N-MFP2 0000763852 XXXXXXXX 2023-10-31 0000763852 S000003909 11 N N 002-95973 J.P. Morgan Investment Management Inc. 801-21011 PricewaterhouseCoopers, LLP New York NY J.P. Morgan Investment Management Inc. 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(REPO) BANK OF AMERICA N.A. (REPO) 5.310 0BAN036A1 9DJT3UXIJIZJI4WXO774 0000838927 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Federal National Mort 2045-12-01 3.500000 152870610.00 33890418.35 Agency Mortgage-Backed Securities Federal National Mort 2046-09-01 3.000000 265616072.00 42131026.87 Agency Mortgage-Backed Securities Federal National Mort 2045-10-01 3.500000 16951887.00 4098253.64 Agency Mortgage-Backed Securities Federal National Mort 2045-07-01 3.500000 252493986.00 36810846.18 Agency Mortgage-Backed Securities Federal National Mort 2045-05-01 3.500000 125022579.00 36904205.15 Agency Mortgage-Backed Securities Federal National Mort 2046-09-01 3.000000 107517893.00 32440238.97 Agency Mortgage-Backed Securities Federal National Mort 2045-08-01 3.500000 126190487.00 31668275.39 Agency Mortgage-Backed Securities Federal National Mort 2045-09-01 3.500000 476454020.00 33308421.04 Agency Mortgage-Backed Securities Federal National Mort 2046-01-01 3.500000 140683084.00 36400518.78 Agency Mortgage-Backed Securities Federal National Mort 2046-10-01 3.000000 125749285.00 32972963.23 Agency Mortgage-Backed Securities Federal National Mort B1V7KEBTPIMZEU4LTD58 2045-08-01 3.500000 214986311.00 34839584.41 Agency Mortgage-Backed Securities Federal National Mort 2042-07-01 3.500000 236997013.00 40892325.54 Agency Mortgage-Backed Securities Federal National Mort 2045-07-01 3.500000 245485062.00 33275214.50 Agency Mortgage-Backed Securities Federal National Mort 2046-10-01 3.000000 149985822.00 37622637.78 Agency Mortgage-Backed Securities Federal National Mort 2051-01-01 1.500000 65146815.00 38038393.61 Agency Mortgage-Backed Securities Federal National Mort 2045-07-01 3.500000 251321304.00 34014761.48 Agency Mortgage-Backed Securities Federal National Mort 2045-07-01 3.500000 250982832.00 32227776.60 Agency Mortgage-Backed Securities Federal National Mort 2046-02-01 3.500000 136316097.00 34544523.92 Agency Mortgage-Backed Securities Federal National Mort 2042-08-01 3.500000 234913383.00 37143938.37 Agency Mortgage-Backed Securities Federal National Mort 2042-07-01 3.500000 101888810.00 12252205.03 Agency Mortgage-Backed Securities Federal National Mort 2045-06-01 3.500000 331046322.00 38043164.09 Agency Mortgage-Backed Securities Federal National Mort 2042-11-01 3.000000 242000000.00 35386850.25 Agency Mortgage-Backed Securities Federal National Mort 2042-10-01 3.500000 243017154.00 40382006.89 Agency Mortgage-Backed Securities Federal National Mort 2046-09-01 3.000000 150123482.00 36163504.57 Agency Mortgage-Backed Securities Federal National Mort 2045-10-01 3.500000 194073865.00 32201280.06 Agency Mortgage-Backed Securities Federal National Mort 2045-07-01 3.500000 250755946.00 31342434.14 Agency Mortgage-Backed Securities Federal National Mort 2050-09-01 2.000000 63589288.00 33289609.08 Agency Mortgage-Backed Securities Federal National Mort 2046-10-01 3.000000 124993892.00 39466195.66 Agency Mortgage-Backed Securities Federal National Mort 2046-09-01 3.000000 128970306.00 37011464.83 Agency Mortgage-Backed Securities Federal National Mort 2042-09-01 3.500000 289083773.00 41236961.61 Agency Mortgage-Backed Securities Y Fitch Long Rating AA+ Fitch Short Rating F1+ Moody's Long Rating Aa2 Moody's Short Rating P-1 Standard & Poor's Long Rating A+ Standard & Poor's Short Rating A-1 2023-11-01 2023-11-01 2023-11-01 N N N 0.0531 1000000000.00 1000000000.00 0.0039 N Y Y N BANK OF MONTREAL (REPO) BANK OF MONTREAL (REPO) 5.300 0QH002QL7 NQQ6HPCNCCU6TUTQYE16 0000009622 U.S. Government Agency Repurchase Agreement, collateralized only by U.S. Government Agency securities, U.S. Treasuries, and cash Y N Government National M 2052-01-20 3.500000 59175000.00 42971898.05 Agency Collateralized Mortgage Obligation Federal National Mort 2033-08-01 3.500000 6022225.00 5524593.73 Agency Mortgage-Backed Securities Government National M 2053-03-20 5.250000 12844858.00 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2052-02-25 4.000000 17977051.00 7317215.12 Agency Collateralized Mortgage Obligation Government National M 2051-06-20 3.000000 30300228.00 11854351.85 Agency Collateralized Mortgage Obligation Federal National Mort 2053-09-01 5.500000 187102006.00 175773705.86 Agency Mortgage-Backed Securities Federal National Mort 2053-07-01 5.000000 46629179.00 42278161.64 Agency Mortgage-Backed Securities Government National M 2049-12-20 3.000000 100821000.00 6651666.01 Agency Collateralized Mortgage Obligation Federal National Mort 2050-08-25 4.000000 11428143.00 8775899.61 Agency Collateralized Mortgage Obligation Federal National Mort 2053-09-01 6.000000 126205415.00 123313934.74 Agency Mortgage-Backed Securities Federal National Mort 2049-04-25 2.750000 5998506.00 3751537.53 Agency Collateralized Mortgage Obligation Federal National Mort 2052-10-01 4.500000 230194177.00 192500539.20 Agency Mortgage-Backed Securities Government National M 2052-02-20 3.500000 100000000.00 28777076.37 Agency Collateralized Mortgage Obligation Government National M 2052-03-20 3.500000 25365000.00 12832070.16 Agency Collateralized Mortgage Obligation Government National M 2051-09-20 3.500000 13000000.00 6106665.19 Agency Collateralized Mortgage Obligation Federal National Mort 2049-12-25 4.500000 1944288.00 971822.04 Agency Collateralized Mortgage Obligation Federal National Mort 2031-07-25 6.000000 4750000.00 113911.75 Agency Collateralized Mortgage Obligation Federal National Mort 2053-07-01 5.500000 128005756.00 117143808.26 Agency Mortgage-Backed Securities Government National M 2052-03-20 3.500000 40000000.00 30654601.80 Agency Collateralized Mortgage Obligation Government National M 2042-01-20 3.000000 35000000.00 2768978.16 Agency Collateralized Mortgage Obligation Federal Home Loan Mor 2052-05-25 4.000000 9884936.00 4234598.32 Agency Debentures and Agency Strips Y Fitch Long Rating AA Fitch Short Rating F1+ Moody's Long Rating Aa2 Moody's Short Rating P-1 Standard & Poor's Long 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107728.84 U.S. Treasuries (including strips) United States Treasur 2047-02-15 0.875000 5784534.65 5130231.51 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2024-01-09 0.000000 22316.83 22087.06 U.S. Treasuries (including strips) United States Treasur 2031-11-15 0.000000 1797825.74 1208937.13 U.S. Treasuries (including strips) United States Treasur 2045-02-15 0.000000 34.01 10.84 U.S. Treasuries (including strips) United States Treasur 2034-05-15 0.000000 163180.69 95693.40 U.S. Treasuries (including strips) United States Treasur 2047-05-15 0.000000 378742.57 111342.74 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2027-10-31 0.500000 1730227.72 1459343.27 U.S. Treasuries (including strips) United States Treasur 2050-08-15 0.000000 99319.21 25133.72 U.S. Treasuries (including strips) United States Treasur 2037-08-15 0.000000 137438.02 66748.84 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-10-15 0.125000 49.50 51.76 U.S. Treasuries (including strips) United States Treasur 2043-08-15 0.000000 287495.05 102316.61 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2024-01-16 0.000000 9.90 9.79 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2030-02-15 0.000000 137438.02 100938.88 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2041-11-15 0.000000 2643.56 1032.87 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2043-11-15 0.000000 1013366.34 342919.11 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2024-04-15 0.500000 1403386.14 1679956.56 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2028-01-15 1.750000 87831.68 125141.61 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2033-08-15 0.000000 4.09 2.50 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-05-15 2.750000 77069.31 75255.10 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-07-15 0.125000 3700792.08 4438250.43 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2032-07-15 0.625000 71831.68 65272.31 U.S. Treasuries (including strips) United States Treasur 2043-11-15 0.000000 252039.60 88609.56 U.S. Treasuries (including strips) United States Treasur 2044-05-15 0.000000 19.80 6.76 U.S. Treasuries (including strips) United States Treasur 2048-05-15 0.000000 7310.60 1990.53 U.S. Treasuries (including strips) United States Treasur 2047-11-15 0.000000 29974.54 8316.44 U.S. Treasuries (including strips) United States Treasur 2040-08-15 0.000000 98623.76 41095.54 U.S. Treasuries (including strips) United States Treasur 2029-07-15 0.250000 13789772.28 14671822.67 U.S. Treasuries (including strips) United States Treasur 2030-07-15 0.125000 39602564.36 40733280.61 U.S. Treasuries (including strips) 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254900HROIFWPRGM1V77 2027-05-15 0.000000 83972.77 70762.01 U.S. Treasuries (including strips) United States Treasur 2036-02-15 0.000000 297.03 165.46 U.S. Treasuries (including strips) United States Treasur 2052-02-15 0.125000 6910.89 3969.66 U.S. Treasuries (including strips) United States Treasur 2045-08-15 0.000000 200059.47 62157.88 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2045-02-15 0.000000 51811.88 17040.93 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-01-15 2.000000 331227.72 505620.58 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2023-11-02 0.000000 41881.19 41869.00 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2041-02-15 1.875000 18445.54 11490.53 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-12-15 4.000000 558693.07 555599.01 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2024-07-15 0.125000 43425.74 54882.04 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-04-15 0.125000 10681871.29 12132411.11 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2023-11-24 0.000000 29.70 29.60 U.S. Treasuries (including strips) United States Treasur 2052-05-15 0.000000 1563574.26 386390.47 U.S. Treasuries (including strips) United States Treasur 2046-02-15 1.000000 38524.75 36286.80 U.S. Treasuries (including strips) United States Treasur 2053-02-15 1.500000 22217.82 18148.44 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2029-03-31 2.375000 2775920.79 2453391.03 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2043-02-15 0.000000 9247.53 3371.44 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2031-08-15 1.250000 71574.26 55106.13 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2024-12-31 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(REPO) 5.300 0CAN07X28 E57ODZWZ7FF32TWEFA76 0000036684 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasur 254900HROIFWPRGM1V77 2029-02-15 2.625000 4865524.74 4388764.27 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-10-15 0.125000 9.90 10.35 U.S. Treasuries (including strips) United States Treasur 2029-07-15 0.250000 39.60 42.14 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-11-15 2.000000 9.90 9.20 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2028-01-31 3.500000 9.90 9.48 U.S. Treasuries (including strips) United States Treasur 2048-02-15 1.000000 3164792.07 2800162.21 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2045-02-15 2.500000 9.90 6.47 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2027-01-15 2.375000 35930.69 54572.75 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-06-30 0.875000 744594.06 673332.38 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2027-12-31 3.875000 20613.86 20138.44 U.S. Treasuries (including strips) United States Treasur 2032-04-15 3.375000 98049.50 180208.33 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2049-08-15 2.250000 113039.60 66961.03 U.S. Treasuries (including strips) United States Treasur 2045-02-15 0.750000 59.41 53.81 U.S. Treasuries (including strips) United States Treasur 2051-02-15 0.125000 29.70 18.47 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2049-11-15 2.375000 198.02 121.86 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-10-15 4.625000 3089.11 3074.35 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2028-06-30 4.000000 202366.34 198266.31 U.S. Treasuries (including strips) 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Treasur 254900HROIFWPRGM1V77 2028-08-15 5.500000 29.70 30.87 U.S. Treasuries (including strips) United States Treasur 2024-07-31 2.125000 29.70 29.13 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-02-15 2.000000 9.90 9.54 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2027-11-30 3.875000 37663.37 36934.53 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2041-11-15 2.000000 19.80 12.49 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2026-01-15 2.000000 122316.83 186717.18 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2030-09-30 4.625000 15376.24 15201.06 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2033-08-15 3.875000 1630485.15 1517603.42 U.S. Treasuries (including strips) Y Fitch Long Rating AA- Fitch Short Rating F1+ Moody's Long Rating Aa3 Moody's Short Rating P-1 Standard & Poor's Long Rating 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(REPO) CITIGROUP GLOBAL MARKETS INC. 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Agency Mortgage-Backed Securities Government National M 2073-05-20 7.505000 525610.08 534392.63 Agency Mortgage-Backed Securities Government National M 2070-05-20 5.937000 5841934.64 2907608.91 Agency Mortgage-Backed Securities Federal Home Loan Mor 2040-09-01 9.000000 74084.01 330.74 Agency Mortgage-Backed Securities Government National M 2073-09-20 7.117000 185297.16 195884.27 Agency Mortgage-Backed Securities Federal Home Loan Mor 2052-10-01 4.500000 30848219.56 25877258.70 Agency Mortgage-Backed Securities Government National M 2073-09-20 7.448000 1033386.95 1095440.46 Agency Mortgage-Backed Securities Government National M 2073-03-20 7.700000 421226.00 434639.02 Agency Mortgage-Backed Securities Government National M 2073-09-20 7.490000 1735498.93 1844298.51 Agency Mortgage-Backed Securities Government National M 2069-12-20 3.887000 5926358.41 3136035.20 Agency Mortgage-Backed Securities Government National M 2070-04-20 5.632000 1946732.90 1285363.90 Agency Mortgage-Backed 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(REPO) CITIGROUP GLOBAL MARKETS INC. (REPO) 5.340 0CTG14C71 82VOJDD5PTRDMVVMGV31 0000091154 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasur 254900HROIFWPRGM1V77 2025-12-15 4.000000 248695400.00 247318116.72 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-12-31 0.375000 288494100.00 261873132.89 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-07-31 4.750000 100.00 100.57 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-09-15 3.500000 7111500.00 6940212.96 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-09-30 5.000000 352974800.00 353947235.93 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-11-15 2.250000 20209600.00 19330540.61 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-08-15 2.000000 2800.00 2663.63 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-11-15 4.500000 208886300.00 210988064.00 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-10-15 4.250000 15919100.00 15704366.04 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-11-30 0.375000 174540400.00 158904307.00 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-08-15 3.125000 139900.00 136061.52 U.S. Treasuries (including strips) Y Fitch Long Rating A+ Fitch Short Rating F1 Moody's Long Rating A1 Moody's Short Rating P-1 Standard & Poor's Long Rating A+ Standard & Poor's Short Rating A-1 2023-11-02 2023-11-02 2023-11-02 N N N 0.0534 1250000000.00 1250000000.00 0.0049 N Y N CITIGROUP GLOBAL MARKETS INC. (REPO) CITIGROUP GLOBAL MARKETS INC. 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(REPO) CITIGROUP GLOBAL MARKETS INC. (REPO) 5.300 0CTG14EX2 82VOJDD5PTRDMVVMGV31 0000091154 U.S. Treasury Repurchase Agreement, if collateralized only by U.S. Treasuries (including Strips) and cash Y N United States Treasur 2024-07-31 3.000000 1100.00 1088.19 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2024-10-03 0.000000 100.00 95.17 U.S. Treasuries (including strips) United States Treasur 2025-10-31 5.000000 125000.00 124902.50 U.S. Treasuries (including strips) United States Treasur 2028-10-31 4.875000 323995600.00 324999986.36 U.S. Treasuries (including strips) United States Treasur 2028-10-15 2.375000 6362900.00 6371468.56 U.S. Treasuries (including strips) United States Treasur 254900HROIFWPRGM1V77 2025-10-31 5.552243 2500.00 2499.88 U.S. Treasuries (including strips) Y Fitch Long Rating A+ Fitch Short Rating F1 Moody's Long Rating A1 Moody's Short Rating P-1 Standard & Poor's Long Rating A+ Standard & Poor's Short Rating A-1 2023-11-01 2023-11-01 2023-11-01 N N N 0.0530 325000000.00 325000000.00 0.0013 N Y Y N CITIGROUP GLOBAL MARKETS INC. (REPO) CITIGROUP GLOBAL MARKETS INC. 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(REPO) WELLS FARGO BANK N.A. 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Federal Home Loan Mor S6XOOCT0IEG5ABCC6L87 2045-04-01 3.000000 12000000.00 1754268.41 Agency Mortgage-Backed Securities Y Fitch Long Rating NR Fitch Short Rating NR Moody's Long Rating NR Moody's Short Rating NR Standard & Poor's Long Rating A+ Standard & Poor's Short Rating A-1 2023-12-26 2023-12-26 2023-12-26 N N N 0.0542 2200000000.00 2200000000.00 0.0086 N N Y JPMorgan U.S. Government Money Market Fund 2023-11-03 Timothy J. Clemens Timothy J. Clemens Treasurer