# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0000035402-25-002234
**Filing Date:** 2025-11
**Character Count:** 196154
**Document Hash:** ef879f44fc92d10104fbf87acc12ee4d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-002234.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0000035402-25-002234

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 251519755

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity SAI International Credit Fund (Series ID: S000079760)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000241080 | Fidelity SAI International Credit Fund | FSNDX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® SAI International Credit Fund**

**September 30, 2025**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

ICR-NPRT3-1125

1.9908918.102 ---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 9.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 9.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 9.3%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 9.3%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.6%  |  |  |  |
| Australian Commonwealth 1.25% 5/21/2032  | AUD | 7575000 | 4227088 |
| Australian Commonwealth 3.75% 5/21/2034 (b) | AUD | 12000000 | 7686942 |
| TOTAL AUSTRALIA |  |  | 11914030 |
| CANADA - 3.6%  |  |  |  |
| Canadian Government 1.5% 12/1/2031  | CAD | 14565000 | 9652334 |
| Canadian Government 1.5% 6/1/2031  | CAD | 22775000 | 15228146 |
| Canadian Government 2% 6/1/2032  | CAD | 20210000 | 13709143 |
| Canadian Government 2.5% 12/1/2032  | CAD | 20865000 | 14541927 |
| Canadian Government 2.75% 6/1/2033  | CAD | 165000 | 116429 |
| Canadian Government 3% 6/1/2034  | CAD | 8675000 | 6186030 |
| Canadian Government 3.25% 12/1/2033  | CAD | 6200000 | 4516962 |
| TOTAL CANADA |  |  | 63950971 |
| JAPAN - 2.3%  |  |  |  |
| Japan Government 0.005% 12/1/2025  | JPY | 1077350000 | 7279297 |
| Japan Government 0.1% 11/1/2025  | JPY | 1110000000 | 7503430 |
| Japan Government 0.9% 9/1/2027  | JPY | 2110000000 | 14257856 |
| Japan Government 0.9% 9/20/2034  | JPY | 592750000 | 3778233 |
| Japan Government 1.4% 3/20/2035  | JPY | 100000000 | 662934 |
| Japan Government Treasury Bills 0% 11/20/2025 (c) | JPY | 1077050000 | 7278263 |
| TOTAL JAPAN |  |  | 40760013 |
| MULTI-NATIONAL - 2.1%  |  |  |  |
| European Union 0.75% 4/4/2031 (b) | EUR | 2696000 | 2867295 |
| European Union 2.5% 12/4/2031 (b) | EUR | 4608000 | 5346584 |
| European Union 3.375% 12/12/2035 (b) | EUR | 3587000 | 4288658 |
| European Union 4% 4/4/2044 (b) | EUR | 20590000 | 24940383 |
| TOTAL MULTI-NATIONAL |  |  | 37442920 |
| ROMANIA - 0.7%  |  |  |  |
| Romanian Republic 2.124% 7/16/2031 (b) | EUR | 2425000 | 2427128 |
| Romanian Republic 5.875% 7/11/2032 (b) | EUR | 5460000 | 6554546 |
| Romanian Republic 6.375% 9/18/2033 (b) | EUR | 3700000 | 4554668 |
| TOTAL ROMANIA |  |  | 13536342 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $164,924,546) |  |  | <br> **167604276** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 59.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 59.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 59.7%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 59.7%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 1.4%  |  |  |  |
| Financials - 1.1% |  |  |  |
| Banks - 0.8% |  |  |  |
| Commonwealth Bank of Australia 2.688% 3/11/2031 (e) |  | 6940000 | 6278243 |
| Commonwealth Bank of Australia 3.788% 8/26/2037 (b)(d) | EUR | 5145000 | 6058162 |
|  |  |  | 12336405 |
| Financial Services - 0.1% |  |  |  |
| Cimic Finance Ltd 1.5% 5/28/2029 (b) | EUR | 2104000 | 2293732 |
| Insurance - 0.2% |  |  |  |
| QBE Insurance Group Ltd 2.5% 9/13/2038 (b)(d) | GBP | 3454000 | 4322119 |
| TOTAL FINANCIALS |  |  | 18952256 |
| Utilities - 0.3% |  |  |  |
| Electric Utilities - 0.3% |  |  |  |
| AusNet Services Holdings Pty Ltd 6.134% 5/31/2033  | AUD | 8900000 | 6260557 |
| TOTAL AUSTRALIA |  |  | 25212813 |
| AUSTRIA - 0.1%  |  |  |  |
| Real Estate - 0.1% |  |  |  |
| Real Estate Management & Development - 0.1% |  |  |  |
| Supernova Invest GmbH 5% 6/24/2030 (b) | EUR | 1375000 | 1648687 |
| BELGIUM - 1.7%  |  |  |  |
| Consumer Staples - 0.8% |  |  |  |
| Food Products - 0.8% |  |  |  |
| Barry Callebaut Services NV 4.25% 8/19/2031 (b) | EUR | 11400000 | 13681081 |
| Energy - 0.5% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.5% |  |  |  |
| Fluxys SA 4% 11/28/2030 (b) | EUR | 7400000 | 8842754 |
| Real Estate - 0.4% |  |  |  |
| Real Estate Management & Development - 0.4% |  |  |  |
| Shurgard Luxembourg Sarl 4% 5/27/2035 (b) | EUR | 7400000 | 8734725 |
| TOTAL BELGIUM |  |  | 31258560 |
| CANADA - 1.9%  |  |  |  |
| Financials - 1.9% |  |  |  |
| Banks - 1.9% |  |  |  |
| Bank of Nova Scotia/The 3.375% 3/5/2033 (b)(d) | EUR | 15100000 | 17785009 |
| Royal Bank of Canada 3.125% 9/27/2031 (b)(d) | EUR | 7330000 | 8609671 |
| Toronto Dominion Bank 3.357% 9/22/2032 (b) | EUR | 7000000 | 8189956 |
| TOTAL CANADA |  |  | 34584636 |
| CZECH REPUBLIC - 0.8%  |  |  |  |
| Real Estate - 0.8% |  |  |  |
| Real Estate Management & Development - 0.8% |  |  |  |
| CPI Property Group SA 1.5% 1/27/2031 (b) | EUR | 6442000 | 6239664 |
| CPI Property Group SA 6% 1/27/2032 (b) | EUR | 6835000 | 8175094 |
| TOTAL CZECH REPUBLIC |  |  | 14414758 |
| DENMARK - 1.5%  |  |  |  |
| Consumer Staples - 0.6% |  |  |  |
| Beverages - 0.3% |  |  |  |
| Carlsberg Breweries A/S 3.25% 2/28/2032 (b) | EUR | 4125000 | 4856940 |
| Tobacco - 0.3% |  |  |  |
| Scandinavian Tobacco Group A/S 4.875% 9/12/2029 (b) | EUR | 4990000 | 6085911 |
| TOTAL CONSUMER STAPLES |  |  | 10942851 |
| Financials - 0.9% |  |  |  |
| Banks - 0.9% |  |  |  |
| Danske Bank A/S 3.875% 1/9/2032 (b)(d) | EUR | 10125000 | 12273825 |
| Jyske Bank A/S 5.125% 5/1/2035 (b)(d) | EUR | 2788000 | 3465089 |
|  |  |  | 15738914 |
| TOTAL DENMARK |  |  | 26681765 |
| FINLAND - 0.3%  |  |  |  |
| Real Estate - 0.3% |  |  |  |
| Real Estate Management & Development - 0.3% |  |  |  |
| Citycon Treasury BV 5% 3/11/2030 (b) | EUR | 920000 | 1080552 |
| Citycon Treasury BV 5.375% 7/8/2031 (b) | EUR | 2980000 | 3518119 |
| TOTAL FINLAND |  |  | 4598671 |
| FRANCE - 5.0%  |  |  |  |
| Communication Services - 0.3% |  |  |  |
| Media - 0.3% |  |  |  |
| Publicis Groupe SA 3.375% 6/12/2032 (b) | EUR | 3900000 | 4577931 |
| Consumer Discretionary - 0.6% |  |  |  |
| Automobiles - 0.6% |  |  |  |
| RCI Banque SA 4.75% 3/24/2037 (b)(d) | EUR | 2400000 | 2866895 |
| RCI Banque SA 5.5% 10/9/2034 (b)(d) | EUR | 6800000 | 8397750 |
|  |  |  | 11264645 |
| Financials - 2.1% |  |  |  |
| Banks - 2.1% |  |  |  |
| BNP Paribas SA 2.159% 9/15/2029 (d)(e) |  | 4560000 | 4276766 |
| BNP Paribas SA 3.945% 2/18/2037 (b)(d) | EUR | 11500000 | 13547019 |
| BNP Paribas SA 5.786% 1/13/2033 (d)(e) |  | 3336000 | 3501214 |
| BPCE SA 5.716% 1/18/2030 (d)(e) |  | 10945000 | 11318766 |
| Societe Generale SA 6.691% 1/10/2034 (d)(e) |  | 5340000 | 5816425 |
|  |  |  | 38460190 |
| Utilities - 2.0% |  |  |  |
| Electric Utilities - 0.6% |  |  |  |
| Electricite de France SA 4.75% 10/12/2034 (b) | EUR | 1300000 | 1639517 |
| Electricite de France SA 5.5% 1/25/2035 (b) | GBP | 7600000 | 9926389 |
|  |  |  | 11565906 |
| Multi-Utilities - 1.4% |  |  |  |
| Engie SA 3.875% 3/6/2036 (b) | EUR | 1600000 | 1894158 |
| Engie SA 4.25% 9/6/2034 (b) | EUR | 8000000 | 9783949 |
| Veolia Environnement SA 3.324% 6/17/2032 (b) | EUR | 10300000 | 12099502 |
|  |  |  | 23777609 |
| TOTAL UTILITIES |  |  | 35343515 |
| TOTAL FRANCE |  |  | 89646281 |
| GERMANY - 11.6%  |  |  |  |
| Consumer Discretionary - 1.0% |  |  |  |
| Automobile Components - 1.0% |  |  |  |
| Robert Bosch GmbH 4.375% 6/2/2043 (b) | EUR | 2500000 | 2932993 |
| Schaeffler AG 5.375% 4/1/2031 (b) | EUR | 2900000 | 3565133 |
| ZF Europe Finance BV 4.75% 1/31/2029 (b) | EUR | 6700000 | 7724077 |
| ZF Europe Finance BV 7% 6/12/2030 (b) | EUR | 3100000 | 3777956 |
|  |  |  | 18000159 |
| Consumer Staples - 0.1% |  |  |  |
| Consumer Staples Distribution & Retail - 0.1% |  |  |  |
| METRO AG 4% 3/5/2030 (b) | EUR | 2890000 | 3516193 |
| Energy - 0.4% |  |  |  |
| Energy Equipment & Services - 0.4% |  |  |  |
| Vier Gas Transport GmbH 3.625% 9/8/2033 (b) | EUR | 6000000 | 7045216 |
| Financials - 4.8% |  |  |  |
| Banks - 0.8% |  |  |  |
| Commerzbank AG 3.625% 1/14/2032 (b)(d) | EUR | 3100000 | 3696937 |
| Commerzbank AG 4.875% 10/16/2034 (b)(d) | EUR | 1900000 | 2340309 |
| Commerzbank AG 8.625% 2/28/2033 (b)(d) | GBP | 2600000 | 3754499 |
| Volkswagen Bank GmbH 3.5% 6/19/2031 (b) | EUR | 3500000 | 4112467 |
|  |  |  | 13904212 |
| Capital Markets - 0.5% |  |  |  |
| Deutsche Bank AG 6.125% 12/12/2030 (b)(d) | GBP | 6200000 | 8656656 |
| Financial Services - 3.5% |  |  |  |
| KfW 0% 1/10/2031 (b) | EUR | 2800000 | 2880797 |
| KfW 0.125% 1/9/2032 (b) | EUR | 11924000 | 11981867 |
| KfW 1.125% 9/15/2032 (b) | EUR | 1675000 | 1771148 |
| KfW 1.375% 6/7/2032 (b) | EUR | 9600000 | 10374626 |
| KfW 2.75% 1/17/2035 (b) | EUR | 10364000 | 12020296 |
| KfW 3.25% 3/24/2031 (b) | EUR | 11745000 | 14285536 |
| KfW 4% 3/15/2029  |  | 9475000 | 9570819 |
|  |  |  | 62885089 |
| TOTAL FINANCIALS |  |  | 85445957 |
| Health Care - 1.5% |  |  |  |
| Pharmaceuticals - 1.5% |  |  |  |
| Bayer US Finance LLC 6.375% 11/21/2030 (e) |  | 8930000 | 9544167 |
| Bayer US Finance LLC 6.5% 11/21/2033 (e) |  | 15465000 | 16682494 |
|  |  |  | 26226661 |
| Real Estate - 1.1% |  |  |  |
| Real Estate Management & Development - 1.1% |  |  |  |
| Aroundtown SA 3% 10/16/2029 (b) | GBP | 3415000 | 4195792 |
| Aroundtown SA 3.625% 4/10/2031 (b) | GBP | 3650000 | 4447064 |
| Deutsche EuroShop AG 4.5% 10/15/2030 (b) | EUR | 2300000 | 2721954 |
| LEG Immobilien SE 3.875% 1/20/2035 (b) | EUR | 5200000 | 6023713 |
| Sirius Real Estate Ltd 4% 1/22/2032 (b) | EUR | 2400000 | 2808304 |
|  |  |  | 20196827 |
| Utilities - 2.7% |  |  |  |
| Electric Utilities - 2.2% |  |  |  |
| Amprion GmbH 0.625% 9/23/2033 (b) | EUR | 5000000 | 4718887 |
| Amprion GmbH 3.625% 5/21/2031 (b) | EUR | 6500000 | 7807104 |
| Amprion GmbH 4.125% 9/7/2034 (b) | EUR | 6000000 | 7309235 |
| EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/2081 (b)(d) | EUR | 6500000 | 7213266 |
| EnBW International Finance BV 3.75% 11/20/2035 (b) | EUR | 10210000 | 12010605 |
|  |  |  | 39059097 |
| Independent Power and Renewable Electricity Producers - 0.5% |  |  |  |
| RWE Finance US LLC 5.125% 9/18/2035 (e) |  | 1050000 | 1035689 |
| RWE Finance US LLC 5.875% 4/16/2034 (e) |  | 8173000 | 8586113 |
|  |  |  | 9621802 |
| TOTAL UTILITIES |  |  | 48680899 |
| TOTAL GERMANY |  |  | 209111912 |
| HONG KONG - 0.1%  |  |  |  |
| Financials - 0.1% |  |  |  |
| Insurance - 0.1% |  |  |  |
| Prudential Funding Asia PLC 2.95% 11/3/2033 (b)(d) |  | 2803000 | 2671077 |
| ITALY - 1.2%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| Intesa Sanpaolo SpA 6.625% 6/20/2033 (e) |  | 3900000 | 4292811 |
| Utilities - 1.0% |  |  |  |
| Electric Utilities - 0.7% |  |  |  |
| Enel Finance International NV 4.375% 9/30/2030 (e) |  | 2695000 | 2676671 |
| Enel Finance International NV 5.5% 6/26/2034 (e) |  | 5595000 | 5792746 |
| Enel SpA 3.375% (b)(d)(f) | EUR | 2250000 | 2647597 |
|  |  |  | 11117014 |
| Gas Utilities - 0.3% |  |  |  |
| Snam SpA 5.75% 5/28/2035 (e) |  | 5219000 | 5406927 |
| TOTAL UTILITIES |  |  | 16523941 |
| TOTAL ITALY |  |  | 20816752 |
| JAPAN - 0.7%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Diversified Telecommunication Services - 0.2% |  |  |  |
| NTT Finance Corp 3.678% 7/16/2033 (b) | EUR | 2850000 | 3396894 |
| NTT Finance Corp 4.876% 7/16/2030 (e) |  | 580000 | 589322 |
|  |  |  | 3986216 |
| Consumer Staples - 0.5% |  |  |  |
| Tobacco - 0.5% |  |  |  |
| Japan Tobacco Inc 5.856% 6/15/2035 (e) |  | 7440000 | 7922475 |
| TOTAL JAPAN |  |  | 11908691 |
| LUXEMBOURG - 3.2%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Financial Services - 0.0% |  |  |  |
| Titanium 2l Bondco Sarl 6.25% 1/14/2031 pay-in-kind  | EUR | 859900 | 260856 |
| Real Estate - 3.2% |  |  |  |
| Industrial REITs - 0.3% |  |  |  |
| Prologis International Funding II SA 4.375% 7/1/2036 (b) | EUR | 5015000 | 6128062 |
| Real Estate Management & Development - 2.9% |  |  |  |
| Blackstone Property Partners Europe Holdings Sarl 1.625% 4/20/2030 (b) | EUR | 4575000 | 4967877 |
| Blackstone Property Partners Europe Holdings Sarl 1.75% 3/12/2029 (b) | EUR | 6607000 | 7394860 |
| CBRE Europe Logistics Partners SCA SICAV-SIF 3.5% 9/22/2032 (b) | EUR | 5200000 | 6052605 |
| CBRE Open-Ended Funds SCA SICAV-SIF 4.75% 3/27/2034 (b) | EUR | 4635000 | 5741293 |
| Logicor Financing Sarl 1.625% 1/17/2030 (b) | EUR | 7390000 | 8076983 |
| Logicor Financing Sarl 2% 1/17/2034 (b) | EUR | 7520000 | 7553137 |
| Logicor Financing Sarl 3.75% 7/14/2032 (b) | EUR | 1545000 | 1812802 |
| P3 Group Sarl 3.75% 4/2/2033 (b) | EUR | 2900000 | 3389084 |
| P3 Group Sarl 4% 4/19/2032 (b) | EUR | 4675000 | 5580584 |
|  |  |  | 50569225 |
| TOTAL REAL ESTATE |  |  | 56697287 |
| TOTAL LUXEMBOURG |  |  | 56958143 |
| MEXICO - 0.7%  |  |  |  |
| Energy - 0.7% |  |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |  |
| Petroleos Mexicanos 5.95% 1/28/2031  |  | 12170000 | 11798815 |
| MULTI-NATIONAL - 2.0%  |  |  |  |
| Financials - 2.0% |  |  |  |
| Banks - 2.0% |  |  |  |
| European Investment Bank 0% 1/14/2031 (b) | EUR | 375000 | 385411 |
| European Investment Bank 2.375% 5/15/2030 (b) | EUR | 15965000 | 18677908 |
| European Investment Bank 2.5% 5/14/2032 (b) | EUR | 145000 | 168342 |
| European Investment Bank 2.875% 6/18/2035 (b) | EUR | 15100000 | 17586046 |
| TOTAL MULTI-NATIONAL |  |  | 36817707 |
| NETHERLANDS - 1.7%  |  |  |  |
| Communication Services - 0.1% |  |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |  |
| Koninklijke KPN NV 3.875% 2/16/2036 (b) | EUR | 1600000 | 1900960 |
| Consumer Staples - 0.5% |  |  |  |
| Consumer Staples Distribution & Retail - 0.5% |  |  |  |
| REWE International Finance BV 4.875% 9/13/2030 (b) | EUR | 6600000 | 8319728 |
| Financials - 1.1% |  |  |  |
| Banks - 0.9% |  |  |  |
| Cooperatieve Rabobank UA 1.125% 5/7/2031 (b) | EUR | 3900000 | 4117797 |
| Cooperatieve Rabobank UA 5.71% 1/21/2033 (d)(e) |  | 765000 | 804445 |
| ING Groep NV 3% 8/17/2031 (b)(d) | EUR | 9300000 | 10835766 |
|  |  |  | 15758008 |
| Insurance - 0.2% |  |  |  |
| Argentum Netherlands BV 5.625% 8/15/2052 (b)(d) |  | 4125000 | 4166737 |
| TOTAL FINANCIALS |  |  | 19924745 |
| TOTAL NETHERLANDS |  |  | 30145433 |
| NORWAY - 0.2%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Banks - 0.2% |  |  |  |
| DNB Bank ASA 0.25% 2/23/2029 (b)(d) | EUR | 3945000 | 4372121 |
| POLAND - 0.5%  |  |  |  |
| Real Estate - 0.5% |  |  |  |
| Real Estate Management & Development - 0.5% |  |  |  |
| GTC Aurora Luxembourg SA 2.25% 6/23/2026 (b) | EUR | 8293000 | 8933339 |
| PORTUGAL - 0.2%  |  |  |  |
| Financials - 0.2% |  |  |  |
| Insurance - 0.2% |  |  |  |
| Fidelidade - Co De Seguros SA/Portugal 4.25% 9/4/2031 (b)(d) | EUR | 3100000 | 3676502 |
| SPAIN - 0.9%  |  |  |  |
| Financials - 0.9% |  |  |  |
| Banks - 0.9% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6.033% 3/13/2035 (d) |  | 6800000 | 7230564 |
| CaixaBank SA 3.625% 9/19/2032 (b)(d) | EUR | 3300000 | 3944669 |
| CaixaBank SA 6.84% 9/13/2034 (d)(e) |  | 5205000 | 5799801 |
| TOTAL SPAIN |  |  | 16975034 |
| SWEDEN - 0.8%  |  |  |  |
| Real Estate - 0.8% |  |  |  |
| Real Estate Management & Development - 0.8% |  |  |  |
| Heimstaden Bostad AB 3.875% 11/5/2029 (b) | EUR | 8160000 | 9696246 |
| Samhallsbyggnadsbolaget I Norden Holding AB 2.25% 7/12/2027 (b) | EUR | 4355000 | 4703410 |
| TOTAL SWEDEN |  |  | 14399656 |
| SWITZERLAND - 1.5%  |  |  |  |
| Financials - 1.5% |  |  |  |
| Capital Markets - 1.3% |  |  |  |
| UBS Group AG 2.875% 4/2/2032 (b)(d) | EUR | 6790000 | 7818525 |
| UBS Group AG 4.125% 6/9/2033 (b)(d) | EUR | 6995000 | 8559270 |
| UBS Group AG 4.75% 3/17/2032 (b)(d) | EUR | 5630000 | 7097554 |
|  |  |  | 23475349 |
| Insurance - 0.2% |  |  |  |
| Zurich Finance Ireland Designated Activity Co 3.5% 5/2/2052 (b)(d) |  | 3810000 | 3460197 |
| TOTAL FINANCIALS |  |  | 26935546 |
| Materials - 0.0% |  |  |  |
| Containers & Packaging - 0.0% |  |  |  |
| SIG Combibloc PurchaseCo Sarl 3.75% 3/19/2030 (b) | EUR | 775000 | 922092 |
| TOTAL SWITZERLAND |  |  | 27857638 |
| UNITED KINGDOM - 16.9%  |  |  |  |
| Communication Services - 0.0% |  |  |  |
| Wireless Telecommunication Services - 0.0% |  |  |  |
| Vodafone Group PLC 4.875% 10/3/2078 (b)(d) | GBP | 525000 | 705913 |
| Consumer Discretionary - 1.4% |  |  |  |
| Broadline Retail - 0.3% |  |  |  |
| John Lewis PLC 4.25% 12/18/2034 (b) | GBP | 4805000 | 5255429 |
| Hotels, Restaurants & Leisure - 0.3% |  |  |  |
| IHG Finance LLC 3.375% 9/10/2030 (b) | EUR | 2350000 | 2764441 |
| Whitbread Group PLC 2.375% 5/31/2027 (b) | GBP | 2220000 | 2867770 |
|  |  |  | 5632211 |
| Household Durables - 0.8% |  |  |  |
| Berkeley Group PLC/The 2.5% 8/11/2031 (b) | GBP | 11767000 | 13416499 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 24304139 |
| Consumer Staples - 1.8% |  |  |  |
| Tobacco - 1.8% |  |  |  |
| BAT International Finance PLC 4.125% 4/12/2032 (b) | EUR | 9810000 | 11894945 |
| Imperial Brands Finance Netherlands BV 5.25% 2/15/2031 (b) | EUR | 8995000 | 11460567 |
| Imperial Brands Finance PLC 4.875% 6/7/2032 (b) | GBP | 6290000 | 8130298 |
|  |  |  | 31485810 |
| Financials - 6.0% |  |  |  |
| Banks - 4.7% |  |  |  |
| Barclays PLC 3.543% 8/14/2031 (b)(d) | EUR | 10210000 | 12120396 |
| HSBC Holdings PLC 4.787% 3/10/2032 (b)(d) | EUR | 5510000 | 6946748 |
| HSBC Holdings PLC 4.856% 5/23/2033 (b)(d) | EUR | 3365000 | 4275781 |
| HSBC Holdings PLC 5.813% 5/22/2033 (b)(d) | GBP | 11060000 | 15294542 |
| HSBC Holdings PLC 6.254% 3/9/2034 (d) |  | 2815000 | 3065852 |
| HSBC Holdings PLC 8.201% 11/16/2034 (b)(d) | GBP | 830000 | 1230124 |
| Lloyds Banking Group PLC 4.75% 9/21/2031 (b)(d) | EUR | 11120000 | 13998144 |
| NatWest Group PLC 2.105% 11/28/2031 (b)(d) | GBP | 4974000 | 6515556 |
| NatWest Group PLC 7.416% 6/6/2033 (b)(d) | GBP | 7365000 | 10441813 |
| Standard Chartered PLC 3.864% 3/17/2033 (b)(d) | EUR | 4955000 | 5921673 |
| Virgin Money UK PLC 7.625% 8/23/2029 (b)(d) | GBP | 3330000 | 4828410 |
|  |  |  | 84639039 |
| Consumer Finance - 0.4% |  |  |  |
| Motability Operations Group PLC 3.625% 1/22/2033 (b) | EUR | 6120000 | 7203358 |
| Financial Services - 0.2% |  |  |  |
| Nationwide Building Society 4% 7/30/2035 (b)(d) | EUR | 2910000 | 3469379 |
| Insurance - 0.7% |  |  |  |
| Admiral Group PLC 8.5% 1/6/2034 (b) | GBP | 8115000 | 12492495 |
| TOTAL FINANCIALS |  |  | 107804271 |
| Industrials - 1.3% |  |  |  |
| Ground Transportation - 0.6% |  |  |  |
| Mobico Group PLC 4.875% 9/26/2031 (b) | EUR | 10935000 | 10106202 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Travis Perkins PLC 3.75% 2/17/2026 (b) | GBP | 548000 | 728244 |
| Transportation Infrastructure - 0.7% |  |  |  |
| Heathrow Funding Ltd 6% 3/5/2032 (b) | GBP | 9635000 | 13126422 |
| TOTAL INDUSTRIALS |  |  | 23960868 |
| Real Estate - 0.5% |  |  |  |
| Office REITs - 0.4% |  |  |  |
| Great Portland Estates PLC 5.375% 9/25/2031 (b) | GBP | 5610000 | 7554365 |
| Real Estate Management & Development - 0.1% |  |  |  |
| Titanium Ruth Holdco Ltd 0.95% 6/2/2026 (b) | EUR | 870000 | 1010282 |
| TOTAL REAL ESTATE |  |  | 8564647 |
| Utilities - 5.9% |  |  |  |
| Electric Utilities - 1.0% |  |  |  |
| London Power Networks PLC 3.837% 6/11/2037 (b) | EUR | 3775000 | 4421893 |
| NGG Finance PLC 2.125% 9/5/2082 (b)(d) | EUR | 7461000 | 8586962 |
| Scottish Hydro Electric Transmission PLC 3.375% 9/4/2032 (b) | EUR | 4600000 | 5405760 |
|  |  |  | 18414615 |
| Water Utilities - 4.9% |  |  |  |
| Anglian Water Osprey Financing PLC 2% 7/31/2028 (b) | GBP | 2415000 | 2910512 |
| Anglian Water Services Financing PLC 5.875% 6/20/2031 (b) | GBP | 2055000 | 2837630 |
| Anglian Water Services Financing PLC 6.25% 9/12/2044 (b) | GBP | 600000 | 765685 |
| Anglian Water Services Financing PLC 6.293% 7/30/2030 (b) | GBP | 7155000 | 10035623 |
| Anglian Water Services Financing PLC 6.625% 1/15/2029 (g) | GBP | 5405000 | 7604359 |
| Northumbrian Water Finance PLC 4.5% 2/14/2031 (b) | GBP | 8920000 | 11578040 |
| Severn Trent Utilities Finance PLC 3.875% 8/4/2035 (b) | EUR | 4425000 | 5239334 |
| Severn Trent Utilities Finance PLC 4.625% 11/30/2034 (b) | GBP | 5005000 | 6303169 |
| South West Water Finance PLC 5.25% 9/15/2031 (b) | GBP | 5425000 | 7242700 |
| South West Water Finance PLC 5.75% 12/11/2032 (b) | GBP | 3735000 | 5114227 |
| SW Finance I PLC 6.875% 8/7/2032 (b) | GBP | 6565000 | 8933220 |
| SW Finance I PLC 7.375% 12/12/2041 (b) | GBP | 2421000 | 3227802 |
| United Utilities Water Finance PLC 3.5% 2/27/2033 (b) | EUR | 2640000 | 3079694 |
| Wessex Water Services Finance PLC 6.125% 9/19/2034 (b) | GBP | 4500000 | 6112923 |
| Yorkshire Water Finance PLC 6% 7/22/2033 (b) | GBP | 4660000 | 6251453 |
|  |  |  | 87236371 |
| TOTAL UTILITIES |  |  | 105650986 |
| TOTAL UNITED KINGDOM |  |  | 302476634 |
| UNITED STATES - 4.8%  |  |  |  |
| Communication Services - 0.2% |  |  |  |
| Interactive Media & Services - 0.2% |  |  |  |
| Alphabet Inc 3.375% 5/6/2037  | EUR | 940000 | 1088572 |
| Alphabet Inc 3.875% 5/6/2045  | EUR | 1000000 | 1158511 |
| Alphabet Inc 4% 5/6/2054  | EUR | 700000 | 802102 |
|  |  |  | 3049185 |
| Consumer Discretionary - 0.8% |  |  |  |
| Automobiles - 0.5% |  |  |  |
| Stellantis Finance US Inc 5.75% 3/18/2030 (e) |  | 8594000 | 8741426 |
| Hotels, Restaurants & Leisure - 0.3% |  |  |  |
| McDonald's Corp 3.5% 5/21/2032 (b) | EUR | 5480000 | 6521877 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 15263303 |
| Consumer Staples - 0.8% |  |  |  |
| Tobacco - 0.8% |  |  |  |
| Philip Morris International Inc 3.25% 6/6/2032  | EUR | 12010000 | 14013689 |
| Financials - 1.6% |  |  |  |
| Banks - 0.3% |  |  |  |
| Citigroup Inc 4.296% 7/23/2036 (d) | EUR | 3680000 | 4408009 |
| JPMorgan Chase & Co 3.761% 3/21/2034 (b)(d) | EUR | 900000 | 1081896 |
|  |  |  | 5489905 |
| Capital Markets - 0.4% |  |  |  |
| Blackstone Private Credit Fund 4.875% 4/14/2026 (b) | GBP | 2494000 | 3349395 |
| Morgan Stanley 3.955% 3/21/2035 (d) | EUR | 950000 | 1144486 |
| Morgan Stanley 4.099% 5/22/2036 (d) | EUR | 2300000 | 2785768 |
|  |  |  | 7279649 |
| Consumer Finance - 0.9% |  |  |  |
| Ford Motor Credit Co LLC 4.445% 2/14/2030  | EUR | 2935000 | 3514499 |
| Ford Motor Credit Co LLC 5.875% 11/7/2029  |  | 3740000 | 3805140 |
| Ford Motor Credit Co LLC 6.184% 8/29/2031  | GBP | 3725000 | 5024885 |
| Stellantis Financial Services US Corp 5.4% 9/15/2030 (e) |  | 4022000 | 4030431 |
|  |  |  | 16374955 |
| TOTAL FINANCIALS |  |  | 29144509 |
| Information Technology - 0.1% |  |  |  |
| Software - 0.1% |  |  |  |
| Fiserv Funding ULC 3.5% 6/15/2032  | EUR | 1790000 | 2096336 |
| Real Estate - 1.1% |  |  |  |
| Diversified REITs - 0.0% |  |  |  |
| WP Carey Inc 4.25% 7/23/2032  | EUR | 300000 | 364783 |
| Industrial REITs - 0.2% |  |  |  |
| Prologis Euro Finance LLC 3.25% 9/22/2032  | EUR | 3680000 | 4302196 |
| Retail REITs - 0.3% |  |  |  |
| Realty Income Corp 3.375% 6/20/2031  | EUR | 4875000 | 5740442 |
| Specialized REITs - 0.6% |  |  |  |
| American Tower Corp 3.625% 5/30/2032  | EUR | 7500000 | 8952116 |
| TOTAL REAL ESTATE |  |  | 19359537 |
| Utilities - 0.2% |  |  |  |
| Electric Utilities - 0.2% |  |  |  |
| Duke Energy Corp 3.85% 6/15/2034  | EUR | 1403000 | 1648651 |
| Southern Co/The 1.875% 9/15/2081 (d) | EUR | 1211000 | 1367502 |
|  |  |  | 3016153 |
| TOTAL UNITED STATES |  |  | 85942712 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $1,019,675,611) |  |  | <br> **1072908337** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 3.0%** | &nbsp;&nbsp;**Preferred Securities - 3.0%** | &nbsp;&nbsp;**Preferred Securities - 3.0%** | &nbsp;&nbsp;**Preferred Securities - 3.0%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CZECH REPUBLIC - 0.0%  |  |  |  |
| Real Estate - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| CPI Property Group SA 3.75% (b)(d)(f) | EUR | 2040000 | 2159575 |
| FINLAND - 0.2%  |  |  |  |
| Real Estate - 0.2% |  |  |  |
| Real Estate Management & Development - 0.2% |  |  |  |
| Citycon Oyj 7.875% (b)(d)(f) | EUR | 3407000 | 3960228 |
| GERMANY - 1.3%  |  |  |  |
| Consumer Discretionary - 0.5% |  |  |  |
| Automobiles - 0.5% |  |  |  |
| Volkswagen International Finance NV 3.748% (b)(d)(f) | EUR | 100000 | 120473 |
| Volkswagen International Finance NV 3.875% (b)(d)(f) | EUR | 7600000 | 8845004 |
|  |  |  | 8965477 |
| Real Estate - 0.8% |  |  |  |
| Real Estate Management & Development - 0.8% |  |  |  |
| Aroundtown Finance Sarl 7.875% (d)(f) |  | 3940000 | 4198016 |
| Aroundtown SA 5 year ISDA Fixed EURIBOR + 3.98%, 6.193% (b)(d)(f)(h) | EUR | 4300000 | 5155137 |
| Grand City Properties SA 1.5% (b)(d)(f) | EUR | 4000000 | 4614466 |
|  |  |  | 13967619 |
| TOTAL GERMANY |  |  | 22933096 |
| SWEDEN - 0.4%  |  |  |  |
| Real Estate - 0.4% |  |  |  |
| Real Estate Management & Development - 0.4% |  |  |  |
| Heimstaden Bostad AB 3.625% (b)(d)(f) | EUR | 5225000 | 6191342 |
| Samhallsbyggnadsbolaget i Norden AB 5 year EUR Swap Annual Index + 2.814%, 4.9355% (b)(d)(f)(h)(i) | EUR | 647000 | 531446 |
| TOTAL SWEDEN |  |  | 6722788 |
| SWITZERLAND - 0.0%  |  |  |  |
| Financials - 0.0% |  |  |  |
| Capital Markets - 0.0% |  |  |  |
| Credit Suisse Group AG Claim 5 year USD Swap Index + 4.598%, 0% (b)(d)(f)(h)(i)(j) |  | 611000 | 51935 |
| UNITED KINGDOM - 1.1%  |  |  |  |
| Consumer Staples - 0.9% |  |  |  |
| Tobacco - 0.9% |  |  |  |
| British American Tobacco PLC 3% (b)(d)(f) | EUR | 14002000 | 16783148 |
| Industrials - 0.2% |  |  |  |
| Ground Transportation - 0.2% |  |  |  |
| Mobico Group PLC 4.25% (b)(d)(f) | GBP | 3430000 | 2932962 |
| Utilities - 0.0% |  |  |  |
| Electric Utilities - 0.0% |  |  |  |
| SSE PLC 3.74% (b)(d)(f) | GBP | 337000 | 457912 |
| TOTAL UNITED KINGDOM |  |  | 20174022 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $47,793,505) |  |  | <br> **56001644** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 23.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 23.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 23.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 23.6%** |
|  | Yield (%) (k) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.125% 8/15/2040  | 4.51 | 700000 | 441437 |
| US Treasury Bonds 2.25% 5/15/2041  | 4.12 to 4.83 | 16900000 | 12521184 |
| US Treasury Bonds 3.25% 5/15/2042  | 4.15 | 580200 | 487412 |
| US Treasury Bonds 3.875% 8/15/2040  | 4.60 | 4800000 | 4474313 |
| US Treasury Bonds 4% 11/15/2042 (l) | 3.89 to 4.17 | 6000000 | 5547188 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.14 to 4.75 | 3925000 | 3643197 |
| US Treasury Bonds 4.5% 11/15/2054  | 4.61 | 9500000 | 9147090 |
| US Treasury Bonds 4.5% 2/15/2044  | 4.44 to 4.83 | 6500000 | 6357559 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.86 | 1130000 | 1119494 |
| US Treasury Bonds 4.625% 2/15/2040  | 4.60 to 4.81 | 29177000 | 29695576 |
| US Treasury Bonds 4.625% 5/15/2044  | 4.42 to 4.72 | 2620000 | 2600862 |
| US Treasury Bonds 5% 5/15/2045  | 4.83 to 4.98 | 26100000 | 27103219 |
| US Treasury Bonds 6.25% 5/15/2030  | 3.41 to 4.46 | 18050000 | 19962877 |
| US Treasury Notes 1% 7/31/2028  | 4.19 | 15000000 | 13945898 |
| US Treasury Notes 3.5% 2/15/2033  | 4.32 | 200000 | 194163 |
| US Treasury Notes 3.625% 9/30/2031  | 3.66 to 4.23 | 11500000 | 11365234 |
| US Treasury Notes 3.75% 12/31/2028  | 4.03 | 700000 | 702215 |
| US Treasury Notes 3.75% 12/31/2030  | 4.07 | 1600000 | 1598250 |
| US Treasury Notes 3.75% 8/31/2031  | 3.64 | 3300000 | 3285047 |
| US Treasury Notes 3.875% 4/30/2030  | 3.92 | 18927000 | 19046772 |
| US Treasury Notes 3.875% 8/31/2032  | 3.87 | 7400000 | 7378031 |
| US Treasury Notes 4% 2/15/2034  | 4.19 to 4.50 | 3500000 | 3490840 |
| US Treasury Notes 4% 3/31/2030  | 4.01 | 8470000 | 8566942 |
| US Treasury Notes 4% 4/30/2032  | 4.06 to 4.29 | 28900000 | 29068207 |
| US Treasury Notes 4% 6/30/2032  | 4.04 | 5225000 | 5251941 |
| US Treasury Notes 4% 7/31/2032  | 4.01 | 1260000 | 1265906 |
| US Treasury Notes 4.125% 10/31/2031  | 4.34 to 4.41 | 48000000 | 48701250 |
| US Treasury Notes 4.125% 2/28/2027  | 4.01 | 4400000 | 4426297 |
| US Treasury Notes 4.125% 2/29/2032  | 4.20 | 10550000 | 10692178 |
| US Treasury Notes 4.125% 3/31/2032  | 3.88 to 4.04 | 17510000 | 17742555 |
| US Treasury Notes 4.125% 5/31/2032  | 4.13 to 4.29 | 20735000 | 20998847 |
| US Treasury Notes 4.125% 7/31/2031  | 3.59 to 3.97 | 1200000 | 1218316 |
| US Treasury Notes 4.25% 2/28/2029  | 4.19 to 4.30 | 6420000 | 6542130 |
| US Treasury Notes 4.25% 5/15/2035  | 4.22 to 4.48 | 39970000 | 40338473 |
| US Treasury Notes 4.25% 8/15/2035  | 4.29 | 2340000 | 2359013 |
| US Treasury Notes 4.375% 11/30/2028  | 3.89 to 3.91 | 3700000 | 3779926 |
| US Treasury Notes 4.375% 12/31/2029  | 4.39 | 3200000 | 3282750 |
| US Treasury Notes 4.5% 11/15/2033  | 3.94 to 4.14 | 4250000 | 4394102 |
| US Treasury Notes 4.625% 2/15/2035  | 4.40 to 4.44 | 8740000 | 9083649 |
| US Treasury Notes 4.625% 4/30/2029  | 4.40 to 4.72 | 12350000 | 12744139 |
| US Treasury Notes 4.75% 2/15/2045  | 4.51 to 4.86 | 8930000 | 8985813 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $418,715,159) |  |  | **423550292** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (m)<br>(Cost $66,112,870)<br>| 4.21 | 66099650 | **66112870** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.3%**<br> (Cost $1,717,221,691)<br>| <br>**1786177419** |
| **NET OTHER ASSETS (LIABILITIES) - 0.7%**  | **11919656** |
| **NET ASSETS - 100.0%** | **1798097075** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Ultra Notes Contracts (United States) | 49 | 12/19/2025 | 5639594 | 693 | 693 |
| CBOT US Treasury Long Bond Contracts (United States) | 121 | 12/19/2025 | 14107844 | 280734 | 280734 |
| TOTAL PURCHASED |  |  |  |  | 281427 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| Eurex Euro-Bund Contracts (Germany) | 20 | 12/8/2025 | 3018952 | 3277 | 3277 |
| ICE United Kingdom of Great Britain and Northern Ireland Contracts (United Kingdom) | 284 | 12/29/2025 | 34696483 | (141875) | (141875) |
| TOTAL SOLD |  |  |  |  | (138598) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **142829** |
| The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% | The notional amount of futures purchased as a percentage of Net Assets is 1.1% |
| The notional amount of futures sold as a percentage of Net Assets is 2.0% | The notional amount of futures sold as a percentage of Net Assets is 2.0% | The notional amount of futures sold as a percentage of Net Assets is 2.0% | The notional amount of futures sold as a percentage of Net Assets is 2.0% | The notional amount of futures sold as a percentage of Net Assets is 2.0% | The notional amount of futures sold as a percentage of Net Assets is 2.0% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| CAD | 3413000 | USD | 2450947 | JPMorgan Chase Bank NA | 10/1/2025 | 1449 |
| EUR | 919000 | USD | 1074706 | BNP Paribas SA | 10/3/2025 | 4316 |
| EUR | 846000 | USD | 984147 | BNP Paribas SA | 10/3/2025 | 9164 |
| EUR | 600000 | USD | 707173 | BNP Paribas SA | 10/3/2025 | (2697) |
| EUR | 4502000 | USD | 5209242 | Goldman Sachs Bank USA | 10/3/2025 | 76674 |
| EUR | 776000 | USD | 910132 | State Street Bank & Trust Co | 10/3/2025 | 990 |
| GBP | 175000 | USD | 238757 | BNP Paribas SA | 10/3/2025 | (3398) |
| GBP | 2869000 | USD | 3878769 | Bank of America NA | 10/3/2025 | (20228) |
| GBP | 372000 | USD | 495985 | Bank of America NA | 10/3/2025 | 4321 |
| GBP | 347000 | USD | 466733 | JPMorgan Chase Bank NA | 10/3/2025 | (50) |
| GBP | 1432000 | USD | 1941316 | JPMorgan Chase Bank NA | 10/3/2025 | (15408) |
| USD | 391852 | AUD | 595000 | Brown Brothers Harriman & Co. | 10/3/2025 | (1865) |
| USD | 301396 | AUD | 458000 | Brown Brothers Harriman & Co. | 10/3/2025 | (1668) |
| USD | 15971558 | AUD | 24282000 | Citibank NA | 10/3/2025 | (96088) |
| USD | 1342952 | AUD | 2051000 | JPMorgan Chase Bank NA | 10/3/2025 | (14216) |
| USD | 517294 | AUD | 789000 | JPMorgan Chase Bank NA | 10/3/2025 | (4795) |
| USD | 2265812 | CAD | 3129000 | Bank of America NA | 10/3/2025 | 17364 |
| USD | 1952891 | CAD | 2662000 | Canadian Imperial Bank of Commerce | 10/3/2025 | 40022 |
| USD | 2783706 | CAD | 3876000 | JPMorgan Chase Bank NA | 10/3/2025 | (1524) |
| USD | 55967739 | CAD | 75673000 | JPMorgan Chase Bank NA | 10/3/2025 | 1590360 |
| USD | 1327709 | CAD | 1830000 | JPMorgan Chase Bank NA | 10/3/2025 | 12701 |
| USD | 1859068 | CAD | 2554000 | JPMorgan Chase Bank NA | 10/3/2025 | 23806 |
| USD | 698508685 | EUR | 590379000 | BNP Paribas SA | 10/3/2025 | 5329252 |
| USD | 2975771 | EUR | 2566000 | BNP Paribas SA | 10/3/2025 | (37036) |
| USD | 2981024 | EUR | 2538000 | BNP Paribas SA | 10/3/2025 | 1092 |
| USD | 17874661 | EUR | 15252000 | BNP Paribas SA | 10/3/2025 | (33112) |
| USD | 4971002 | EUR | 4200000 | Bank of America NA | 10/3/2025 | 39672 |
| USD | 1353969 | EUR | 1154000 | Bank of America NA | 10/3/2025 | (972) |
| USD | 2464378 | EUR | 2107000 | Bank of America NA | 10/3/2025 | (9506) |
| USD | 4396367 | EUR | 3745000 | Bank of America NA | 10/3/2025 | (736) |
| USD | 741217 | EUR | 630000 | Bank of America NA | 10/3/2025 | 1517 |
| USD | 1491085 | EUR | 1271000 | Citibank NA | 10/3/2025 | (1229) |
| USD | 20201699 | EUR | 17317000 | Citibank NA | 10/3/2025 | (130644) |
| USD | 1785907 | EUR | 1538000 | Goldman Sachs Bank USA | 10/3/2025 | (19899) |
| USD | 3659842 | EUR | 3112000 | JPMorgan Chase Bank NA | 10/3/2025 | 5961 |
| USD | 791934 | EUR | 674000 | JPMorgan Chase Bank NA | 10/3/2025 | 573 |
| USD | 378527 | EUR | 324000 | JPMorgan Chase Bank NA | 10/3/2025 | (1889) |
| USD | 1387136 | EUR | 1178000 | JPMorgan Chase Bank NA | 10/3/2025 | 4015 |
| USD | 597139 | EUR | 518000 | JPMorgan Chase Bank NA | 10/3/2025 | (11058) |
| USD | 1764773 | EUR | 1513000 | JPMorgan Chase Bank NA | 10/3/2025 | (11680) |
| USD | 1169703 | EUR | 1000000 | JPMorgan Chase Bank NA | 10/3/2025 | (4423) |
| USD | 3417114 | EUR | 2913000 | JPMorgan Chase Bank NA | 10/3/2025 | (3115) |
| USD | 10562642 | EUR | 8963000 | JPMorgan Chase Bank NA | 10/3/2025 | 38949 |
| USD | 10383217 | EUR | 9037000 | JPMorgan Chase Bank NA | 10/3/2025 | (227362) |
| USD | 7186027 | EUR | 6081000 | JPMorgan Chase Bank NA | 10/3/2025 | 46165 |
| USD | 336030 | EUR | 286000 | Royal Bank of Canada | 10/3/2025 | 230 |
| USD | 874699 | GBP | 658000 | BNP Paribas SA | 10/3/2025 | (10251) |
| USD | 747918 | GBP | 562000 | BNP Paribas SA | 10/3/2025 | (7920) |
| USD | 219180048 | GBP | 160545000 | BNP Paribas SA | 10/3/2025 | 3261810 |
| USD | 542953 | GBP | 400000 | Bank of America NA | 10/3/2025 | 4990 |
| USD | 322430 | GBP | 236000 | Bank of America NA | 10/3/2025 | 5032 |
| USD | 258681 | GBP | 191000 | Bank of America NA | 10/3/2025 | 1804 |
| USD | 472189 | GBP | 348000 | Citibank NA | 10/3/2025 | 4161 |
| USD | 4522942 | GBP | 3347000 | Goldman Sachs Bank USA | 10/3/2025 | 21535 |
| USD | 752190 | GBP | 557000 | JPMorgan Chase Bank NA | 10/3/2025 | 3076 |
| USD | 3320177 | GBP | 2443000 | JPMorgan Chase Bank NA | 10/3/2025 | 34567 |
| USD | 1204493 | GBP | 889000 | JPMorgan Chase Bank NA | 10/3/2025 | 8870 |
| USD | 101375 | GBP | 76000 | JPMorgan Chase Bank NA | 10/3/2025 | (838) |
| USD | 5549523 | GBP | 4135000 | JPMorgan Chase Bank NA | 10/3/2025 | (11671) |
| USD | 4503211 | GBP | 3319000 | JPMorgan Chase Bank NA | 10/3/2025 | 39462 |
| USD | 508941 | GBP | 380000 | JPMorgan Chase Bank NA | 10/3/2025 | (2124) |
| USD | 131170 | GBP | 97000 | Royal Bank of Canada | 10/3/2025 | 714 |
| USD | 1840397 | GBP | 1366000 | State Street Bank & Trust Co | 10/3/2025 | 3253 |
| USD | 27466407 | JPY | 3943950000 | JPMorgan Chase Bank NA | 10/3/2025 | 794282 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **10744747** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 11432149 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (687402) |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount | Notional<br> Amount | Value ($) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| BMW Finance NV 0.75% 7/13/2026 | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 16500000 | (442958) | 301347 | (141611) |
| Generali 4.125% 5/4/2026 | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 7700000 | (70370) | (26414) | (96784) |
| Societe Generale SA 5.25% 9/6/2032 | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 6900000 | 45623 | (53951) | (8328) |
| Deutsche Bank AG 5.625% 5/19/2031 | 6/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 5750000 | 59346 | (139015) | (79669) |
| Allianz SE 2.121% 7/8/2050 | 12/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 13550000 | (190482) | 158207 | (32275) |
| BMW Finance NV 0.75% 7/13/2026 | 12/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 4250000 | (112269) | 90163 | (22106) |
| Deutsche Bank AG 5.625% 5/19/2031 | 12/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1400000 | 25607 | (26870) | (1263) |
| Societe Generale SA 5.25% 9/6/2032 | 12/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 1800000 | 24878 | (24116) | 762 |
| Generali 4.125% 5/4/2026 | 12/20/2030 | BNP Paribas SA | (1%) | Quarterly | EUR | 2100000 | (10202) | 4732 | (5470) |
| Aviva PLC 6.125% 11/14/2036 | 12/20/2030 | Citibank NA | (1%) | Quarterly | EUR | 10550000 | (18119) | 2989 | (15130) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 | 6/20/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 7200000 | (54938) | (45784) | (100722) |
| Commerzbank AG 4% 12/5/2030 | 12/20/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 8900000 | 62962 | (110105) | (47143) |
| Heidelberg Materials AG 3.75% 5/31/2032 | 12/20/2030 | JPMorgan Chase Bank NA | (5%) | Quarterly | EUR | 10670000 | (2654043) | 2575708 | (78335) |
| Intesa Sanpaolo SpA 6.184% 2/20/2034 | 12/20/2030 | JPMorgan Chase Bank NA | (1%) | Quarterly | EUR | 1850000 | (4760) | 1041 | (3719) |
| UniCredit SpA 5.375% 4/16/2034 | 6/20/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 6900000 | (22649) | (62332) | (84981) |
| UniCredit SpA 5.375% 4/16/2034 | 12/20/2030 | Goldman Sachs Bank USA | (1%) | Quarterly | EUR | 900000 | 2293 | (6053) | (3760) |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **(3360081)** | **2639547** | **(720534)** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| JPY | - | Japanese Yen |
| USD | - | United States Dollar |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $962,271,728 or 53.5% of net assets.

(c) Zero coupon bond which is issued at a discount.

(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $113,096,932 or 6.3% of net assets.

(f) Security is perpetual in nature with no stated maturity date.

(g) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

(h) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

(i) Non-income producing - Security is in default.

(j) Level 3 security.

(k) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(l) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,713,157.

(m) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 48295811 | 754325279 | 736510317 | 1871466 | 2097 | - | 66112870 | 66099650 | 0.1% |
| Total | 48295811 | 754325279 | 736510317 | 1871466 | 2097 | - | 66112870 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations, Foreign Government and Government Agency Obligations, Non-Convertible Corporate Bonds and Preferred Securities are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

*The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Fidelity Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

**Item A.2. Information about the Series.**

- **a. Name of Series:** Fidelity SAI International Credit Fund

- **b. EDGAR series identifier (if any):** S000079760

- **c. LEI of Series:** 549300TEODSY2J57HD41

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $1930251914.83

**Total Liabilities:** $132160221.68

**Net Assets:** $1798091693.15

**Cash Not Reported:** $2546167.73

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 35680.50537813 | **1-Year:** 155609.49747104 | **5-Year:** 453494.34466052 | **10-Year:** 279288.88238234 | **30-Year:** 55769.56553355

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 4573.37057725 | **1-Year:** 14809.17726382 | **5-Year:** 22797.14515992 | **10-Year:** 5046.51634374 | **30-Year:** 525.53897972

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241080 | 0.47%                | 0.65%                | 0.74%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4439570.96              | $-1483453.18                               |
| Month 2  | $1803883.39              | $3446626.01                                |
| Month 3  | $3086076.53              | $4809997.55                                |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate Credit Ex US Index

- **Index Identifier:** 77906588

### Schedule of Portfolio Investments

| Name                                              | Title                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC 6.25% 09/12/2044 REGS               | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |     600000 | PA      | $765685.40    | 0.04%             | 2044-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC STEP 01/15/2029                     | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |    5405000 | PA      | $7604359.36   | 0.42%             | 2029-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE LLC                         | PROLOGIS EURO FINL LLC 3.25% 09/22/2032                           | CUSIP: 74341EAT9<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $4302195.66   | 0.24%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | SOCIETE GENERALE FRANCE 6.691%/VAR 01/10/2034 144A                | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    5340000 | PA      | $5816425.13   | 0.32%             | 2034-01-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                | RWE FINANCE US LLC 5.875% 04/16/2034 144A                         | CUSIP: 749983AA0<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    8173000 | PA      | $8586113.36   | 0.48%             | 2034-04-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                            | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3336000 | PA      | $3501213.90   | 0.19%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $21534.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $46165.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                              | ROMANIA REPUBLIC OF 6.375% 09/18/2033 REGS                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    3700000 | PA      | $4554668.28   | 0.25%             | 2033-09-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 3.25% 12/01/2033                             | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6200000 | PA      | $4516962.18   | 0.25%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 0.125% 01/09/2032 REGS             | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |   11924000 | PA      | $11981866.68  | 0.67%             | 2032-01-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                             | CPI PROPERTY GROUP SA 6% 01/27/2032 REGS                          | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |    6835000 | PA      | $8175093.60   | 0.45%             | 2032-01-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.375% 11/30/2028                                       | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3700000 | PA      | $3779925.77   | 0.21%             | 2028-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                               | INTESA SANPAOLO SPA 6.625% 06/20/2033 144A                        | CUSIP: 46115HBZ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    3900000 | PA      | $4292811.08   | 0.24%             | 2033-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE NETHERLANDS B.V.          | IMPERIAL BRANDS FINANCE NETHERLANDS B.V. 5.25% 02/15/2031 REGS    | CUSIP: N/A<br>LEI: 724500GIEFJOBWGD0272       | Long             | DBT              | CORP              | NL        |    8995000 | PA      | $11460567.36  | 0.64%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                              | HEATHROW FUNDING LTD 6% 03/05/2032 REGS                           | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |    9635000 | PA      | $13126422.27  | 0.73%             | 2032-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 2.75% 06/01/2033                             | CUSIP: 135087Q23<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     165000 | PA      | $116428.63    | 0.01%             | 2033-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                        | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                   | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    7600000 | PA      | $8744592.09   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 DB B                                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    1400000 | NC      | $25606.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                  | BAYER US FIN LLC 6.5% 11/21/2033 144A                             | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |   15465000 | PA      | $16682493.41  | 0.93%             | 2033-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC 5.875% 06/20/2031 REGS              | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |    2055000 | PA      | $2837630.45   | 0.16%             | 2031-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | STANDARD CHARTERED PLC 3.864%/VAR 03/17/2033 REGS                 | CUSIP: N/A<br>LEI: U4LOSYZ7YG4W3S5F2G91       | Long             | DBT              | CORP              | GB        |    4955000 | PA      | $5921673.32   | 0.33%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF      | CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF 3.5% 09/22/2032 REGS | CUSIP: N/A<br>LEI: 529900ZG3L6Z4K64S041       | Long             | DBT              | CORP              | LU        |    5200000 | PA      | $6052605.33   | 0.34%             | 2032-09-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                     | P3 GROUP SARL 3.75% 04/02/2033 REGS                               | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |    2900000 | PA      | $3389084.43   | 0.19%             | 2033-04-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                        | VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS                   | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |     100000 | PA      | $117166.98    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                            | SIRIUS REAL ESTATE LTD 4% 01/22/2032 REGS                         | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |    2400000 | PA      | $2808303.52   | 0.16%             | 2032-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                              | VOLKSWAGEN BANK GMBH 3.5% 06/19/2031 REGS                         | CUSIP: N/A<br>LEI: 529900GJD3OQLRZCKW37       | Long             | DBT              | CORP              | DE        |    3500000 | PA      | $4112466.83   | 0.23%             | 2031-06-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION 3.375% 12/12/2035 REGS                             | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |    3587000 | PA      | $4288658.20   | 0.24%             | 2035-12-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                           | VEOLIA ENVIRONNEMENT SA 3.324% 06/17/2032 REGS                    | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | DBT              | CORP              | FR        |   10300000 | PA      | $12099502.29  | 0.67%             | 2032-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.5% 02/15/2044                       | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6500000 | PA      | $6357558.61   | 0.35%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/AUD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-14216.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE BANK                                        | JYSKE BANK AS 5.125%/VAR 05/01/2035 REGS                          | CUSIP: N/A<br>LEI: 3M5E1GQGKL17HI6CPN30       | Long             | DBT              | CORP              | DK        |    2788000 | PA      | $3465089.53   | 0.19%             | 2035-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11671.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.75% 12/31/2030                                        | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1598250.00   | 0.09%             | 2030-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVS FIN PLC                        | WESSEX WATER SERVS FIN PLC 6.125% 09/19/2034 REGS                 | CUSIP: N/A<br>LEI: 213800B9BFRCA1YMEI57       | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $6112923.01   | 0.34%             | 2034-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                             | ELECTRICITE DE FRANCE 4.75% 10/12/2034 REGS                       | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1639517.28   | 0.09%             | 2034-10-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 3.875% 08/15/2040                     | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4800000 | PA      | $4474312.51   | 0.25%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                   | PHILIP MORRIS INTL INC 3.25% 06/06/2032                           | CUSIP: 718172DW6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   12010000 | PA      | $14013688.85  | 0.78%             | 2032-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.625% 02/15/2040                     | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29177000 | PA      | $29695575.66  | 1.65%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLSBERG BREWERIES A/S                           | CARLSBERG BREWERIES A/S 3.25% 02/28/2032 REGS                     | CUSIP: N/A<br>LEI: 5493008YL42784DMWN61       | Long             | DBT              | CORP              | DK        |    4125000 | PA      | $4856939.95   | 0.27%             | 2032-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-227361.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | ALPHABET INC 3.375% 05/06/2037                                    | CUSIP: 02079KAR8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     940000 | PA      | $1088572.29   | 0.06%             | 2037-05-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 ALVGR B                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |   13550000 | NC      | $-190482.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS 2.159%/VAR 09/15/2029 144A                            | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    4560000 | PA      | $4276766.32   | 0.24%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.75% 08/31/2031                                        | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3300000 | PA      | $3285046.88   | 0.18%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REWE INT FINANCE                                  | REWE INT FINANCE 4.875% 09/13/2030 REGS                           | CUSIP: N/A<br>LEI: 5299003XLG8J4YTHLX44       | Long             | DBT              | CORP              | NL        |    6600000 | PA      | $8319728.41   | 0.46%             | 2030-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE OPEN-ENDED FUNDS SCA SICAV-SIF               | CBRE OPEN-ENDED FUNDS SCA SICAV-SIF 4.75% 03/27/2034 REGS         | CUSIP: N/A<br>LEI: 529900J5H3JGJ83AUZ88       | Long             | DBT              | CORP              | LU        |    4635000 | PA      | $5741293.39   | 0.32%             | 2034-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | ENEL FINANCE INTL NV 5.5% 06/26/2034 144A                         | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    5595000 | PA      | $5792746.04   | 0.32%             | 2034-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIER GAS TRANSPORT GMBH                           | VIER GAS TRANSPORT GMBH 3.625% 09/08/2033 REGS                    | CUSIP: N/A<br>LEI: 529900AGED6PJE9AVL37       | Long             | DBT              | CORP              | DE        |    6000000 | PA      | $7045215.77   | 0.39%             | 2033-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $5032.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 02/15/2034                                           | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3500000 | PA      | $3490839.84   | 0.19%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $8869.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-7919.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: GBP/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-3397.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.625% 05/15/2044                     | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2620000 | PA      | $2600861.71   | 0.14%             | 2044-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $1091.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $4015.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                  | VODAFONE GROUP PLC BPSW5+NA 10/03/2078 REGS                       | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |     525000 | PA      | $705913.44    | 0.04%             | 2078-10-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                    | RCI BANQUE S A 4.75%/VAR 03/24/2037 REGS                          | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |    2400000 | PA      | $2866894.88   | 0.16%             | 2037-03-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 SOCGE B                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    1800000 | NC      | $24878.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 12/20/30 HEIGR B                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |   10670000 | NC      | $-2654043.12  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CAIXABANK SA 3.625%/VAR 09/19/2032 REGS                           | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |    3300000 | PA      | $3944669.35   | 0.22%             | 2032-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                      | BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS                     | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EP               | CORP              | GB        |   14002000 | PA      | $16408553.68  | 0.91%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 5.813%/VAR 05/22/2033 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |   11060000 | PA      | $15294540.75  | 0.85%             | 2033-05-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 4% 03/15/2029                      | CUSIP: 500769KC7<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |    9475000 | PA      | $9570819.25   | 0.53%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.625% 02/15/2035                                       | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8740000 | PA      | $9083648.93   | 0.51%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.375% 12/31/2029                                       | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3200000 | PA      | $3282750.02   | 0.18%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: GBP/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-15408.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2123.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY               | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |          1 | NC      | $3252.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $39461.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 0% 01/10/2031 REGS                 | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |    2800000 | PA      | $2880796.73   | 0.16%             | 2031-01-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA 5.716%/VAR 01/18/2030 144A                                | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   10945000 | PA      | $11318766.06  | 0.63%             | 2030-01-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                               | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                        | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    2220000 | PA      | $2867769.45   | 0.16%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3115.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                         | STELLANTIS FINANCE US INC 5.75% 03/18/2030 144A                   | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    8594000 | PA      | $8741425.43   | 0.49%             | 2030-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 07/31/2031                                       | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1200000 | PA      | $1218315.96   | 0.07%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                | RWE FINANCE US LLC 5.125% 09/18/2035 144A                         | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1035688.70   | 0.06%             | 2035-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CAIXABANK SA 6.84%/VAR 09/13/2034 144A                            | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    5205000 | PA      | $5799800.59   | 0.32%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.625% 11/15/2044                     | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1130000 | PA      | $1119494.53   | 0.06%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | EUROPEAN INVESTMENT BANK 2.5% 05/14/2032 REGS                     | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |     145000 | PA      | $168341.86    | 0.01%             | 2032-05-14      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | ENEL FINANCE INTL NV 4.375% 09/30/2030 144A                       | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    2695000 | PA      | $2676670.69   | 0.15%             | 2030-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                          | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                       | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |    4000000 | PA      | $4592464.75   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                              | HEIMSTADEN BOSTAD AB 3.875% 11/05/2029 REGS                       | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |    8160000 | PA      | $9696245.65   | 0.54%             | 2029-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0.1% 11/01/2025                               | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1110000000 | PA      | $7503430.37   | 0.42%             | 2025-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 6.254%/VAR 03/09/2034                           | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2815000 | PA      | $3065852.03   | 0.17%             | 2034-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                   | FX Forward: USD/AUD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1667.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | AMPRION GMBH 4.125% 09/07/2034 REGS                               | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |    6000000 | PA      | $7309234.72   | 0.41%             | 2034-09-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                    | JOHN LEWIS PLC 4.25% 12/18/2034 REGS                              | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |    4805000 | PA      | $5255430.40   | 0.29%             | 2034-12-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC 6.293% 07/30/2030 REGS              | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |    7155000 | PA      | $10035622.22  | 0.56%             | 2030-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                      | WP CAREY INC 4.25% 07/23/2032                                     | CUSIP: N/A<br>LEI: 54930042CRNE713E3Q67       | Long             | DBT              | CORP              | US        |     300000 | PA      | $364783.53    | 0.02%             | 2032-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A               | BANCO BILBAO VIZ ARGENTARIA SA 6.033%/VAR 03/13/2035              | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    6800000 | PA      | $7230563.69   | 0.40%             | 2035-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                | FX Forward: USD/CAD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $40021.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC          | SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC 3.375% 09/04/2032 REGS   | CUSIP: N/A<br>LEI: 549300ECJZDA7203MK64       | Long             | DBT              | CORP              | GB        |    4600000 | PA      | $5405759.96   | 0.30%             | 2032-09-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                      | SOUTH WEST WATER FINANCE PLC 5.75% 12/11/2032 REGS                | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |    3735000 | PA      | $5114227.36   | 0.28%             | 2032-12-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $5961.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | EUROPEAN INVESTMENT BANK 2.375% 05/15/2030 REGS                   | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |   15965000 | PA      | $18677908.29  | 1.04%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 2.25% 05/15/2041                      | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16900000 | PA      | $12521183.64  | 0.70%             | 2041-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                  | SW FINANCE I PLC 6.875% 08/07/2032 REGS                           | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |    6565000 | PA      | $8933219.41   | 0.50%             | 2032-08-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | LOGICOR FINANCING SARL 2% 01/17/2034 REGS                         | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |    7520000 | PA      | $7553136.63   | 0.42%             | 2034-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                 | JAPAN TOBACCO INC 5.856% 06/15/2035 144A                          | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    7440000 | PA      | $7922474.55   | 0.44%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | LOGICOR FINANCING SARL 3.75% 07/14/2032 REGS                      | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |    1545000 | PA      | $1812801.82   | 0.10%             | 2032-07-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                    | CITI SWAP CDS 12/20/30 AVLN B                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |   10550000 | NC      | $-18118.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                       | YORKSHIRE WATER FINANCE PLC 6% 07/22/2033 REGS                    | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |    4660000 | PA      | $6251453.26   | 0.35%             | 2033-07-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GROUP PLC                   | MOTABILITY OPERATIONS GRP PLC 3.625% 01/22/2033 REGS              | CUSIP: N/A<br>LEI: AZ3NL8JCZDCNUXFWI720       | Long             | DBT              | CORP              | GB        |    6120000 | PA      | $7203357.78   | 0.40%             | 2033-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUPERNOVA INVEST GMBH                             | SUPERNOVA INVEST GMBH 5% 06/24/2030 REGS                          | CUSIP: N/A<br>LEI: 5299008Z5M2L56PLUX74       | Long             | DBT              | CORP              | AT        |    1375000 | PA      | $1648687.28   | 0.09%             | 2030-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-735.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT FINANCE CORP 4.876% 07/16/2030 144A                           | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     580000 | PA      | $589321.97    | 0.03%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 1% 07/31/2028                                           | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15000000 | PA      | $13945898.40  | 0.78%             | 2028-07-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | COOPERATIEVE RABOBANK UA 5.71%/VAR 01/21/2033 144A                | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     765000 | PA      | $804445.37    | 0.04%             | 2033-01-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                             | CPI PROPERTY GROUP SA 1.5% 01/27/2031 REGS                        | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |    6442000 | PA      | $6239664.84   | 0.35%             | 2031-01-27      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT FINANCE CORP 3.678% 07/16/2033 REGS                           | CUSIP: N/A<br>LEI: 3538007PR116187GD960       | Long             | DBT              | CORP              | JP        |    2850000 | PA      | $3396894.01   | 0.19%             | 2033-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11058.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SSE PLC                                           | SSE PLC 3.74%/VAR PERP REGS                                       | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |     337000 | PA      | $450016.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: EUR/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $4315.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | AMPRION GMBH 3.625% 05/21/2031 REGS                               | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |    6500000 | PA      | $7807103.73   | 0.43%             | 2031-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | FORD MOTOR CREDIT CO LLC 5.875% 11/07/2029                        | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3740000 | PA      | $3805139.92   | 0.21%             | 2029-11-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ADMIRAL GROUP PLC                                 | ADMIRAL GROUP PLC 8.5% 01/06/2034 REGS                            | CUSIP: N/A<br>LEI: 213800FGVM7Z9EJB2685       | Long             | DBT              | CORP              | GB        |    8115000 | PA      | $12492495.40  | 0.69%             | 2034-01-06      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: EUR/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $9163.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 06/20/30 BMW B                                      | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |   16500000 | NC      | $-442958.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 03/31/2032                                       | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17510000 | PA      | $17742554.69  | 0.99%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY               | FX Forward: EUR/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |          1 | NC      | $990.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                 | EURO-BOBL FUTURE DEC25 OEZ5                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -82 | NC      | $933.33       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                           | BARRY CALLEBAUT SVCS NV 4.25% 08/19/2031 REGS                     | CUSIP: N/A<br>LEI: 213800R1F1EJYM4ICO85       | Long             | DBT              | CORP              | BE        |   11400000 | PA      | $13681081.36  | 0.76%             | 2031-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $34566.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                              | CREDIT SUISSE GRP AG 7.5%/VAR PERP REGS                           | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |     611000 | PA      | $51935.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-972.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/AUD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4795.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | ALPHABET INC 3.875% 05/06/2045                                    | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1158511.17   | 0.06%             | 2045-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 3% 06/01/2034                                | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    8675000 | PA      | $6186029.86   | 0.34%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $229.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.125% 08/15/2044                     | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3925000 | PA      | $3643197.25   | 0.20%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.625% 09/30/2031                                       | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11500000 | PA      | $11365234.38  | 0.63%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $1517.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                     | BAT INTL FINANCE PLC 4.125% 04/12/2032 REGS                       | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |    9810000 | PA      | $11894944.35  | 0.66%             | 2032-04-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON POWER NETWORKS PLC                         | LONDON POWER NETWORKS PLC 3.837% 06/11/2037 REGS                  | CUSIP: N/A<br>LEI: 213800JDI3GTKPG4XI38       | Long             | DBT              | CORP              | GB        |    3775000 | PA      | $4421893.02   | 0.25%             | 2037-06-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $714.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                     | AROUNDTOWN SA 3% 10/16/2029 REGS                                  | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | DBT              | CORP              | LU        |    3415000 | PA      | $4195792.48   | 0.23%             | 2029-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 06/20/30 ISPIM B                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    7200000 | NC      | $-54937.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                           | BANK OF NOVA SCOTIA 3.375%/VAR 03/05/2033 REGS                    | CUSIP: N/A<br>LEI: L3I9ZG2KFGXZ61BMYR72       | Long             | DBT              | CORP              | CA        |   15100000 | PA      | $17785009.03  | 0.99%             | 2033-03-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | EUROPEAN INVESTMENT BANK 2.875% 06/18/2035 REGS                   | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |   15100000 | PA      | $17586046.12  | 0.98%             | 2035-06-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | ENEL SPA 3.375%/VAR PERP REGS                                     | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |    2250000 | PA      | $2647597.05   | 0.15%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | LOGICOR FINANCING SARL 1.625% 01/17/2030 REGS                     | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |    7390000 | PA      | $8076982.38   | 0.45%             | 2030-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-4422.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 04/30/2032                                           | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28900000 | PA      | $29068206.96  | 1.62%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS GROUP AG 4.125%/VAR 06/09/2033 REGS                           | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    6995000 | PA      | $8559270.11   | 0.48%             | 2033-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                    | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |          1 | NC      | $4160.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: GBP/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-49.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC              | ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS           | CUSIP: N/A<br>LEI: 21380072JDZ74GW9ZY87       | Long             | DBT              | CORP              | GB        |    2415000 | PA      | $2910511.75   | 0.16%             | 2028-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                          | ENGIE SA 4.25% 09/06/2034 REGS                                    | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |    8000000 | PA      | $9783948.50   | 0.54%             | 2034-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION 0.75% 04/04/2031 REGS                              | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |    2696000 | PA      | $2867294.87   | 0.16%             | 2031-04-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINL SVC US CORP                       | STELLANTIS FINL SVC US CORP 5.4% 09/15/2030 144A                  | CUSIP: 85855FAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4022000 | PA      | $4030431.44   | 0.22%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | ROYAL BANK OF CANADA 3.125%/VAR 09/27/2031 REGS                   | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | DBT              | CORP              | CA        |    7330000 | PA      | $8609671.33   | 0.48%             | 2031-09-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG SARL                          | SHURGARD LUXEMBOURG SARL 4% 05/27/2035 REGS                       | CUSIP: N/A<br>LEI: 54930064DJ4U15OBV665       | Long             | DBT              | CORP              | LU        |    7400000 | PA      | $8734724.93   | 0.49%             | 2035-05-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                  | SOUTHERN COMPANY 1.875%/VAR 09/15/2081                            | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |    1211000 | PA      | $1367502.05   | 0.08%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 3.25% 03/24/2031 REGS              | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |   11745000 | PA      | $14285536.42  | 0.79%             | 2031-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 02/29/2032                                       | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10550000 | PA      | $10692177.71  | 0.59%             | 2032-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS                         | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |    2600000 | PA      | $3754498.67   | 0.21%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $1803.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                      | SOUTH WEST WATER FINANCE PLC 5.25% 09/15/2031 REGS                | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |    5425000 | PA      | $7242699.51   | 0.40%             | 2031-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS 3.945%/VAR 02/18/2037 REGS                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |   11500000 | PA      | $13547018.34  | 0.75%             | 2037-02-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-19898.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0% 11/20/2025                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1077050000 | PA      | $7278263.06   | 0.40%             | 2025-11-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.5% 02/15/2033                                         | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $194164.06    | 0.01%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | GSCM SWAP CDS 06/20/30 UCGIM B                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |    6900000 | NC      | $-22648.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | CITIGROUP INC 4.296%/VAR 07/23/2036                               | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |    3680000 | PA      | $4408008.81   | 0.25%             | 2036-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                          | ENGIE SA 3.875% 03/06/2036 REGS                                   | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |    1600000 | PA      | $1894158.36   | 0.11%             | 2036-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $3076.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIDELIDADE CO DE SEGUROS SAPORTUGAL               | FIDELIDADE CO DE SEGUROS SAPORTUGAL 4.25%/VAR 09/04/2031 REGS     | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |    3100000 | PA      | $3676502.24   | 0.20%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                          | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |     548000 | PA      | $728244.44    | 0.04%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION 4% 04/04/2044 REGS                                 | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |   20590000 | PA      | $24940382.26  | 1.39%             | 2044-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 2.75% 01/17/2035 REGS              | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |   10364000 | PA      | $12020295.73  | 0.67%             | 2035-01-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                  | BAYER US FIN LLC 6.375% 11/21/2030 144A                           | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    8930000 | PA      | $9544167.36   | 0.53%             | 2030-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL | BLACKSTONE PROP PARTNERS EUR HOLD 1.75% 03/12/2029 REGS           | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    6607000 | PA      | $7394860.05   | 0.41%             | 2029-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | PETROLEOS MEXICANOS 5.95% 01/28/2031                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   12170000 | PA      | $11798815.00  | 0.66%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-838.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1889.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     830000 | PA      | $1230124.33   | 0.07%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.625% 04/30/2029                                       | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12350000 | PA      | $12744138.64  | 0.71%             | 2029-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN FINANCE SARL                           | AROUNDTOWN FINANCE SARL 7.875%/VAR PERP                           | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | EP               | CORP              | LU        |    3940000 | PA      | $3919193.45   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | FORD MOTOR CREDIT CO LLC 6.184% 08/29/2031                        | CUSIP: 345397H30<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3725000 | PA      | $5024884.48   | 0.28%             | 2031-08-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.5% 11/15/2054                       | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9500000 | PA      | $9147089.82   | 0.51%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | GSCM SWAP CDS 12/20/30 UCGIM B                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |     900000 | NC      | $2292.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 BMW B                                      | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    4250000 | NC      | $-112269.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 1.125% 08/15/2040                     | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $441437.50    | 0.02%             | 2040-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                              | ZF EUROPE FINANCE BV 7% 06/12/2030 REGS                           | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |    3100000 | PA      | $3777955.77   | 0.21%             | 2030-06-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 6.25% 05/15/2030                      | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18050000 | PA      | $19962876.91  | 1.11%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOSCH (ROBERT) GMBH                               | BOSCH (ROBERT) GMBH 4.375% 06/02/2043 REGS                        | CUSIP: N/A<br>LEI: 529900F0LT5OP4SV6122       | Long             | DBT              | CORP              | DE        |    2500000 | PA      | $2932992.61   | 0.16%             | 2043-06-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                               | VIRGIN MONEY UK PLC 7.625%/VAR 08/23/2029 REGS                    | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |    3330000 | PA      | $4828409.94   | 0.27%             | 2029-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING GROEP NV 3%/VAR 08/17/2031 REGS                               | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    9300000 | PA      | $10835765.27  | 0.60%             | 2031-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 06/20/30 DB B                                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    5750000 | NC      | $59346.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-11679.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4% 11/15/2042                         | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6000000 | PA      | $5547187.50   | 0.31%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                              | HEIMSTADEN BOSTAD AB EUSA5+NA PERP REGS                           | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |    5225000 | PA      | $6032764.42   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0.9% 09/20/2034                               | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  592750000 | PA      | $3778232.63   | 0.21%             | 2034-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $4989.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREAT PORTLAND ESTATES PLC                        | GREAT PORTLAND ESTATES PLC 5.375% 09/25/2031 REGS                 | CUSIP: N/A<br>LEI: 213800JMEDD2Q4N1MC42       | Long             | DBT              | CORP              | GB        |    5610000 | PA      | $7554365.34   | 0.42%             | 2031-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                          | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                    | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |    8293000 | PA      | $8933338.66   | 0.50%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.75% 02/15/2045                                        | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8930000 | PA      | $8985812.50   | 0.50%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | FORD MOTOR CREDIT CO LLC 4.445% 02/14/2030                        | CUSIP: 345397E41<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2935000 | PA      | $3514499.22   | 0.20%             | 2030-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                       | IMPERIAL BRANDS FINANCE PLC 4.875% 06/07/2032 REGS                | CUSIP: N/A<br>LEI: 2138008L3B3MCG1DFS50       | Long             | DBT              | CORP              | GB        |    6290000 | PA      | $8130298.22   | 0.45%             | 2032-06-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                       | COMMONWEALTH BANK AUSTRALIA 3.788%/VAR 08/26/2037 REGS            | CUSIP: N/A<br>LEI: MSFSBD3QN1GSN7Q6C537       | Long             | DBT              | CORP              | AU        |    5145000 | PA      | $6058161.72   | 0.34%             | 2037-08-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FINANCE PLC                    | NORTHUMBRIAN WATER FINANCE PLC 4.5% 02/14/2031 REGS               | CUSIP: N/A<br>LEI: 213800JTFA6F3S7XX781       | Long             | DBT              | CORP              | GB        |    8920000 | PA      | $11578040.24  | 0.64%             | 2031-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                  | AUSNET SERVICES HOLDINGS PTY LTD 6.134% 05/31/2033                | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |    8900000 | PA      | $6260557.42   | 0.35%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                       | NATIONWIDE BUILDING SOC(UNGTD) 4%/VAR 07/30/2035 REGS             | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |    2910000 | PA      | $3469378.71   | 0.19%             | 2035-07-30      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVT 0.005% 12/01/2025                                      | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1077350000 | PA      | $7279297.38   | 0.40%             | 2025-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                     | AROUNDTOWN SA 3.375%/VAR PERP REGS                                | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |    4300000 | PA      | $4914243.68   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                             | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                         | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |    2040000 | PA      | $2143580.49   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                    | MCDONALDS CORP 3.5% 05/21/2032 REGS                               | CUSIP: N/A<br>LEI: UE2136O97NLB5BYP9H04       | Long             | DBT              | CORP              | US        |    5480000 | PA      | $6521877.28   | 0.36%             | 2032-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 2% 06/01/2032                                | CUSIP: 135087N59<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   20210000 | PA      | $13709142.80  | 0.76%             | 2032-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                  | SW FINANCE I PLC 7.375% 12/12/2041 REGS                           | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |    2421000 | PA      | $3227802.16   | 0.18%             | 2041-12-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | DANSKE BANK AS (UNGTD) 3.875%/VAR 01/09/2032 REGS                 | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |   10125000 | PA      | $12273824.61  | 0.68%             | 2032-01-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                    | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-130644.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/CAD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $12701.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                       | SEVERN TRENT WATER UTIL FIN 3.875% 08/04/2035 REGS                | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |    4425000 | PA      | $5239334.37   | 0.29%             | 2035-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                       | CITYCON OYJ 7.875%/VAR PERP REGS                                  | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |    3407000 | PA      | $3942105.12   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 07/31/2032                                           | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1260000 | PA      | $1265906.25   | 0.07%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLUXYS SA                                         | FLUXYS SA 4% 11/28/2030 REGS                                      | CUSIP: N/A<br>LEI: 529900UEWUHSPPJQ1R79       | Long             | DBT              | CORP              | BE        |    7400000 | PA      | $8842753.50   | 0.49%             | 2030-11-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                             | ELECTRICITE DE FRANCE 5.5% 01/25/2035 REGS                        | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |    7600000 | PA      | $9926388.55   | 0.55%             | 2035-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | FX Forward: EUR/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $76674.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $38949.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                    | RCI BANQUE S A 5.5%/VAR 10/09/2034 REGS                           | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |    6800000 | PA      | $8397750.01   | 0.47%             | 2034-10-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 5% 05/15/2045                         | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26100000 | PA      | $27103218.75  | 1.51%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                              | ROMANIA REPUBLIC OF 2.124% 07/16/2031 REGS                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    2425000 | PA      | $2427128.24   | 0.13%             | 2031-07-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.875% 08/31/2032                                       | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7400000 | PA      | $7378031.25   | 0.41%             | 2032-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                 | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                        | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    3454000 | PA      | $4322118.87   | 0.24%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | LLOYDS BANKING GROUP PLC 4.75%/VAR 09/21/2031 REGS                | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |   11120000 | PA      | $13998144.11  | 0.78%             | 2031-09-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCANDINAVIAN TOBACCO GROUP                        | SCANDINAVIAN TOBACCO GROUP 4.875% 09/12/2029 REGS                 | CUSIP: N/A<br>LEI: 5299003KG4JS99TRML67       | Long             | DBT              | CORP              | DK        |    4990000 | PA      | $6085911.00   | 0.34%             | 2029-09-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $3261810.08   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                        | AUSTRALIA COMMONWEALTH OF 3.75% 05/21/2034 REGS                   | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |   12000000 | PA      | $7686942.43   | 0.43%             | 2034-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN GMBH                               | LEG IMMOBILIEN GMBH 3.875% 01/20/2035 REGS                        | CUSIP: N/A<br>LEI: 391200SO40AKONBO0Z96       | Long             | DBT              | CORP              | DE        |    5200000 | PA      | $6023713.25   | 0.34%             | 2035-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS GROUP AG 4.75%/VAR 03/17/2032 REGS                            | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    5630000 | PA      | $7097553.67   | 0.39%             | 2032-03-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                  | DEUTSCHE BANK AG 6.125%/VAR 12/12/2030 REGS                       | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    6200000 | PA      | $8656655.92   | 0.48%             | 2030-12-12      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                      | Fidelity Cash Central Fund                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   66099650 | NS      | $66112869.90  | 3.68%             |  |  |  | No            |                  1 | On Loan: No      |
| TRITAX EUROBOX PLC                                | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                          | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |     870000 | PA      | $1010281.71   | 0.06%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                     | AROUNDTOWN SA 3.625% 04/10/2031 REGS                              | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | DBT              | CORP              | LU        |    3650000 | PA      | $4447063.41   | 0.25%             | 2031-04-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 ASSGEN B                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    2100000 | NC      | $-10202.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                     | LONG GILT FUTURE DEC25 G Z5                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       -286 | NC      | $-143263.04   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 03/31/2030                                           | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8470000 | PA      | $8566941.78   | 0.48%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.75% 12/31/2028                                        | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $702214.84    | 0.04%             | 2028-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                      | DNB BANK ASA 0.25%/VAR 02/23/2029 REGS                            | CUSIP: N/A<br>LEI: 549300GKFG0RYRRQ1414       | Long             | DBT              | CORP              | NO        |    3945000 | PA      | $4372121.30   | 0.24%             | 2029-02-23      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 1.5% 12/01/2031                              | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   14565000 | PA      | $9652334.45   | 0.54%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SIG COMBIBLOC PURCHASECO SARL                     | SIG COMBIBLOC PURCHASECO SARL 3.75% 03/19/2030 REGS               | CUSIP: N/A<br>LEI: 549300Q95MWZB4BXB866       | Long             | DBT              | CORP              | LU        |     775000 | PA      | $922092.12    | 0.05%             | 2030-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA PLC                       | PRUDENTIAL FUNDING ASIA PLC T5Y+NA 11/03/2033 REGS                | CUSIP: N/A<br>LEI: 2549005TNASWKLR0XC37       | Long             | DBT              | CORP              | GB        |    2803000 | PA      | $2671076.86   | 0.15%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                    | FX Forward: USD/AUD settle 2025-10-03                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-96087.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 02/28/2027                                       | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4400000 | PA      | $4426296.86   | 0.25%             | 2027-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.5% 11/15/2033                                         | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4250000 | PA      | $4394101.56   | 0.24%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 4.787%/VAR 03/10/2032 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    5510000 | PA      | $6946747.77   | 0.39%             | 2032-03-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                     | ENBW INTERNATIONAL FINANCE BV 3.75% 11/20/2035 REGS               | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |   10210000 | PA      | $12010604.58  | 0.67%             | 2035-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 4.856%/VAR 05/23/2033 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    3365000 | PA      | $4275781.39   | 0.24%             | 2033-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $39671.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: USD/GBP settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-10250.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIMIC FINANCE LTD                                 | CIMIC FINANCE LTD 1.5% 05/28/2029 REGS                            | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |    2104000 | PA      | $2293732.35   | 0.13%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: GBP/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $4320.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                             | JPMORGAN CHASE and CO 3.761%/VAR 03/21/2034 REGS                  | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DBT              | CORP              | US        |     900000 | PA      | $1081895.99   | 0.06%             | 2034-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                               | CITYCON TREASURY BV 5.375% 07/08/2031 REGS                        | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |    2980000 | PA      | $3518118.60   | 0.20%             | 2031-07-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                               | CITYCON TREASURY BV 5% 03/11/2030 REGS                            | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |     920000 | PA      | $1080552.47   | 0.06%             | 2030-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.25% 05/15/2035                                        | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39970000 | PA      | $40338473.44  | 2.24%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROLOGIS INTERNATIONAL FUNDING II SA              | PROLOGIS INTL FDG II SA 4.375% 07/01/2036 REGS                    | CUSIP: N/A<br>LEI: 213800JNRWW2C9DWI388       | Long             | DBT              | CORP              | LU        |    5015000 | PA      | $6128062.45   | 0.34%             | 2036-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 1.375% 06/07/2032 REGS             | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |    9600000 | PA      | $10374625.61  | 0.58%             | 2032-06-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-9505.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION 2.5% 12/04/2031 REGS                               | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | BE        |    4608000 | PA      | $5346584.48   | 0.30%             | 2031-12-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 05/31/2032                                       | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20735000 | PA      | $20998846.65  | 1.17%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.875% 04/30/2030                                       | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18927000 | PA      | $19046772.33  | 1.06%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                    | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1229.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                  | MOBICO GROUP PLC 4.25%/VAR PERP REGS                              | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |    3430000 | PA      | $2816404.57   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB       | SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB 2.25% 07/12/2027 REGS | CUSIP: N/A<br>LEI: 636700JPED0N9T4ET363       | Long             | DBT              | CORP              | SE        |    4355000 | PA      | $4703410.69   | 0.26%             | 2027-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                          | SNAM SPA 5.75% 05/28/2035 144A                                    | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    5219000 | PA      | $5406927.11   | 0.30%             | 2035-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: EUR/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-2697.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| METRO AG                                          | METRO AG 4% 03/05/2030 REGS                                       | CUSIP: N/A<br>LEI: 5299006EQ03K3SSUYS12       | Long             | DBT              | CORP              | DE        |    2890000 | PA      | $3516192.79   | 0.20%             | 2030-03-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE EUROSHOP AG                              | DEUTSCHE EUROSHOP AG 4.5% 10/15/2030 REGS                         | CUSIP: N/A<br>LEI: 529900Y9QTEFHFEKQ736       | Long             | DBT              | CORP              | DE        |    2300000 | PA      | $2721954.39   | 0.15%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                           | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |    4125000 | PA      | $4166737.41   | 0.23%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                     | P3 GROUP SARL 4% 04/19/2032 REGS                                  | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |    4675000 | PA      | $5580583.92   | 0.31%             | 2032-04-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB               | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624%/VAR PERP REGS          | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |     647000 | PA      | $531446.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SARL                           | TITANIUM 2L BONDCO SARL PIK 6.25% 01/14/2031                      | CUSIP: N/A<br>LEI: 636700S4QMU2DWYOSF67       | Long             | DBT              | CORP              | LU        |     859900 | PA      | $260856.22    | 0.01%             | 2031-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-33111.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NATWEST GROUP PLC 2.105%/VAR 11/28/2031 REGS                      | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    4974000 | PA      | $6515555.68   | 0.36%             | 2031-11-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                         | TORONTO DOMINION BANK 3.357% 09/22/2032 REGS                      | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | Long             | DBT              | CORP              | CA        |    7000000 | PA      | $8189955.61   | 0.46%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLTD CO                           | FISERV FUNDING UNLTD CO 3.5% 06/15/2032                           | CUSIP: 337735AB0<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |    1790000 | PA      | $2096335.77   | 0.12%             | 2032-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                   | FX Forward: USD/AUD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-1865.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | EUROPEAN INVESTMENT BANK 0% 01/14/2031 REGS                       | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |     375000 | PA      | $385410.91    | 0.02%             | 2031-01-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | MORGAN STANLEY 4.099%/VAR 05/22/2036                              | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2785768.20   | 0.15%             | 2036-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NATWEST GROUP PLC 7.416%/VAR 06/06/2033 REGS                      | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    7365000 | PA      | $10441812.73  | 0.58%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                            | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                       | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |   11767000 | PA      | $13416498.56  | 0.75%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | ALPHABET INC 4% 05/06/2054                                        | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     700000 | PA      | $802101.64    | 0.04%             | 2054-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.25% 08/15/2035                                        | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2340000 | PA      | $2359012.50   | 0.13%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.25% 02/28/2029                                        | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6420000 | PA      | $6542130.48   | 0.36%             | 2029-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 06/20/30 SOCGEN  B                                  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    6900000 | NC      | $45622.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $572.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                  | MOBICO GROUP PLC 4.875% 09/26/2031 REGS                           | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |   10935000 | PA      | $10106201.57  | 0.56%             | 2031-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/CAD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $23805.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS GROUP AG 2.875%/VAR 04/02/2032 REGS                           | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    6790000 | PA      | $7818524.60   | 0.43%             | 2032-04-02      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $5329252.23   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| NGG FINANCE PLC                                   | NGG FINANCE PLC 2.125%/VAR 09/05/2082 REGS                        | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |    7461000 | PA      | $8586961.79   | 0.48%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | AMPRION GMBH 0.625% 09/23/2033 REGS                               | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |    5000000 | PA      | $4718887.82   | 0.26%             | 2033-09-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                | UNITED UTILITIES WATER FINANCE PLC 3.5% 02/27/2033 REGS           | CUSIP: N/A<br>LEI: 213800313INX42GDLR44       | Long             | DBT              | CORP              | GB        |    2640000 | PA      | $3079693.75   | 0.17%             | 2033-02-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                              | ROMANIA REPUBLIC OF 5.875% 07/11/2032 REGS                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    5460000 | PA      | $6554545.05   | 0.36%             | 2032-07-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | COMMERZBANK AG 3.625%/VAR 01/14/2032 REGS                         | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |    3100000 | PA      | $3696936.88   | 0.21%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | REALTY INCOME CORP 3.375% 06/20/2031                              | CUSIP: 756109CU6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4875000 | PA      | $5740441.99   | 0.32%             | 2031-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 12/20/30 B                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    1850000 | NC      | $-4759.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                 | EURO-BUND FUTURE DEC25 RXZ5                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -64 | NC      | $3972.62      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| IHG FINANCE LLC                                   | IHG FINANCE LLC 3.375% 09/10/2030 REGS                            | CUSIP: N/A<br>LEI: 213800DXTXQ1YC8UP313       | Long             | DBT              | CORP              | US        |    2350000 | PA      | $2764441.07   | 0.15%             | 2030-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                              | DUKE ENERGY CORP NEW 3.85% 06/15/2034                             | CUSIP: 26441CBR5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1403000 | PA      | $1648651.12   | 0.09%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                     | SCHAEFFLER AG 5.375% 04/01/2031 REGS                              | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |    2900000 | PA      | $3565133.45   | 0.20%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | BARCLAYS PLC EUAMDB01+NA 08/14/2031 REGS                          | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |   10210000 | PA      | $12120396.26  | 0.67%             | 2031-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: USD/CAD settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $17363.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                       | SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS                | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |    5005000 | PA      | $6303168.54   | 0.35%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLICIS GROUPE SA                                | PUBLICIS GROUPE SA 3.375% 06/12/2032 REGS                         | CUSIP: N/A<br>LEI: 2138004KW8BV57III342       | Long             | DBT              | CORP              | FR        |    3900000 | PA      | $4577931.26   | 0.25%             | 2032-06-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                             | FX Forward: GBP/USD settle 2025-10-03                             | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-20228.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 2.5% 12/01/2032                              | CUSIP: 135087P32<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   20865000 | PA      | $14541927.49  | 0.81%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                              | ZF EUROPE FINANCE BV 4.75% 01/31/2029 REGS                        | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |    6700000 | PA      | $7724077.41   | 0.43%             | 2029-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 3.25% 05/15/2042                      | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     580200 | PA      | $487413.33    | 0.03%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 12/20/30 CMZB B                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    8900000 | NC      | $62961.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                            | US LONG BOND(CBT) FUT DEC25 USZ5                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         89 | NC      | $281782.90    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 06/30/2032                                           | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5225000 | PA      | $5251941.41   | 0.29%             | 2032-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL KPN NV (KONINKLIJKE KPN)                    | ROYAL KPN NV (KONINKLIJKE KPN) 3.875% 02/16/2036 REGS             | CUSIP: N/A<br>LEI: 549300YO0JZHAL7FVP81       | Long             | DBT              | CORP              | NL        |    1600000 | PA      | $1900959.83   | 0.11%             | 2036-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 06/20/30 ASSGEN B                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    7700000 | NC      | $-70369.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | MORGAN STANLEY 3.955%/VAR 03/21/2035                              | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |     950000 | PA      | $1144486.28   | 0.06%             | 2035-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | AMERICAN TOWER CORP 3.625% 05/30/2032                             | CUSIP: 03027XCQ1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $8952115.53   | 0.50%             | 2032-05-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                       | COMMONWEALTH BANK AUSTRALIA 2.688% 03/11/2031 144A                | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    6940000 | PA      | $6278243.10   | 0.35%             | 2031-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBW ENERGIE BADEN-WUERTTEM AG                    | ENBW ENERGIE BADEN-WUERTTEM AG EUSA5+NA 08/31/2081 REGS           | CUSIP: N/A<br>LEI: 529900JSFZ4TS59HKD79       | Long             | DBT              | CORP              | DE        |    6500000 | PA      | $7213266.22   | 0.40%             | 2081-08-31      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 1.125% 09/15/2032 REGS             | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |    1675000 | PA      | $1771148.80   | 0.10%             | 2032-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                        | AUSTRALIA COMMONWEALTH OF 1.25% 05/21/2032                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    7575000 | PA      | $4227088.31   | 0.24%             | 2032-05-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | FX Forward: USD/EUR settle 2025-10-03                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-37036.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/JPY settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $794281.68    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 1.4% 03/20/2035                               | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  100000000 | PA      | $662934.04    | 0.04%             | 2035-03-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/CAD settle 2025-10-03                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $1590360.31   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL | BLACKSTONE PROP PARTNERS EUR HOLD 1.625% 04/20/2030 REGS          | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    4575000 | PA      | $4967876.59   | 0.28%             | 2030-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                      | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS             | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |    3810000 | PA      | $3460197.46   | 0.19%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | COOPERATIEVE RABOBANK UA 1.125% 05/07/2031 REGS                   | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |    3900000 | PA      | $4117796.93   | 0.23%             | 2031-05-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 10/31/2031                                       | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48000000 | PA      | $48701250.24  | 2.71%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                    | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS             | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |    2494000 | PA      | $3349394.88   | 0.19%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 1.5% 06/01/2031                              | CUSIP: 135087M27<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   22775000 | PA      | $15228145.28  | 0.85%             | 2031-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | COMMERZBANK AG 4.875%/VAR 10/16/2034 REGS                         | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |    1900000 | PA      | $2340309.30   | 0.13%             | 2034-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** Laura M. Del Prato

**Signature:** Laura M. Del Prato

**Name of Signer:** Laura M. Del Prato

**Title:** President and Treasurer