
|
758,669
|
|
United Airlines Pass-Through Trust
|
|
|
|
Series 2016-1, Class AA, 3.10%, 7/7/2028
|
698,414
|
642,996
|
|
Series 2016-2, Class AA, 2.88%, 10/7/2028
|
708,427
|
641,129
|
|
Series 2018-1, Class AA, 3.50%, 3/1/2030
|
464,372
|
425,142
|
|
Series 2018-1, Class A, 3.70%, 3/1/2030
|
776,647
|
699,562
|
|
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 ‡ (b)
|
140,711
|
138,281
|
|
Volkswagen Auto Lease Trust Series 2024-A, Class A3, 5.21%, 6/21/2027
|
465,000
|
463,791
|
|
VOLT C LLC Series 2021-NPL9, Class A1, 4.99%, 5/25/2051 (b) (e)
|
292,301
|
283,862
|
|
VOLT CI LLC Series 2021-NP10, Class A1, 4.99%, 5/25/2051 (b) (e)
|
554,622
|
540,196
|
|
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (b) (e)
|
643,159
|
621,763
|
|
VOLT XCIII LLC Series 2021-NPL2, Class A1, 4.89%, 2/27/2051 (b) (e)
|
455,827
|
446,831
|
|
VOLT XCIV LLC Series 2021-NPL3, Class A1, 5.24%, 2/27/2051 (b) (e)
|
633,060
|
624,721
|
|
VOLT XCIX LLC Series 2021-NPL8, Class A1, 5.12%, 4/25/2051 (b) (e)
|
374,121
|
368,729
|
|
VOLT XCVI LLC Series 2021-NPL5, Class A1, 5.12%, 3/27/2051 (b) (e)
|
609,355
|
601,049
|
|
VOLT XCVII LLC Series 2021-NPL6, Class A1, 5.24%, 4/25/2051 (b) (e)
|
818,854
|
807,999
|
|
Westgate Resorts LLC Series 2022-1A, Class A, 1.79%, 8/20/2036 (b)
|
551,045
|
526,087
|
|
Westlake Automobile Receivables Trust
|
|
|
|
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (b)
|
1,693,559
|
1,691,509
|
|
Series 2021-3A, Class D, 2.12%, 1/15/2027 (b)
|
806,000
|
774,100
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Asset-Backed Securities — continued
|
||
|
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (b)
|
450,000
|
448,322
|
|
Series 2023-1A, Class C, 5.74%, 8/15/2028 (b)
|
180,000
|
179,685
|
|
World Omni Auto Receivables Trust
|
|
|
|
Series 2021-A, Class A3, 0.30%, 1/15/2026
|
208,376
|
206,432
|
|
Series 2021-C, Class A3, 0.44%, 8/17/2026
|
280,967
|
274,806
|
|
Series 2023-D, Class A3, 5.79%, 2/15/2029
|
275,000
|
277,436
|
|
Total Asset-Backed Securities
(Cost $71,993,835)
|
|
69,759,021
|
|
Collateralized Mortgage Obligations — 6.4%
|
||
|
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡
|
414
|
207
|
|
Citigroup Mortgage Loan Trust Series 2004-HYB4, Class WA, 6.25%, 12/25/2034 (f)
|
6,208
|
5,898
|
|
Citigroup Mortgage Loan Trust, Inc. Series 2003-1, Class 3A4, 5.25%, 9/25/2033
|
3,664
|
3,399
|
|
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27, Class 5A4, 5.25%, 11/25/2033
|
80
|
78
|
|
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 (b) (e)
|
603,303
|
593,253
|
|
FHLMC Seasoned Credit Risk Transfer Trust
|
|
|
|
Series 2018-1, Class M60C, 3.50%, 5/25/2057
|
1,302,996
|
1,167,917
|
|
Series 2017-4, Class M60C, 3.50%, 6/25/2057
|
1,310,910
|
1,172,143
|
|
Series 2017-4, Class MT, 3.50%, 6/25/2057
|
332,432
|
293,275
|
|
Series 2018-2, Class M55D, 4.00%, 11/25/2057
|
1,358,742
|
1,236,522
|
|
Series 2019-3, Class M55D, 4.00%, 10/25/2058
|
305,559
|
277,549
|
|
Series 2020-1, Class M55G, 3.00%, 8/25/2059
|
3,132,177
|
2,731,797
|
|
FHLMC, REMIC
|
|
|
|
Series 3544, Class BC, 4.00%, 6/15/2024
|
35
|
35
|
|
Series 3546, Class NB, 4.00%, 6/15/2024
|
2,743
|
2,736
|
|
Series 3562, Class JC, 4.00%, 8/15/2024
|
9,824
|
9,785
|
|
Series 3563, Class BD, 4.00%, 8/15/2024
|
2,109
|
2,102
|
|
Series 3571, Class MY, 4.00%, 9/15/2024
|
2,693
|
2,684
|
|
Series 3575, Class EB, 4.00%, 9/15/2024
|
933
|
930
|
|
Series 3577, Class B, 4.00%, 9/15/2024
|
13,888
|
13,827
|
|
Series 3578, Class KB, 4.00%, 9/15/2024
|
1,809
|
1,801
|
|
Series 2989, Class TG, 5.00%, 6/15/2025
|
18,547
|
18,441
|
|
Series 2988, Class TY, 5.50%, 6/15/2025
|
1,510
|
1,502
|
|
Series 3816, Class HA, 3.50%, 11/15/2025
|
231,163
|
227,589
|
|
Series 3087, Class KX, 5.50%, 12/15/2025
|
5,497
|
5,461
|
|
Series 3787, Class AY, 3.50%, 1/15/2026
|
93,414
|
91,831
|
|
Series 3794, Class LB, 3.50%, 1/15/2026
|
65,826
|
64,684
|
|
Series 3102, Class CE, 5.50%, 1/15/2026
|
38,569
|
38,319
|
|
Series 3123, Class HT, 5.00%, 3/15/2026
|
7,786
|
7,727
|
|
Series 3121, Class JD, 5.50%, 3/15/2026
|
3,147
|
3,124
|
|
Series 3150, Class EQ, 5.00%, 5/15/2026
|
18,171
|
18,017
|
|
Series 3898, Class KH, 3.50%, 6/15/2026
|
111,719
|
109,471
|
|
Series 3885, Class AC, 4.00%, 6/15/2026
|
13,258
|
13,184
|
|
Series 3911, Class B, 3.50%, 8/15/2026
|
127,560
|
124,947
|
|
Series 3959, Class PB, 3.00%, 11/15/2026
|
847,467
|
824,442
|
|
Series 3337, Class MD, 5.50%, 6/15/2027
|
10,794
|
10,723
|
|
Series 2110, Class PG, 6.00%, 1/15/2029
|
29,418
|
29,358
|
|
Series 3563, Class LB, 4.00%, 8/15/2029
|
4,768
|
4,636
|
|
Series 3653, Class B, 4.50%, 4/15/2030
|
47,726
|
46,942
|
|
Series 3824, Class EY, 3.50%, 3/15/2031
|
129,085
|
123,994
|
|
Series 2525, Class AM, 4.50%, 4/15/2032
|
279,269
|
272,804
|
|
Series 2441, Class GF, 6.50%, 4/15/2032
|
9,310
|
9,526
|
|
Series 2436, Class MC, 7.00%, 4/15/2032
|
4,470
|
4,513
|
|
Series 2760, Class KT, 4.50%, 9/15/2032
|
34,605
|
33,745
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2505, Class D, 5.50%, 9/15/2032
|
38,314
|
38,417
|
|
Series 2544, Class KE, 5.50%, 12/15/2032
|
26,521
|
26,629
|
|
Series 2557, Class HL, 5.30%, 1/15/2033
|
65,274
|
64,185
|
|
Series 2575, Class PE, 5.50%, 2/15/2033
|
20,498
|
20,630
|
|
Series 2586, Class WG, 4.00%, 3/15/2033
|
79,925
|
76,819
|
|
Series 2596, Class QD, 4.00%, 3/15/2033
|
71,379
|
67,469
|
|
Series 2621, Class QH, 5.00%, 5/15/2033
|
81,835
|
81,138
|
|
Series 2624, Class QH, 5.00%, 6/15/2033
|
99,082
|
98,241
|
|
Series 2648, Class BK, 5.00%, 7/15/2033
|
8,786
|
8,708
|
|
Series 4238, Class UY, 3.00%, 8/15/2033
|
1,964,386
|
1,836,649
|
|
Series 2673, Class PE, 5.50%, 9/15/2033
|
156,939
|
158,029
|
|
Series 2696, Class DG, 5.50%, 10/15/2033
|
146,035
|
147,076
|
|
Series 2725, Class TA, 4.50%, 12/15/2033
|
273,037
|
266,524
|
|
Series 2733, Class ME, 5.00%, 1/15/2034
|
134,629
|
133,497
|
|
Series 2768, Class PK, 5.00%, 3/15/2034
|
148,818
|
146,112
|
|
Series 2934, Class KG, 5.00%, 2/15/2035
|
107,242
|
106,407
|
|
Series 3077, Class TO, PO, 4/15/2035
|
1,431
|
1,409
|
|
Series 2960, Class JH, 5.50%, 4/15/2035
|
302,667
|
304,587
|
|
Series 3082, Class PW, 5.50%, 12/15/2035
|
22,159
|
22,184
|
|
Series 3084, Class BH, 5.50%, 12/15/2035
|
460,699
|
465,992
|
|
Series 3098, Class KG, 5.50%, 1/15/2036
|
479,161
|
484,767
|
|
Series 3136, Class CO, PO, 4/15/2036
|
7,790
|
6,658
|
|
Series 3145, Class AJ, 5.50%, 4/15/2036
|
18,185
|
18,407
|
|
Series 3819, Class ZQ, 6.00%, 4/15/2036
|
321,786
|
327,946
|
|
Series 3200, PO, 8/15/2036
|
36,733
|
29,993
|
|
Series 3270, Class AT, 5.50%, 1/15/2037
|
12,024
|
12,041
|
|
Series 3272, Class PA, 6.00%, 2/15/2037
|
3,353
|
3,436
|
|
Series 3348, Class HT, 6.00%, 7/15/2037
|
31,074
|
31,828
|
|
Series 3501, Class A, 4.50%, 1/15/2039
|
86,442
|
81,866
|
|
Series 3508, Class PK, 4.00%, 2/15/2039
|
1,632
|
1,518
|
|
Series 3513, Class A, 4.50%, 2/15/2039
|
7,388
|
7,088
|
|
Series 3653, Class HJ, 5.00%, 4/15/2040
|
324,556
|
322,337
|
|
Series 3677, Class KB, 4.50%, 5/15/2040
|
613,454
|
597,720
|
|
Series 3677, Class PB, 4.50%, 5/15/2040
|
296,167
|
289,371
|
|
Series 3715, Class PC, 4.50%, 8/15/2040
|
103,420
|
100,720
|
|
Series 3955, Class HB, 3.00%, 12/15/2040
|
46,560
|
45,260
|
|
Series 3828, Class PU, 4.50%, 3/15/2041
|
38,136
|
37,014
|
|
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (f)
|
121,148
|
118,991
|
|
Series 3956, Class EB, 3.25%, 11/15/2041
|
664,410
|
595,476
|
|
Series 3963, Class JB, 4.50%, 11/15/2041
|
967,787
|
938,621
|
|
Series 4026, Class MQ, 4.00%, 4/15/2042
|
37,245
|
35,461
|
|
Series 4616, Class HP, 3.00%, 9/15/2046
|
911,295
|
794,548
|
|
Series 3688, Class GT, 7.54%, 11/15/2046 (f)
|
16,274
|
17,047
|
|
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042
|
403,359
|
368,321
|
|
FNMA, REMIC
|
|
|
|
Series 2004-53, Class NC, 5.50%, 7/25/2024
|
19
|
19
|
|
Series 2010-49, Class KB, 4.00%, 5/25/2025
|
11,181
|
11,074
|
|
Series 2010-41, Class DC, 4.50%, 5/25/2025
|
124
|
124
|
|
Series 1997-57, Class PN, 5.00%, 9/18/2027
|
26,948
|
26,419
|
|
Series 2009-39, Class LB, 4.50%, 6/25/2029
|
36,519
|
35,693
|
|
Series 2009-96, Class DB, 4.00%, 11/25/2029
|
39,067
|
38,153
|
|
Series 2010-28, Class DE, 5.00%, 4/25/2030
|
118,531
|
117,660
|
|
Series 2001-63, Class TC, 6.00%, 12/25/2031
|
27,097
|
27,349
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Series 2001-81, Class HE, 6.50%, 1/25/2032
|
65,968
|
67,399
|
|
Series 2002-75, Class GB, 5.50%, 11/25/2032
|
27,168
|
26,671
|
|
Series 2011-39, Class ZA, 6.00%, 11/25/2032
|
282,797
|
288,577
|
|
Series 2002-85, Class PE, 5.50%, 12/25/2032
|
22,002
|
22,096
|
|
Series 2003-21, Class OU, 5.50%, 3/25/2033
|
17,929
|
18,023
|
|
Series 2003-26, Class EB, 3.50%, 4/25/2033
|
472,533
|
449,116
|
|
Series 2003-23, Class CH, 5.00%, 4/25/2033
|
17,947
|
17,770
|
|
Series 2003-63, Class YB, 5.00%, 7/25/2033
|
62,208
|
61,544
|
|
Series 2003-69, Class N, 5.00%, 7/25/2033
|
112,360
|
110,802
|
|
Series 2003-80, Class QG, 5.00%, 8/25/2033
|
145,754
|
144,196
|
|
Series 2003-85, Class QD, 5.50%, 9/25/2033
|
63,491
|
63,835
|
|
Series 2003-94, Class CE, 5.00%, 10/25/2033
|
6,813
|
6,692
|
|
Series 2005-5, Class CK, 5.00%, 1/25/2035
|
84,516
|
82,180
|
|
Series 2005-29, Class WC, 4.75%, 4/25/2035
|
141,881
|
137,566
|
|
Series 2005-48, Class TD, 5.50%, 6/25/2035
|
154,491
|
155,927
|
|
Series 2005-53, Class MJ, 5.50%, 6/25/2035
|
150,044
|
151,281
|
|
Series 2005-58, Class EP, 5.50%, 7/25/2035
|
8,873
|
8,877
|
|
Series 2005-68, Class BE, 5.25%, 8/25/2035
|
150,238
|
149,401
|
|
Series 2005-68, Class PG, 5.50%, 8/25/2035
|
54,647
|
54,739
|
|
Series 2005-102, Class PG, 5.00%, 11/25/2035
|
204,374
|
202,442
|
|
Series 2005-110, Class GL, 5.50%, 12/25/2035
|
256,964
|
259,547
|
|
Series 2006-49, Class PA, 6.00%, 6/25/2036
|
28,460
|
28,979
|
|
Series 2009-19, Class PW, 4.50%, 10/25/2036
|
161,537
|
157,223
|
|
Series 2006-114, Class HE, 5.50%, 12/25/2036
|
195,675
|
197,072
|
|
Series 2007-33, Class HE, 5.50%, 4/25/2037
|
14,292
|
14,381
|
|
Series 2007-65, Class KI, IF, IO, 1.18%, 7/25/2037 (f)
|
3,428
|
289
|
|
Series 2007-71, Class KP, 5.50%, 7/25/2037
|
11,783
|
11,412
|
|
Series 2007-71, Class GB, 6.00%, 7/25/2037
|
114,897
|
117,530
|
|
Series 2009-86, Class OT, PO, 10/25/2037
|
20,955
|
17,028
|
|
Series 2008-72, Class BX, 5.50%, 8/25/2038
|
9,739
|
9,811
|
|
Series 2008-74, Class B, 5.50%, 9/25/2038
|
4,567
|
4,594
|
|
Series 2009-37, Class KI, IF, IO, 0.56%, 6/25/2039 (f)
|
2,677
|
118
|
|
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039
|
6,612
|
1,181
|
|
Series 2009-92, Class AD, 6.00%, 11/25/2039
|
187,265
|
185,498
|
|
Series 2009-112, Class ST, IF, IO, 0.81%, 1/25/2040 (f)
|
47,539
|
3,564
|
|
Series 2010-22, Class PE, 5.00%, 3/25/2040
|
1,014,988
|
1,006,389
|
|
Series 2010-35, Class SB, IF, IO, 0.98%, 4/25/2040 (f)
|
18,841
|
1,050
|
|
Series 2010-37, Class CY, 5.00%, 4/25/2040
|
604,125
|
598,459
|
|
Series 2010-54, Class EA, 4.50%, 6/25/2040
|
16,204
|
15,656
|
|
Series 2010-64, Class DM, 5.00%, 6/25/2040
|
2,327
|
2,295
|
|
Series 2010-71, Class HJ, 5.50%, 7/25/2040
|
67,119
|
67,878
|
|
Series 2010-123, Class BP, 4.50%, 11/25/2040
|
1,482,597
|
1,442,931
|
|
Series 2011-41, Class KL, 4.00%, 5/25/2041
|
839,355
|
795,278
|
|
Series 2011-50, Class LP, 4.00%, 6/25/2041
|
346,897
|
321,934
|
|
Series 2012-137, Class CF, 5.74%, 8/25/2041 (f)
|
63,931
|
63,602
|
|
Series 2012-103, Class DA, 3.50%, 10/25/2041
|
6,515
|
6,412
|
|
Series 2012-14, Class DE, 3.50%, 3/25/2042
|
544,543
|
495,940
|
|
Series 2012-139, Class JA, 3.50%, 12/25/2042
|
267,763
|
245,103
|
|
Series 2013-104, Class CY, 5.00%, 10/25/2043
|
2,250,000
|
2,109,298
|
|
Series 2019-65, Class PA, 2.50%, 5/25/2048
|
193,390
|
169,318
|
|
Series 2009-96, Class CB, 4.00%, 11/25/2049
|
13,115
|
11,822
|
|
Series 2019-7, Class CA, 3.50%, 11/25/2057
|
2,290,172
|
2,138,281
|
|
FNMA, STRIPS Series 314, Class 1, PO, 7/25/2031
|
19,580
|
17,461
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
GNMA
|
|
|
|
Series 2003-29, Class PD, 5.50%, 4/16/2033
|
128,286
|
127,938
|
|
Series 2003-65, Class AP, 5.50%, 8/20/2033
|
42,907
|
42,792
|
|
Series 2003-77, Class TK, 5.00%, 9/16/2033
|
174,429
|
173,896
|
|
Series 2004-16, Class GC, 5.50%, 2/20/2034
|
456,425
|
456,303
|
|
Series 2004-54, Class BG, 5.50%, 7/20/2034
|
9,704
|
9,709
|
|
Series 2004-93, Class PD, 5.00%, 11/16/2034
|
266,988
|
263,484
|
|
Series 2004-101, Class BE, 5.00%, 11/20/2034
|
229,960
|
226,387
|
|
Series 2005-11, Class PL, 5.00%, 2/20/2035
|
109,936
|
108,252
|
|
Series 2005-26, Class XY, 5.50%, 3/20/2035
|
421,679
|
422,041
|
|
Series 2005-33, Class AY, 5.50%, 4/16/2035
|
105,380
|
105,152
|
|
Series 2005-49, Class B, 5.50%, 6/20/2035
|
36,592
|
36,670
|
|
Series 2005-51, Class DC, 5.00%, 7/20/2035
|
87,552
|
86,221
|
|
Series 2005-56, Class BD, 5.00%, 7/20/2035
|
13,530
|
13,341
|
|
Series 2006-7, Class ND, 5.50%, 8/20/2035
|
13,644
|
13,664
|
|
Series 2007-37, Class LB, 5.50%, 6/16/2037
|
111,004
|
111,423
|
|
Series 2007-79, Class BL, 5.75%, 8/20/2037
|
79,193
|
79,122
|
|
Series 2009-106, Class ST, IF, IO, 0.57%, 2/20/2038 (f)
|
73,992
|
2,439
|
|
Series 2008-7, Class PQ, 5.00%, 2/20/2038
|
232,606
|
228,953
|
|
Series 2008-9, Class PW, 5.25%, 2/20/2038
|
246,844
|
245,442
|
|
Series 2008-23, Class YA, 5.25%, 3/20/2038
|
57,461
|
57,173
|
|
Series 2008-35, Class NF, 5.00%, 4/20/2038
|
58,957
|
58,025
|
|
Series 2008-34, Class PG, 5.25%, 4/20/2038
|
68,315
|
67,905
|
|
Series 2008-33, Class PB, 5.50%, 4/20/2038
|
197,462
|
197,579
|
|
Series 2008-38, Class BG, 5.00%, 5/16/2038
|
319,179
|
314,469
|
|
Series 2008-43, Class NB, 5.50%, 5/20/2038
|
99,529
|
98,830
|
|
Series 2008-56, Class PX, 5.50%, 6/20/2038
|
193,550
|
192,490
|
|
Series 2008-58, Class PE, 5.50%, 7/16/2038
|
516,242
|
517,387
|
|
Series 2008-62, Class SA, IF, IO, 0.72%, 7/20/2038 (f)
|
1,442
|
10
|
|
Series 2008-76, Class US, IF, IO, 0.47%, 9/20/2038 (f)
|
43,210
|
1,016
|
|
Series 2011-97, Class WA, 6.10%, 11/20/2038 (f)
|
381,652
|
386,672
|
|
Series 2008-95, Class DS, IF, IO, 1.87%, 12/20/2038 (f)
|
40,187
|
1,029
|
|
Series 2009-14, Class AG, 4.50%, 3/20/2039
|
69,438
|
67,184
|
|
Series 2009-72, Class SM, IF, IO, 0.82%, 8/16/2039 (f)
|
91,779
|
4,980
|
|
Series 2009-61, Class AP, 4.00%, 8/20/2039
|
6,987
|
6,686
|
|
Series 2010-130, Class BD, 4.00%, 12/20/2039
|
223,867
|
215,601
|
|
Series 2010-157, Class OP, PO, 12/20/2040
|
67,809
|
55,907
|
|
Series 2014-H11, Class VA, 5.94%, 6/20/2064 (f)
|
894,455
|
892,966
|
|
Series 2015-H20, Class FA, 5.91%, 8/20/2065 (f)
|
1,206,742
|
1,204,536
|
|
Series 2015-H26, Class FG, 5.96%, 10/20/2065 (f)
|
833,450
|
827,919
|
|
GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034
|
34,945
|
33,466
|
|
JPMorgan Mortgage Trust
|
|
|
|
Series 2006-A2, Class 5A3, 6.08%, 11/25/2033 (f)
|
51,272
|
48,898
|
|
Series 2007-A1, Class 5A5, 5.52%, 7/25/2035 (f)
|
17,433
|
16,862
|
|
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 6.42%, 4/21/2034 (f)
|
28,341
|
26,662
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
Series 2003-F, Class A1, 6.08%, 10/25/2028 (f)
|
22,446
|
20,853
|
|
Series 2004-B, Class A1, 5.94%, 5/25/2029 (f)
|
31,227
|
29,798
|
|
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.65%, 4/25/2034 (f)
|
15,727
|
15,224
|
|
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038
|
7,082
|
6,812
|
|
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028
|
359,380
|
336,107
|
|
Sequoia Mortgage Trust Series 2004-11, Class A1, 6.03%, 12/20/2034 (f)
|
110,698
|
97,812
|
|
Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 6.13%, 1/19/2034 (f)
|
63,995
|
59,360
|
|
INVESTMENTS
|
PRINCIPAL
AMOUNT($)
|
VALUE($)
|
|
Collateralized Mortgage Obligations — continued
|
||
|
Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 5.63%, 12/25/2044 (f)
|
91,518
|
84,612
|
|
Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033
|
232,634
|
228,455
|
|
WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 5.85%, 10/25/2033 (f)
|
52,174
|
47,765
|
|
Total Collateralized Mortgage Obligations
(Cost $44,634,755)
|
|
40,905,293
|
|
Commercial Mortgage-Backed Securities — 5.9%
|
||
|
20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (b) (f)
|
641,961
|
598,883
|
|
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b)
|
1,400,000
|
1,359,924
|
|
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b)
|
1,500,000
|
1,388,805
|
|
FHLMC, Multi-Family Structured Pass-Through Certificates
|
|
|
|
Series J22F, Class A2, 4.09%, 9/25/2024
|
45,696
|
45,410
|
|
Series KL3L, Class ALNZ, 3.32%, 4/25/2025 (f)
|
2,000,000
|
1,960,037
|
|
Series KLU2, Class A7, 2.23%, 9/25/2025 (f)
|
334,333
|
321,060
|
|
Series K737, Class AM, 2.10%, 10/25/2026
|
3,110,000
|
2,897,069
|
|
Series K072, Class A2, 3.44%, 12/25/2027
|
473,000
|
449,546
|
|
Series K083, Class A2, 4.05%, 9/25/2028 (f)
|
594,000
|
573,523
|
|
Series KJ44, Class A2, 4.61%, 2/25/2033
|
1,900,000
|
1,832,093
|
|
Series K145, Class AM, 2.58%, 6/25/2055
|
880,000
|
743,415
|
|
FNMA ACES
|
|
|
|
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (f)
|
915,686
|
872,536
|
|
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (f)
|
1,153,700
|
1,093,891
|
|
Series 2017-M12, Class A2, 3.06%, 6/25/2027 (f)
|
2,640,455
|
2,501,032
|
|
Series 2017-M13, Class A2, 2.93%, 9/25/2027 (f)
|
345,770
|
324,645
|
|
Series 2018-M2, Class A2, 2.91%, 1/25/2028 (f)
|
3,033,867
|
2,843,064
|
|
Series 2018-M4, Class A2, 3.06%, 3/25/2028 (f)
|
1,822,755
|
1,709,660
|
|
Series 2018-M9, Class APT2, 3.10%, 4/25/2028 (f)
|
2,364,610
|
2,216,031
|
|
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (f)
|
380,186
|
360,614
|
|
Series 2017-M5, Class A2, 2.99%, 4/25/2029 (f)
|
2,007,659
|
1,853,497
|
|
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (f)
|
1,136,865
|
1,038,111
|
|
Series 2020-M50, Class A2, 1.20%, 10/25/2030
|
369,790
|
332,628
|
|
Series 2020-M50, Class X1, IO, 1.82%, 10/25/2030 (f)
|
5,481,270
|
307,716
|
|
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (f)
|
1,517,000
|
1,209,287
|
|
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (f)
|
5,000,000
|
4,015,282
|
|
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033
|
9,993
|
9,737
|
|
Series 2021-M3, Class X1, IO, 1.92%, 11/25/2033 (f)
|
323,219
|
24,041
|
|
FREMF Mortgage Trust Series 2015-K44, Class B, 3.72%, 1/25/2048 (b) (f)
|
1,500,000
|
1,476,133
|
|
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 (b)
|
1,958,000
|
1,426,395
|
|
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b)
|
300,000
|
267,146
|
|
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b)
|
1,770,000
|
1,438,896
|
|
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b)
|
27,444
|
25,742
|
|
Total Commercial Mortgage-Backed Securities
(Cost $40,518,166)
|
|
37,515,849
|
|
Foreign Government Securities — 0.2%
|
||
|
Republic of Colombia 7.38%, 9/18/2037
|
300,000
|
289,500
|
|
United Mexican States
|
|
|
|
4.13%, 1/21/2026
|
332,000
|
324,530
|
|
2.66%, 5/24/2031
|
1,000,000
|
824,500
|
|
Total Foreign Government Securities
(Cost $1,660,255)
|
|
1,438,530
|
|
INVESTMENTS
|
SHARES
|
VALUE($)
|
|
Short-Term Investments — 5.7%
|
||
|
Investment Companies — 5.7%
|
||
|
JPMorgan Prime Money Market Fund Class IM Shares, 5.40% (h) (i)
(Cost $36,403,276)
|
36,392,136
|
36,399,414
|
|
Total Investments — 104.2%
(Cost $691,415,558)
|
|
664,552,402
|
|
Liabilities in Excess of Other Assets — (4.2)%
|
|
(26,835,261
)
|
|
NET ASSETS — 100.0%
|
|
637,717,141
|
|
Percentages indicated are based on net assets.
|
|
Abbreviations
|
|
|
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
|
|
ICE
|
Intercontinental Exchange
|
|
IF
|
Inverse Floaters represent securities that pay interest at a rate that increases (decreases)
with a decline (incline) in a specified index or have an interest
rate that adjusts periodically based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the
rate in effect as of May 31, 2024. 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.
|
|
REIT
|
Real Estate Investment Trust
|
|
REMIC
|
Real Estate Mortgage Investment Conduit
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
SOFRINDX
|
Compounding index of the Secured Overnight Financing Rate
|
|
STRIPS
|
Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program
lets investors hold and trade individual interest and principal
components of eligible notes and bonds as separate securities.
|
|
TBA
|
To Be Announced; Security is subject to delayed delivery.
|
|
UMBS
|
Uniform Mortgage-Backed Securities
|
|
USD
|
United States Dollar
|
|
^
|
Amount rounds to less than 0.1% of net assets.
|
|
|
‡
|
Value determined using significant unobservable inputs.
|
|
|
(a)
|
All or a portion of this security is deposited with the broker as initial margin for
futures contracts or centrally cleared swaps.
|
|
|
(b)
|
Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities
Act of 1933, as amended.
|
|
|
(c)
|
Variable or floating rate security, linked to the referenced benchmark. The interest
rate shown is the current rate as of May 31, 2024.
|
|
|
(d)
|
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 May 31, 2024 is $1,513,331 or 0.24% of the Fund’s net
assets as of May 31, 2024.
|
|
|
(e)
|
Step bond. Interest rate is a fixed rate for an initial period that either resets
at a specific date or may reset in the future contingent upon a
predetermined trigger. The interest rate shown is the current rate as of May 31, 2024.
|
|
|
(f)
|
Variable or floating rate security, the interest rate of which adjusts periodically
based on changes in current interest rates and prepayments
on the underlying pool of assets. The interest rate shown is the current rate as of
May 31, 2024.
|
|
|
(g)
|
All or a portion of the security is a when-issued security, delayed delivery security,
or forward commitment.
|
|
|
(h)
|
Investment in an affiliated fund, which is registered under the Investment Company
Act of 1940, as amended, and is advised by J.P. Morgan
Investment Management Inc.
|
|
|
(i)
|
The rate shown is the current yield as of May 31, 2024.
|
|
|
DESCRIPTION
|
NUMBER OF
CONTRACTS
|
EXPIRATION DATE
|
TRADING CURRENCY
|
NOTIONAL
AMOUNT ($)
|
VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
|
Long Contracts
|
|
|
|
|
|
|
U.S. Treasury 10 Year Note
|
701
|
09/19/2024
|
USD
|
76,387,094
|
4,074
|
|
U.S. Treasury 10 Year Ultra Note
|
153
|
09/19/2024
|
USD
|
17,181,422
|
(73,235
)
|
|
U.S. Treasury 5 Year Note
|
834
|
09/30/2024
|
USD
|
88,364,906
|
115,613
|
|
|
|
|
|
|
46,452
|
|
Short Contracts
|
|
|
|
|
|
|
U.S. Treasury Long Bond
|
(52
)
|
09/19/2024
|
USD
|
(6,058,000
)
|
12,419
|
|
U.S. Treasury Ultra Bond
|
(89
)
|
09/19/2024
|
USD
|
(10,927,531
)
|
154,859
|
|
U.S. Treasury 2 Year Note
|
(79
)
|
09/30/2024
|
USD
|
(16,101,188
)
|
(14,349
)
|
|
|
|
|
|
|
152,929
|
|
|
|
|
|
|
199,381
|
|
Abbreviations
|
|
|
USD
|
United States Dollar
|
|
FLOATING RATE INDEX(a)
|
FIXED RATE
|
PAY/
RECEIVE
FLOATING
RATE
|
MATURITY
DATE
|
NOTIONAL
AMOUNT
|
UPFRONT
PAYMENTS
(RECEIPTS)
$
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
VALUE ($)
|
|
CPI-U at termination
|
2.25% at termination
|
Receive
|
2/8/2027
|
USD79,054,000
|
—
|
1,025,014
|
1,025,014
|
|
CPI-U at termination
|
2.33% at termination
|
Receive
|
12/18/2028
|
USD5,054,000
|
—
|
69,121
|
69,121
|
|
CPI-U at termination
|
2.34% at termination
|
Receive
|
1/5/2029
|
USD3,957,000
|
—
|
54,406
|
54,406
|
|
CPI-U at termination
|
2.40% at termination
|
Receive
|
3/14/2026
|
USD7,982,000
|
—
|
56,912
|
56,912
|
|
CPI-U at termination
|
2.41% at termination
|
Receive
|
4/3/2026
|
USD28,868,000
|
74,865
|
96,805
|
171,670
|
|
CPI-U at termination
|
2.43% at termination
|
Receive
|
3/1/2026
|
USD11,815,540
|
(20,742
)
|
107,728
|
86,986
|
|
CPI-U at termination
|
2.44% at termination
|
Receive
|
2/28/2029
|
USD81,520,000
|
60,030
|
839,874
|
899,904
|
|
CPI-U at termination
|
2.45% at termination
|
Receive
|
2/28/2029
|
USD35,269,000
|
(11,267
)
|
382,918
|
371,651
|
|
CPI-U at termination
|
2.47% at termination
|
Receive
|
3/18/2026
|
USD5,440,000
|
—
|
31,144
|
31,144
|
|
CPI-U at termination
|
2.47% at termination
|
Receive
|
4/3/2029
|
USD31,728,000
|
83,866
|
169,592
|
253,458
|
|
CPI-U at termination
|
2.48% at termination
|
Receive
|
2/2/2034
|
USD5,213,000
|
—
|
82,528
|
82,528
|
|
CPI-U at termination
|
2.49% at termination
|
Receive
|
3/27/2026
|
USD3,335,000
|
—
|
16,240
|
16,240
|
|
CPI-U at termination
|
2.49% at termination
|
Receive
|
4/3/2029
|
USD3,326,000
|
—
|
24,103
|
24,103
|
|
CPI-U at termination
|
2.50% at termination
|
Receive
|
2/28/2034
|
USD14,320,000
|
12,673
|
190,372
|
203,045
|
|
CPI-U at termination
|
2.52% at termination
|
Receive
|
3/21/2034
|
USD63,781,000
|
21,027
|
752,095
|
773,122
|
|
CPI-U at termination
|
2.53% at termination
|
Receive
|
4/3/2029
|
USD30,265,000
|
17,750
|
143,684
|
161,434
|
|
CPI-U at termination
|
2.53% at termination
|
Receive
|
4/3/2034
|
USD24,750,000
|
73,247
|
179,813
|
253,060
|
|
CPI-U at termination
|
2.56% at termination
|
Receive
|
4/3/2034
|
USD3,845,000
|
4,273
|
24,546
|
28,819
|
|
CPI-U at termination
|
2.61% at termination
|
Receive
|
6/4/2034
|
USD3,179,000
|
—
|
—
|
—
|
|
CPI-U at termination
|
2.62% at termination
|
Receive
|
5/2/2034
|
USD6,169,000
|
—
|
4,770
|
4,770
|
|
|
|
|
|
|
315,722
|
4,251,665
|
4,567,387
|
|
|
|
|
|
|
315,722
|
4,251,665
|
4,567,387
|
|
Abbreviations
|
|
|
CPI-U
|
Consumer Price Index for All Urban Consumers
|
|
USD
|
United States Dollar
|
|
(a)
|
Value of floating rate index at May 31, 2024 was as follows:
|
|
FLOATING RATE INDEX
|
VALUE
|
|
CPI-U
|
3.14%
|
|
REFERENCE
OBLIGATION/INDEX
|
FINANCING
RATE PAID
BY THE FUND
(%)
|
PAYMENT
FREQUENCY
|
MATURITY
DATE
|
IMPLIED
CREDIT
SPREAD
(%)(a)
|
NOTIONAL
AMOUNT(b)
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)(c)
|
UNREALIZED
APPRECIATION
(DEPRECIATION)
($)
|
VALUE
($)
|
|
CDX.NA.IG.42-V1
|
1.00
|
Quarterly
|
6/20/2029
|
0.50
|
USD 91,322,000
|
(1,947,682
)
|
(285,468
)
|
(2,233,150
)
|
|
(*)
|
The Fund, as a buyer of credit protection, is generally obligated to make periodic
payments and may also pay or receive an upfront premium to or from
the protection seller, in exchange for the right to receive a contingent payment,
upon occurrence of a credit event with respect to an underlying reference
obligation, as defined under the terms of individual swap contracts.
|
||||||||
|
(a)
|
Implied credit spreads are an indication of the seller's performance risk, related
to the likelihood of a credit event occurring that would require a seller to
make payment to a buyer. Implied credit spreads are used to determine the value of
swap contracts and reflect the cost of buying/selling protection, which
may include upfront payments made to enter into the contract. Therefore, higher spreads
would indicate a greater likelihood that a seller will be obligated
to perform (i.e. make payment) under the swap contract. Increasing values, in absolute
terms and relative to notional amounts, are also indicative of
greater performance risk. Implied credit spreads for credit default swaps on credit
indices are linked to the weighted average spread across the underlying
reference obligations included in a particular index.
|
||||||||
|
(b)
|
The notional amount is the maximum amount that a seller of credit protection would
be obligated to pay and a buyer of credit protection would receive,
upon occurrence of a credit event.
|
||||||||
|
(c)
|
Upfront payments and receipts generally represent premiums paid or received at the
initiation of the agreement to compensate the differences between
the stated terms of the swap agreement and current market conditions (credit spreads,
interest rates and other relevant factors).
|
||||||||
|
Abbreviations
|
|
|
CDX
|
Credit Default Swap Index
|
|
USD
|
United States Dollar
|
|
FLOATING RATE INDEX (a)
|
FIXED RATE
|
PAY/
RECEIVE
FLOATING
RATE
|
MATURITY
DATE
|
NOTIONAL
AMOUNT
|
UPFRONT
PAYMENTS
(RECEIPTS)
($)
|
UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
|
VALUE ($)
|
|
1 day SOFR annually
|
4.55 annually
|
Pay
|
5/5/2026
|
USD103,923,000
|
—
|
132,289
|
132,289
|
|
1 day SOFR annually
|
4.08 annually
|
Receive
|
5/3/2034
|
USD26,948,000
|
—
|
(130,500
)
|
(130,500
)
|
|
1 day SOFR annually
|
4.07 annually
|
Receive
|
2/15/2034
|
USD20,944,000
|
(5,852
)
|
(1,672
)
|
(7,524
)
|
|
|
|
|
|
|
(5,852
)
|
(132,172
)
|
(138,024
)
|
|
|
|
|
|
|
(5,852
)
|
117
|
(5,735
)
|
|
Abbreviations
|
|
|
SOFR
|
Secured Overnight Financing Rate
|
|
USD
|
United States Dollar
|
|
(a)
|
Value of floating rate index at May 31, 2024 was as follows:
|
|||||||
|
FLOATING RATE INDEX
|
VALUE
|
|
1 Day SOFR
|
5.34%
|
|
|
|
|
|
|
|
|
Level 1
Quoted prices
|
Level 2
Other significant
observable inputs
|
Level 3
Significant
unobservable inputs
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
Asset-Backed Securities
|
$—
|
$68,717,097
|
$1,041,924
|
$69,759,021
|
|
Collateralized Mortgage Obligations
|
—
|
40,905,086
|
207
|
40,905,293
|
|
Commercial Mortgage-Backed Securities
|
—
|
37,515,849
|
—
|
37,515,849
|
|
Corporate Bonds
|
—
|
169,329,413
|
—
|
169,329,413
|
|
Foreign Government Securities
|
—
|
1,438,530
|
—
|
1,438,530
|
|
Mortgage-Backed Securities
|
—
|
130,991,612
|
—
|
130,991,612
|
|
U.S. Treasury Obligations
|
—
|
178,213,270
|
—
|
178,213,270
|
|
Short-Term Investments
|
|
|
|
|
|
Investment Companies
|
36,399,414
|
—
|
—
|
36,399,414
|
|
Total Investments in Securities
|
$36,399,414
|
$627,110,857
|
$1,042,131
|
$664,552,402
|
|
Appreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
$286,965
|
$—
|
$—
|
$286,965
|
|
Swaps
|
—
|
4,383,954
|
—
|
4,383,954
|
|
Depreciation in Other Financial Instruments
|
|
|
|
|
|
Futures Contracts
|
(87,584
)
|
—
|
—
|
(87,584
)
|
|
Swaps
|
—
|
(417,640
)
|
—
|
(417,640
)
|
|
Total Net Appreciation/ Depreciation in Other
Financial Instruments
|
$199,381
|
$3,966,314
|
$—
|
$4,165,695
|
|
|
|||||||||
|
For the period ended May 31, 2024
|
|||||||||
|
Security Description
|
Value at
February 29,
2024
|
Purchases at
Cost
|
Proceeds from
Sales
|
Net Realized
Gain (Loss)
|
Change in
Unrealized
Appreciation/
(Depreciation)
|
Value at
May 31,
2024
|
Shares at
May 31,
2024
|
Dividend
Income
|
Capital Gain
Distributions
|
|
JPMorgan Prime Money Market
Fund Class IM Shares, 5.40%
(a) (b)
|
$100,751,178
|
$34,711,159
|
$99,042,316
|
$(16,721
)
|
$(3,886
)
|
$36,399,414
|
36,392,136
|
$757,650
|
$—
|
|
|
|
|
(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 May 31, 2024.
|