# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0001752724-23-014605
**Filing Date:** 2023-1
**Character Count:** 91709
**Document Hash:** 04f86a414081bc488140b203fb6c1c85
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014605.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014605

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 23556443

**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 MORTGAGE SECURITIES FUND
- **DATE OF NAME CHANGE:** 19851103

## Series and Classes Contracts Data

### Fidelity Environmental Bond Fund (Series ID: S000072130)

| Class ID   | Class Name                                        | Ticker Symbol   |
|:---|:---|:---|
| C000227901 | Fidelity Advisor Environmental Bond Fund: Class M | FEBEX           |
| C000227902 | Fidelity Advisor Environmental Bond Fund: Class A | FEBBX           |
| C000227903 | Fidelity Environmental Bond Fund                  | FFEBX           |
| C000227904 | Fidelity Advisor Environmental Bond Fund: Class I | FEBFX           |
| C000227905 | Fidelity Advisor Environmental Bond Fund: Class C | FEBDX           |
| C000227906 | Fidelity Advisor Environmental Bond Fund: Class Z | FEBGX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Environmental Bond Fund**

**November 30, 2022**

ENB-NPRT1-0123

1.9901920.101 ---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 46.7%** | &nbsp;&nbsp;**Nonconvertible Bonds - 46.7%** | &nbsp;&nbsp;**Nonconvertible Bonds - 46.7%** | &nbsp;&nbsp;**Nonconvertible Bonds - 46.7%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 1.9%  |  |  |  |
| Diversified Telecommunication Services - 1.9% |  |  |  |
| NTT Finance Corp. 4.372% 7/27/27 (b) |  | 100000 | 98613 |
| TELUS Corp. 3.4% 5/13/32  |  | 200000 | 172658 |
| Verizon Communications, Inc. 3.875% 2/8/29  |  | 300000 | 283570 |
|  |  |  | 554841 |
| CONSUMER DISCRETIONARY - 5.0%  |  |  |  |
| Auto Components - 1.1% |  |  |  |
| Valeo SA 1% 8/3/28 (Reg. S)  | EUR | 200000 | 163608 |
| ZF Finance GmbH 2% 5/6/27 (Reg. S)  | EUR | 200000 | 176642 |
|  |  |  | 340250 |
| Automobiles - 3.3% |  |  |  |
| Ford Motor Co.: |  |  |  |
|  3.25% 2/12/32  |  | 500000  | 396977  |
|  6.1% 8/19/32  |  | 200000  | 191955  |
| General Motors Co.: |  |  |  |
|  5.4% 10/15/29  |  | 200000  | 192997  |
|  5.6% 10/15/32  |  | 200000  | 192223  |
|  |  |  | 974152 |
| Household Durables - 0.3% |  |  |  |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)  | GBP | 100000 | 80361 |
| Textiles, Apparel & Luxury Goods - 0.3% |  |  |  |
| AXA Logistics Europe Master SCA 0.375% 11/15/26 (Reg. S)  | EUR | 100000 | 90201 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1484964 |
| CONSUMER STAPLES - 3.0%  |  |  |  |
| Beverages - 0.3% |  |  |  |
| PepsiCo, Inc. 3.9% 7/18/32  |  | 100000 | 95940 |
| Food & Staples Retailing - 0.9% |  |  |  |
| Walmart, Inc. 1.8% 9/22/31  |  | 300000 | 247728 |
| Food Products - 1.8% |  |  |  |
| General Mills, Inc. 2.25% 10/14/31  |  | 650000 | 529747 |
| TOTAL CONSUMER STAPLES |  |  | 873415 |
| FINANCIALS - 15.2%  |  |  |  |
| Banks - 7.6% |  |  |  |
| ABN AMRO Bank NV 2.47% 12/13/29 (b)(c) |  | 200000 | 162123 |
| AIB Group PLC 2.875% 5/30/31 (Reg. S) (c) | EUR | 225000 | 209069 |
| Bank of America Corp. 6.204% 11/10/28 (c) |  | 140000 | 144804 |
| Bank of Ireland Group PLC: |  |  |  |
|  0.375% 5/10/27 (Reg. S) (c) | EUR | 155000  | 138389  |
|  6.253% 9/16/26 (b)(c) |  | 200000  | 195964  |
| Bank of Nova Scotia 0.65% 7/31/24  |  | 250000 | 232539 |
| BNP Paribas SA 0.5% 5/30/28 (Reg. S) (c) | EUR | 100000 | 88706 |
| BPCE SA 0.5% 1/14/28 (Reg. S) (c) | EUR | 100000 | 89594 |
| CaixaBank SA 1.25% 6/18/31 (Reg. S) (c) | EUR | 100000 | 89424 |
| Canadian Imperial Bank of Commerce 0.95% 10/23/25  |  | 325000 | 291735 |
| Fifth Third Bancorp 1.707% 11/1/27 (c) |  | 200000 | 176997 |
| ING Groep NV: |  |  |  |
|  0.875% 6/9/32 (Reg. S) (c) | EUR | 100000  | 88956  |
|  2.125% 5/23/26 (Reg. S) (c) | EUR | 100000  | 99333  |
| NatWest Group PLC 2.057% 11/9/28 (Reg. S) (c) | GBP | 100000 | 99967 |
| Santander Holdings U.S.A., Inc. 5.807% 9/9/26 (c) |  | 43000 | 42813 |
| Wells Fargo & Co. 4.54% 8/15/26 (c) |  | 100000 | 97973 |
|  |  |  | 2248386 |
| Capital Markets - 1.9% |  |  |  |
| Deutsche Bank AG 3.25% 5/24/28 (Reg. S) (c) | EUR | 100000 | 96443 |
| S&P Global, Inc. 2.7% 3/1/29 (b) |  | 400000 | 355521 |
| State Street Corp. 5.751% 11/4/26 (c) |  | 100000 | 102130 |
|  |  |  | 554094 |
| Diversified Financial Services - 2.5% |  |  |  |
| Acciona Energia Financiacion Filiales SA 0.375% 10/7/27 (Reg. S)  | EUR | 100000 | 90989 |
| ACEF Holding SCA 1.25% 4/26/30 (Reg. S)  | EUR | 100000 | 75255 |
| CBRE Global Investors Pan European Core Fund 0.9% 10/12/29 (Reg. S)  | EUR | 100000 | 77995 |
| Hitachi Finance (UK) PLC 0% 10/29/24 (Reg. S)  | EUR | 100000 | 96197 |
| Rexford Industrial Realty LP 2.15% 9/1/31  |  | 314000 | 242433 |
| VMED O2 UK Financing I PLC 4.75% 7/15/31 (b) |  | 200000 | 166170 |
|  |  |  | 749039 |
| Insurance - 3.2% |  |  |  |
| Metropolitan Life Global Funding I 0.95% 7/2/25 (b) |  | 250000 | 225993 |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 5.875% 5/23/42 (b)(c) |  | 200000 | 196143 |
| Pacific Life Global Funding II 1.375% 4/14/26 (b) |  | 250000 | 221942 |
| Prudential Financial, Inc. 1.5% 3/10/26  |  | 325000 | 294234 |
|  |  |  | 938312 |
| TOTAL FINANCIALS |  |  | 4489831 |
| HEALTH CARE - 1.0%  |  |  |  |
| Health Care Providers & Services - 0.1% |  |  |  |
| Kaiser Foundation Hospitals 3.15% 5/1/27  |  | 50000 | 47121 |
| Pharmaceuticals - 0.9% |  |  |  |
| Merck & Co., Inc. 1.9% 12/10/28  |  | 300000 | 261061 |
| TOTAL HEALTH CARE |  |  | 308182 |
| INDUSTRIALS - 0.3%  |  |  |  |
| Transportation Infrastructure - 0.3% |  |  |  |
| Holding d'Infrastructures et des Metiers de l'Environnement 0.125% 9/16/25 (Reg. S)  | EUR | 100000 | 92447 |
| INFORMATION TECHNOLOGY - 4.0%  |  |  |  |
| Semiconductors & Semiconductor Equipment - 3.2% |  |  |  |
| Analog Devices, Inc. 1.7% 10/1/28  |  | 500000 | 428017 |
| ASML Holding NV 2.25% 5/17/32 (Reg. S)  | EUR | 100000 | 98352 |
| Micron Technology, Inc. 2.703% 4/15/32  |  | 200000 | 154609 |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc.: |  |  |  |
|  2.5% 5/11/31  |  | 100000  | 79206  |
|  5% 1/15/33  |  | 200000  | 190002  |
|  |  |  | 950186 |
| Software - 0.8% |  |  |  |
| Autodesk, Inc. 2.4% 12/15/31  |  | 300000 | 242755 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 1192941 |
| MATERIALS - 0.3%  |  |  |  |
| Chemicals - 0.3% |  |  |  |
| Evonik Industries AG 1.375% 9/2/81 (Reg. S) (c) | EUR | 100000 | 85187 |
| REAL ESTATE - 4.2%  |  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 2.4% |  |  |  |
| Boston Properties, Inc. 6.75% 12/1/27  |  | 22000 | 23007 |
| Hudson Pacific Properties LP 5.95% 2/15/28  |  | 151000 | 143360 |
| UDR, Inc. 1.9% 3/15/33  |  | 375000 | 267926 |
| WP Carey, Inc. 2.45% 2/1/32  |  | 350000 | 271096 |
|  |  |  | 705389 |
| Real Estate Management & Development - 1.8% |  |  |  |
| Blackstone Property Partners Europe LP 1.625% 4/20/30 (Reg. S)  | EUR | 100000 | 78299 |
| CTP BV 0.5% 6/21/25 (Reg. S)  | EUR | 200000 | 174767 |
| Lend Lease Finance Ltd. 3.4% 10/27/27 (Reg. S)  | AUD | 50000 | 30047 |
| NE Property BV 2% 1/20/30 (Reg. S)  | EUR | 100000 | 72582 |
| P3 Group SARL 0.875% 1/26/26 (Reg. S)  | EUR | 100000 | 85912 |
| Vonovia SE 5% 11/23/30 (Reg. S)  | EUR | 100000 | 106097 |
|  |  |  | 547704 |
| TOTAL REAL ESTATE |  |  | 1253093 |
| UTILITIES - 11.8%  |  |  |  |
| Electric Utilities - 9.0% |  |  |  |
| Clearway Energy Operating LLC 3.75% 1/15/32 (b) |  | 100000 | 79701 |
| EnBW Energie Baden-Wuerttemberg AG 1.875% 6/29/80 (Reg. S) (c) | EUR | 200000 | 177943 |
| ENEL Finance International NV 1.375% 7/12/26 (b) |  | 600000 | 519691 |
| Energias de Portugal SA 1.7% 7/20/80 (Reg. S) (c) | EUR | 200000 | 186679 |
| Northern States Power Co. 2.25% 4/1/31  |  | 500000 | 418711 |
| NSTAR Electric Co. 4.95% 9/15/52  |  | 400000 | 389286 |
| Public Service Co. of Colorado: |  |  |  |
|  2.7% 1/15/51  |  | 300000  | 196051  |
|  3.7% 6/15/28  |  | 325000  | 307956  |
| Wisconsin Electric Power Co. 4.75% 9/30/32  |  | 400000 | 396255 |
|  |  |  | 2672273 |
| Independent Power and Renewable Electricity Producers - 1.8% |  |  |  |
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) |  | 200000 | 176305 |
| RWE AG 2.125% 5/24/26 (Reg. S)  | EUR | 100000 | 100068 |
| The AES Corp. 2.45% 1/15/31  |  | 300000 | 238385 |
|  |  |  | 514758 |
| Multi-Utilities - 1.0% |  |  |  |
| Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30  |  | 325000 | 293556 |
| TOTAL UTILITIES |  |  | 3480587 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $15,700,409) |  |  | <br> **13815488** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 29.9%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 29.9%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 29.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Government Agency Obligations - 0.5%  |  |  |
| Tennessee Valley Authority 1.5% 9/15/31  | 200000 | 160352 |
| U.S. Treasury Obligations - 29.4%  |  |  |
| U.S. Treasury Bonds: |  |  |
|  1.875% 11/15/51  | 750000 | 493213 |
|  2% 11/15/41 (d) | 2970000 | 2163110 |
|  2.25% 2/15/52  | 170000 | 122765 |
|  2.875% 5/15/52  | 1360000 | 1130500 |
|  3% 8/15/52  | 185000 | 158406 |
| U.S. Treasury Notes: |  |  |
|  0.25% 6/15/24 (d) | 150000 | 140438 |
|  2.75% 8/15/32  | 10000 | 9263 |
|  2.875% 5/15/32  | 350000 | 328070 |
|  3% 7/15/25  | 1375000 | 1335254 |
|  3.25% 6/30/27  | 1820000 | 1772652 |
|  4.125% 10/31/27  | 666000 | 674481 |
|  4.375% 10/31/24  | 375000 | 374912 |
| TOTAL U.S. TREASURY OBLIGATIONS |  | 8703064 |
| <br> **TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $10,134,559) |  | <br> **8863416** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 11.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 11.2%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 11.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 4.1%  |  |  |
| 2% 6/1/36 to 11/1/41  | 396823 | 345221 |
| 3% 1/1/52  | 985725 | 875193 |
| TOTAL FANNIE MAE |  | 1220414 |
| Freddie Mac - 6.8%  |  |  |
| 2% 4/1/51 to 1/1/52  | 562621 | 463835 |
| 2.5% 2/1/52 to 3/1/52  | 1367121 | 1170514 |
| 3.5% 6/1/52  | 100043 | 91934 |
| 1.5% 12/1/31  | 310506 | 283753 |
| TOTAL FREDDIE MAC |  | 2010036 |
| Uniform Mortgage Backed Securities - 0.3%  |  |  |
| 5% 12/1/52 (e) | 100000 | 99562 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $3,670,400) |  | <br> **3330012** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 2.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 2.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 2.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| GoodLeap Sustainable Home Solutions Trust Series 2021-5CS Class A, 2.31% 10/20/48 (b) | 348686 | 249539 |
| Sunnova Helios Viii Issuer LLC Series 2022-A Class A, 2.79% 2/22/49 (b) | 236892 | 203222 |
| Sunrun Callisto Issuer, LLC Series 2021-2A Class A, 2.27% 1/30/57 (b) | 190297 | 148424 |
| Tesla Series 2020-A Class A3, 0.68% 12/20/23 (b) | 11762 | 11714 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $784,421) |  | **612899** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 1.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Freddie Mac sequential payer: |  |  |
|  Series 2020-KG03 Class A2, 1.297% 6/25/30  | 160000 | 127908 |
|  Series 2022-KG07 Class A2, 3.123% 8/25/32  | 200000 | 179079 |
|  Series 2022-KSG4 Class A2, 3.4% 8/25/32 (c) | 200000 | 183238 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $541,218) |  | **490225** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.6%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.6%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.6%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 1.6%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| German Federal Republic 0% 8/15/31 (Reg. S) (d) | EUR | 411000 | 364251 |
| Uruguay Republic 5.75% 10/28/34  |  | 100000 | 109000 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $473,759) |  |  | **473251** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 3.2%** | &nbsp;&nbsp;**Preferred Securities - 3.2%** | &nbsp;&nbsp;**Preferred Securities - 3.2%** | &nbsp;&nbsp;**Preferred Securities - 3.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 0.6%  |  |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |  |
| Telefonica Europe BV 2.502% (Reg. S) (c)(f) | EUR | 200000 | 176902 |
| FINANCIALS - 0.7%  |  |  |  |
| Banks - 0.7% |  |  |  |
| Banco Bilbao Vizcaya Argentaria SA 6% (Reg. S) (c)(f) | EUR | 200000 | 200694 |
| REAL ESTATE - 0.2%  |  |  |  |
| Real Estate Management & Development - 0.2% |  |  |  |
| Citycon Oyj 4.496% (Reg. S) (c)(f) | EUR | 100000 | 63797 |
| UTILITIES - 1.7%  |  |  |  |
| Electric Utilities - 1.7% |  |  |  |
| Iberdrola International BV 3.25% (Reg. S) (c)(f) | EUR | 200000 | 200329 |
| ORSTED A/S 2.25% (Reg. S) (c)(f) | EUR | 100000 | 98211 |
| TenneT Holding BV 2.995% (Reg. S) (c)(f) | EUR | 125000 | 126173 |
| Terna - Rete Elettrica Nazionale 2.375% (Reg. S) (c)(f) | EUR | 100000 | 87150 |
|  |  |  | 511863 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $1,265,878) |  |  | <br> **953256** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** | &nbsp;&nbsp;**Money Market Funds - 3.7%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (g) <br>(Cost $1,084,205) <br>| 1083988 | **1084205** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.1%**<br> (Cost $33,654,849)<br>| <br>**29622752** |
| **NET OTHER ASSETS (LIABILITIES) - (0.1)%**  | **(19120)** |
| **NET ASSETS - 100.0%** | **29603632** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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>|
| Sold |  |  |  |  |  |
| Bond Index Contracts |  |  |  |  |  |
| Eurex Euro-Bobl Contracts (Germany) | 15 | Dec 2022 | 1873548 | 47409 | 47409 |
| Eurex Euro-Bund Contracts (Germany) | 3 | Dec 2022 | 439799 | 15329 | 15329 |
| Eurex Euro-Schatz Contracts (Germany) | 14 | Dec 2022 | 1555614 | 19923 | 19923 |
| **TOTAL BOND INDEX CONTRACTS** |  |  |  |  | 82661 |
| Treasury Contracts |  |  |  |  |  |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 5 | Mar 2023 | 598281 | (6027) | (6027) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **76634** |
| The notional amount of futures sold as a percentage of Net Assets is 15.1% | The notional amount of futures sold as a percentage of Net Assets is 15.1% | The notional amount of futures sold as a percentage of Net Assets is 15.1% | The notional amount of futures sold as a percentage of Net Assets is 15.1% | The notional amount of futures sold as a percentage of Net Assets is 15.1% | The notional amount of futures sold as a percentage of Net Assets is 15.1% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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) ($)  |
| EUR | 8000 | USD | 8239 | State Street Bank and Trust Co | 12/02/22 | 86 |
| EUR | 4000 | USD | 4138 | HSBC Bank | 12/08/22 | 27 |
| USD | 29847 | AUD | 44000 | BNP Paribas S.A. | 12/08/22 | (26) |
| USD | 4164322 | EUR | 4015000 | BNP Paribas S.A. | 12/08/22 | (16056) |
| USD | 47185 | EUR | 46000 | Bank of America, N.A. | 12/08/22 | (710) |
| USD | 28049 | EUR | 27000 | Bank of America, N.A. | 12/08/22 | (63) |
| USD | 13532 | EUR | 13000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (4) |
| USD | 12427 | EUR | 12000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (67) |
| USD | 4112 | EUR | 4000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (53) |
| USD | 16485 | EUR | 16000 | State Street Bank and Trust Co | 12/08/22 | (174) |
| USD | 10376 | EUR | 10000 | State Street Bank and Trust Co | 12/08/22 | (36) |
| USD | 3618 | GBP | 3000 | Brown Brothers Harriman & Co | 12/08/22 | 1 |
| USD | 192632 | GBP | 162000 | Royal Bank of Canada | 12/08/22 | (2668) |
| **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** |  | **(19743)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 114 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (19857) |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian dollar |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| USD | - | U.S. dollar |

---

**Legend**

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

(b) 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 $3,011,065 or 10.2% of net assets.

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

(d) 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 $131,464.

(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

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

(g) 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 ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 1783992 | 3584001 | 4283788 | 14891 | - | - | 1084205 | 0.0% |
| Total | 1783992 | 3584001 | 4283788 | 14891 | - | - | 1084205 |  |

---

Amounts in the 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.Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Foreign Government and Government Agency Obligations 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.U.S. Government Agency - Mortgage Securities, Asset-Backed Securities and Commercial Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, 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.

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):

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 OTC 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.

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 Income Fund

- **b. Investment Company Act file number:** 811-04085

- **c. CIK number of Registrant:** 0000751199

- **d. LEI of Registrant:** D66RCKM57LC8ELZCAY58

- **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 Environmental Bond Fund

- **b. EDGAR series identifier (if any):** S000072130

- **c. LEI of Series:** 549300CM673U4XQN4K40

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**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:** $29909185.13

**Total Liabilities:** $294553.98

**Net Assets:** $29614631.15

**Delayed Delivery Securities:** $98859.38

**Cash Not Reported:** $87507.85

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 554.35846420 | **1-Year:** 2871.77399106 | **5-Year:** 5841.95668475 | **10-Year:** 5671.91130622 | **30-Year:** 4658.87448122

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

- **3-Month:** 99.67261887 | **1-Year:** 429.54405634 | **5-Year:** 717.54921889 | **10-Year:** 196.79377392 | **30-Year:** 24.37839229

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000227902 | -8.15%               | -5.43%               | -0.25%               |
| Class ID C000227903 | -4.30%               | -1.47%               | 3.93%                |
| Class ID C000227904 | -4.20%               | -1.48%               | 3.79%                |
| Class ID C000227905 | -5.23%               | -2.53%               | 2.72%                |
| Class ID C000227901 | -8.15%               | -5.43%               | -0.25%               |
| Class ID C000227906 | -4.29%               | -1.46%               | 3.93%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-39629.72               | $-1397636.62                               |
| Month 2  | $-36080.33               | $-481595.71                                |
| Month 3  | $-85340.54               | $1079594.16                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Aggregate Bond Index

- **Index Identifier:** 19808143

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMORGAN CHASE BANK NA NEW YORK NY                          | FX Forward: USD/EUR settle 2022-12-08                                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-67.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.25% 06/30/2027                                                         | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1820000 | PA      | $1772651.57   | 5.99%             | 2027-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                     | BANK OF NOVA SCOTIA 0.65% 07/31/2024                                               | CUSIP: 0641596E1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $232539.12    | 0.79%             | 2024-07-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TESLA 2020-A                                                | TESLA 2020-A 0.68% 12/20/2023 144A                                                 | CUSIP: 88167HAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     11762 | PA      | $11713.63     | 0.04%             | 2023-12-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IBERDROLA INTERNATIONAL BV                                  | IBERDROLA INTL BV 3.25%/VAR PERP REGS                                              | CUSIP: N/A<br>LEI: 549300ZMLFJKWC63XN87       | Long             | EP               | CORP              | NL        |    200000 | PA      | $200329.24    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEARWAY ENERGY OPERATING LLC                               | CLEARWAY ENERGY OPER LLC 3.75% 01/15/2032 144A                                     | CUSIP: 18539UAE5<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |    100000 | PA      | $79700.72     | 0.27%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                                | CAIXABANK SA 1.25%/VAR 06/18/2031 REGS                                             | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |    100000 | PA      | $89423.96     | 0.30%             | 2031-06-18      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELEC PWR CO                                       | WISCONSIN ELEC PWR CO 4.75% 09/30/2032                                             | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396255.18    | 1.34%             | 2032-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                             | NXP B V/NXP FDG LLC/NXP USA INC 2.5% 05/11/2031                                    | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    100000 | PA      | $79206.25     | 0.27%             | 2031-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                   | BANK OF IRELAND (UNGTD) 6.253%/VAR 09/16/2026 144A                                 | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $195964.27    | 0.66%             | 2026-09-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EVONIK INDUSTRIES AG                                        | EVONIK INDUSTRIES AG 1.375%/VAR 09/02/2081 REGS                                    | CUSIP: N/A<br>LEI: 41GUOJQTALQHLF39XJ34       | Long             | DBT              | CORP              | DE        |    100000 | PA      | $85186.64     | 0.29%             | 2081-09-02      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| S and P GLOBAL INC                                          | S and P GLOBAL INC 2.7% 03/01/2029 144A                                            | CUSIP: 78409VBB9<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |    400000 | PA      | $355520.54    | 1.20%             | 2029-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                       | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    170000 | PA      | $122765.23    | 0.41%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                 | PEPSICO INC 3.9% 07/18/2032                                                        | CUSIP: 713448FM5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95939.78     | 0.32%             | 2032-07-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 01/01/2052#CB2786                                                     | CUSIP: 3140QNCY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    985725 | PA      | $875193.30    | 2.96%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                | ING GROEP NV 2.125%/VAR 05/23/2026 REGS                                            | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    100000 | PA      | $99332.76     | 0.34%             | 2026-05-23      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG IN MUENCHEN   | MUNICH RE GROUP 5.875%/VAR 05/23/2042 144A                                         | CUSIP: 62582PAA8<br>LEI: 529900MUF4C20K50JS49 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $196143.20    | 0.66%             | 2042-05-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENTAL DEL URUGUAY                              | URUGUAY REPUBLICA ORIENTAL DL 5.75% 10/28/2034                                     | CUSIP: 760942BE1<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |    100000 | PA      | $109000.00    | 0.37%             | 2034-10-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                                        | ENEL FINANCE INTL NV 1.375% 07/12/2026 144A                                        | CUSIP: 29278GAM0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    600000 | PA      | $519690.73    | 1.75%             | 2026-07-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NSTAR ELEC CO                                               | NSTAR ELEC CO 4.95% 09/15/2052                                                     | CUSIP: 67021CAT4<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    400000 | PA      | $389285.78    | 1.31%             | 2052-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                               | FORD MOTOR CO 3.25% 02/12/2032                                                     | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    500000 | PA      | $396976.60    | 1.34%             | 2032-02-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KAISER FNDTN HOSPS                                          | KAISER FNDTN HOSPS 3.15% 05/01/2027                                                | CUSIP: 48305QAC7<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47121.15     | 0.16%             | 2027-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUNNOVA HELIOS VIII ISSUER LLC                              | SUNNOVA HELIOS VIII ISSUER LLC 2.79% 02/22/2049 144A                               | CUSIP: 86745AAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    236892 | PA      | $203221.99    | 0.69%             | 2049-02-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LEND LEASE FINANCE LTD                                      | LEND LEASE FINANCE LTD 3.4% 10/27/2027 REGS                                        | CUSIP: N/A<br>LEI: 5493002EE2IQRQ3JUP44       | Long             | DBT              | CORP              | AU        |     50000 | PA      | $30047.37     | 0.10%             | 2027-10-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                           | EURO-BOBL FUTURE DEC22 OEZ2                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -15 | NC      | $47401.93     | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                  | TENNESSEE VALLEY AUTHORITY 1.5% 09/15/2031                                         | CUSIP: 880591EX6<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    200000 | PA      | $160351.50    | 0.54%             | 2031-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                      | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    750000 | PA      | $493212.89    | 1.67%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                        | FX Forward: USD/GBP settle 2022-12-08                                              | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-2668.08     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 0.25% 06/15/2024                                                         | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $140437.50    | 0.47%             | 2024-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 2.75% 08/15/2032                                                         | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $9262.50      | 0.03%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                            | ABN AMRO BANK NV 2.47%/VAR 12/13/2029 144A                                         | CUSIP: 00084DAW0<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $162122.89    | 0.55%             | 2029-12-13      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                           | EURO-SCHATZ FUT DEC22 DUZ2                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -14 | NC      | $19922.51     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| REXFORD INDUSTRIAL REALTY LP                                | REXFORD INDUSTRIAL REALTY LP 2.15% 09/01/2031                                      | CUSIP: 76169XAB0<br>LEI: 549300028US163ELJN70 | Long             | DBT              | CORP              | US        |    314000 | PA      | $242432.67    | 0.82%             | 2031-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                            | FX Forward: EUR/USD settle 2022-12-08                                              | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $26.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                         | PRUDENTIAL FINL INC 1.5% 03/10/2026                                                | CUSIP: 74432QCH6<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |    325000 | PA      | $294233.77    | 0.99%             | 2026-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                           | TELUS CORPORATION 3.4% 05/13/2032                                                  | CUSIP: 87971MBW2<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $172657.54    | 0.58%             | 2032-05-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AUTODESK INC                                                | AUTODESK INC 2.4% 12/15/2031                                                       | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |    300000 | PA      | $242755.33    | 0.82%             | 2031-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.375% 10/31/2024                                                        | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    375000 | PA      | $374912.11    | 1.27%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHMS KSG4 A2 3.4% 8/32                                                             | CUSIP: 3137H92X6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $183237.70    | 0.62%             | 2032-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                     | BPCE SA 0%/VAR 01/14/2028 REGS                                                     | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |    100000 | PA      | $89594.41     | 0.30%             | 2028-01-14      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                 | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                      | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     22000 | PA      | $23006.67     | 0.08%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TERNA - RETE ELETTRICA NAZIONALE                            | TERNA - RETE ELETTRICA NAZIONALE 2.375%/VAR PERP REGS                              | CUSIP: N/A<br>LEI: 8156009E94ED54DE7C31       | Long             | EP               | CORP              | IT        |    100000 | PA      | $87150.25     | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| CTP BV                                                      | CTP BV 0.5% 06/21/2025 REGS                                                        | CUSIP: N/A<br>LEI: 3157000YTVO4TN65UM14       | Long             | DBT              | CORP              | NL        |    200000 | PA      | $174766.69    | 0.59%             | 2025-06-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: USD/EUR settle 2022-12-08                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-710.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    401000 | PA      | $355388.46    | 1.20%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                          | WELLS FARGO and CO NEW 4.54%/VAR 08/15/2026                                        | CUSIP: 95000U3C5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97973.47     | 0.33%             | 2026-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE GLOBAL INVESTOR PAN EUROPEAN CORE FUND                 | CBRE GLOBAL INVESTOR PAN EUROPEAN CORE FUND 0.9% 10/12/2029 REGS                   | CUSIP: N/A<br>LEI: 529900J5H3JGJ83AUZ88       | Long             | DBT              | CORP              | LU        |    100000 | PA      | $77995.05     | 0.26%             | 2029-10-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                              | PACIFIC LIFE GF II 1.375% 04/14/2026 144A                                          | CUSIP: 6944PL2E8<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    250000 | PA      | $221942.32    | 0.75%             | 2026-04-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HITACHI FINANCE (UK) PLC                                    | HITACHI FINANCE (UK) PLC 0% 10/29/2024 REGS                                        | CUSIP: N/A<br>LEI: 549300P4PHVCL0EZU771       | Long             | DBT              | CORP              | GB        |    100000 | PA      | $96197.15     | 0.32%             | 2024-10-29      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ORSTED A/S                                                  | ORSTED A/S 2.25%/VAR 11/24/3017 REGS                                               | CUSIP: N/A<br>LEI: W9NG6WMZIYEU8VEDOG48       | Long             | EP               | CORP              | DK        |    100000 | PA      | $98210.79     | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                          | METROPOLITAN LIFE GLBL FDG I 0.95% 07/02/2025 144A                                 | CUSIP: 59217GEJ4<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    250000 | PA      | $225993.36    | 0.76%             | 2025-07-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                         | FIFTH THIRD BANCORP SOFR 1.707%/VAR 11/01/2027                                     | CUSIP: 316773DD9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |    200000 | PA      | $176996.88    | 0.60%             | 2027-11-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                | HUDSON PAC PPTYS LP 5.95% 02/15/2028                                               | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    151000 | PA      | $143360.40    | 0.48%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                 | BANK OF AMERICA CORPORATION 6.204%/VAR 11/10/2028                                  | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    140000 | PA      | $144804.10    | 0.49%             | 2028-11-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF CO                                     | PUBLIC SERVICE CO OF CO 3.7% 06/15/2028                                            | CUSIP: 744448CP4<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    325000 | PA      | $307956.18    | 1.04%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                   | NATWEST GRP PLC(UNGTD) 2.057%/VAR 11/09/2028 REGS                                  | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    100000 | PA      | $99966.57     | 0.34%             | 2028-11-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                        | TELEFONICA EUROPE BV 2.502%/VAR PERP REGS                                          | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | EP               | CORP              | NL        |    200000 | PA      | $176902.00    | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                       | MICRON TECHNOLOGY INC 2.703% 04/15/2032                                            | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    200000 | PA      | $154609.21    | 0.52%             | 2032-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ACEF HOLDING SCA                                            | ACEF HOLDING SCA 1.25% 04/26/2030 REGS                                             | CUSIP: N/A<br>LEI: 213800KW7LHVG5QUS111       | Long             | DBT              | CORP              | LU        |    100000 | PA      | $75254.53     | 0.25%             | 2030-04-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC                    | ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 4.125% 06/15/2028 144A                    | CUSIP: 04916WAA2<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $176305.03    | 0.60%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                         | FX Forward: USD/EUR settle 2022-12-08                                              | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-35.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASML HOLDING NV                                             | ASML HOLDING NV 2.25% 05/17/2032 REGS                                              | CUSIP: N/A<br>LEI: 724500Y6DUVHQD6OXN27       | Long             | DBT              | CORP              | NL        |    100000 | PA      | $98352.31     | 0.33%             | 2032-05-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                      | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1360000 | PA      | $1130500.00   | 3.82%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUNRUN CALLISTO ISSUER LLC 2021                             | SUNRUN CALLISTO ISSUER LLC 2021 2.27% 01/30/2057 144A                              | CUSIP: 86772HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    190297 | PA      | $148424.36    | 0.50%             | 2057-01-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE CO OF CO                                     | PUBLIC SERVICE CO OF CO 2.7% 01/15/2051                                            | CUSIP: 744448CU3<br>LEI: 5BANEF6PGSEK0SNMQF44 | Long             | DBT              | CORP              | US        |    300000 | PA      | $196051.28    | 0.66%             | 2051-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 11/01/2041#RB0708                                                     | CUSIP: 3133KTYD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    239861 | PA      | $203684.73    | 0.69%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                 | CITYCON OYJ 4.496%/VAR PERP REGS                                                   | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |    100000 | PA      | $63797.31     | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                         | BANCO BILBAO VIZ ARGENTARIA SA 6%/VAR PERP REGS                                    | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | EP               | CORP              | ES        |    200000 | PA      | $200694.28    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                           | GENERAL MOTORS CO 5.6% 10/15/2032                                                  | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192222.56    | 0.65%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                            | DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS                                         | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    100000 | PA      | $96442.81     | 0.33%             | 2028-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | FX Forward: USD/EUR settle 2022-12-08                                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VALEO                                                       | VALEO 1% 08/03/2028 REGS                                                           | CUSIP: N/A<br>LEI: 5493006IH2N2WMIBB742       | Long             | DBT              | CORP              | FR        |    200000 | PA      | $163607.71    | 0.55%             | 2028-08-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                             | NXP B V/NXP FDG LLC/NXP USA INC 5% 01/15/2033                                      | CUSIP: 62954HBB3<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    200000 | PA      | $190002.00    | 0.64%             | 2033-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 3% 08/15/2052                                          | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    185000 | PA      | $158406.25    | 0.53%             | 2052-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                  | VONOVIA SE 5% 11/23/2030 REGS                                                      | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |    100000 | PA      | $106097.08    | 0.36%             | 2030-11-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 01/01/2052#RA6694                                                     | CUSIP: 3133KNNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    476178 | PA      | $392455.00    | 1.33%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                             | ZF FINANCE GMBH 2% 05/06/2027 REGS                                                 | CUSIP: N/A<br>LEI: 5493001N9T6QDCCXB426       | Long             | DBT              | CORP              | DE        |    200000 | PA      | $176641.85    | 0.60%             | 2027-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENERGIAS DE PORTUGAL SA                                     | ENERGIAS DE PORTUGAL SA 1.7%/VAR 07/20/2080 REGS                                   | CUSIP: N/A<br>LEI: 529900CLC3WDMGI9VH80       | Long             | DBT              | CORP              | PT        |    200000 | PA      | $186678.64    | 0.63%             | 2080-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                                      | VMED O2 UK FINANCING I 4.75% 07/15/2031 144A                                       | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $166170.00    | 0.56%             | 2031-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                           | GENERAL MOTORS CO 5.4% 10/15/2029                                                  | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192996.80    | 0.65%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | FX Forward: USD/AUD settle 2022-12-08                                              | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $-26.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CO                                               | FORD MOTOR CO 6.1% 08/19/2032                                                      | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    200000 | PA      | $191955.27    | 0.65%             | 2032-08-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                         | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   1083988 | NS      | $1084204.87   | 3.66%             |  |  |  | No            |                  1 | On Loan: No      |
| NTT FINANCE CORP                                            | NTT FINANCE CORP 4.372% 07/27/2027 144A                                            | CUSIP: 62954WAK1<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    100000 | PA      | $98613.22     | 0.33%             | 2027-07-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UDR INC                                                     | UDR INC 1.9% 03/15/2033                                                            | CUSIP: 90265EAU4<br>LEI: P3CH2EG5X6Z1XWU1OO74 | Long             | DBT              | CORP              | US        |    375000 | PA      | $267926.22    | 0.90%             | 2033-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                   | BANK IRELAND GROUP PLC 0.375%/VAR 05/10/2027 REGS                                  | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    155000 | PA      | $138389.39    | 0.47%             | 2027-05-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.125% 10/31/2027                                                        | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    666000 | PA      | $674481.10    | 2.28%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 2% 11/15/2041                                          | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2970000 | PA      | $2163111.32   | 7.30%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.123% 08/25/2032                                   | CUSIP: 3137H8TZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200000 | PA      | $179078.72    | 0.60%             | 2032-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                           | EURO-BUND FUTURE DEC22 RXZ2                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -3 | NC      | $15323.35     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ENBW ENERGIE BADEN-WUERTTEM AG                              | ENBW ENERGIE BADEN-WUERTTEM AG 1.875%/VAR 06/29/2080 REGS                          | CUSIP: N/A<br>LEI: 529900JSFZ4TS59HKD79       | Long             | DBT              | CORP              | DE        |    200000 | PA      | $177942.60    | 0.60%             | 2080-06-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                           | TENNET HOLDING BV 2.993%/VAR PERP REGS                                             | CUSIP: N/A<br>LEI: 724500LTUWK3JQG63903       | Long             | EP               | CORP              | NL        |    125000 | PA      | $126172.75    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.329% 06/25/2030                                   | CUSIP: 3137FVED0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160000 | PA      | $127908.38    | 0.43%             | 2030-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MERCK and CO INC                                            | MERCK and CO INC 1.9% 12/10/2028                                                   | CUSIP: 58933YBD6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |    300000 | PA      | $261061.28    | 0.88%             | 2028-12-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5% 12/01/2052 #TBA                                                       | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $99562.45     | 0.34%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.125% 09/16/2025 REGS | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |    100000 | PA      | $92446.90     | 0.31%             | 2025-09-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 06/01/2036#CB1048                                                     | CUSIP: 3140QLEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156961 | PA      | $141536.56    | 0.48%             | 2036-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| RWE AG                                                      | RWE AG 2.125% 05/24/2026 REGS                                                      | CUSIP: N/A<br>LEI: 529900GB7KCA94ACC940       | Long             | DBT              | CORP              | DE        |    100000 | PA      | $100068.26    | 0.34%             | 2026-05-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                    | AES CORP 2.45% 01/15/2031                                                          | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    300000 | PA      | $238385.28    | 0.80%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | FX Forward: USD/EUR settle 2022-12-08                                              | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $-16055.97    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                      | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                      | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    325000 | PA      | $293555.82    | 0.99%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                          | CANADIAN IMPERIAL BK OF COMM 0.95% 10/23/2025                                      | CUSIP: 13607GRR7<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    325000 | PA      | $291735.39    | 0.99%             | 2025-10-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 02/01/2052#RA6528                                                   | CUSIP: 3133KNHD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372575 | PA      | $318995.03    | 1.08%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 03/01/2052#RA7091                                                   | CUSIP: 3133KN2Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    994545 | PA      | $851518.68    | 2.88%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                           | GENERAL MILLS INC 2.25% 10/14/2031                                                 | CUSIP: 370334CQ5<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    650000 | PA      | $529746.91    | 1.79%             | 2031-10-14      | Fixed         | 0.02%                 | 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        |    100000 | PA      | $80360.53     | 0.27%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                               | P3 GROUP SARL 0.875% 01/26/2026 REGS                                               | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |    100000 | PA      | $85912.29     | 0.29%             | 2026-01-26      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                  | VERIZON COMMUNICATIONS INC 3.875% 02/08/2029                                       | CUSIP: 92343VES9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    300000 | PA      | $283569.64    | 0.96%             | 2029-02-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                             | FX Forward: USD/GBP settle 2022-12-08                                              | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.94         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                | ING GROEP NV 0.875%/VAR 06/09/2032 REGS                                            | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    100000 | PA      | $88956.32     | 0.30%             | 2032-06-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                | WP CAREY INC 2.45% 02/01/2032                                                      | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    350000 | PA      | $271096.09    | 0.92%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ACCIONA ENERGIA FINANCIACION FILIALES SA                    | ACCIONA ENERGIA FINANCIACION FILIALES SA 0.375% 10/07/2027 REGS                    | CUSIP: N/A<br>LEI: 254900CO48EPLIMJDK17       | Long             | DBT              | CORP              | ES        |    100000 | PA      | $90988.61     | 0.31%             | 2027-10-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3% 07/15/2025                                                            | CUSIP: 91282CEY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1375000 | PA      | $1335253.91   | 4.51%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 2.875% 05/15/2032                                                        | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $328070.31    | 1.11%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NE PROPERTY BV                                              | NE PROPERTY BV 2% 01/20/2030 REGS                                                  | CUSIP: N/A<br>LEI: 7245006AG9J70KOIJH36       | Long             | DBT              | CORP              | NL        |    100000 | PA      | $72581.85     | 0.25%             | 2030-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | FX Forward: USD/EUR settle 2022-12-08                                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-53.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                               | NORTHERN STATES POWER CO (MN) 2.25% 04/01/2031                                     | CUSIP: 665772CT4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    500000 | PA      | $418710.73    | 1.41%             | 2031-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AXA LOGISTICS EUROPE MASTER SCA                             | AXA LOGISTICS EUROPE MASTER SCA 0.375% 11/15/2026 REGS                             | CUSIP: N/A<br>LEI: 213800IWFTNKN5BPH814       | Long             | DBT              | CORP              | LU        |    100000 | PA      | $90201.08     | 0.30%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2052#RA7258                                                   | CUSIP: 3133KPB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100043 | PA      | $91934.03     | 0.31%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 10YR 1.5% 12/01/2031#RD0016                                                   | CUSIP: 3133LJAR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    310506 | PA      | $283753.26    | 0.96%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 04/01/2051#RA5180                                                     | CUSIP: 3133KLXH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86444 | PA      | $71379.90     | 0.24%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WALMART INC                                                 | WALMART INC 1.8% 09/22/2031                                                        | CUSIP: 931142ET6<br>LEI: Y87794H0US1R65VBXU25 | Long             | DBT              | CORP              | US        |    300000 | PA      | $247728.21    | 0.84%             | 2031-09-22      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                     | SANTANDER HLDGS USA INC SOFR 5.807%/VAR 09/09/2026                                 | CUSIP: 80282KBE5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     43000 | PA      | $42813.41     | 0.14%             | 2026-09-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME SOLUTION TRUST 2021-5             | GOODLEAP SUSTAINABLE HOME SOLUTION TRUST 2021-5 2.31% 10/20/2048 144A              | CUSIP: 38237HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    348686 | PA      | $249539.04    | 0.84%             | 2048-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: USD/EUR settle 2022-12-08                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-62.64       | -0.00%            |  |  |  | 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        |    100000 | PA      | $78299.32     | 0.26%             | 2030-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | BNP PARIBAS 0.5%/VAR 05/30/2028 REGS                                               | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |    100000 | PA      | $88705.74     | 0.30%             | 2028-05-30      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                          | ANALOG DEVICES INC 1.7% 10/01/2028                                                 | CUSIP: 032654AU9<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    500000 | PA      | $428016.93    | 1.45%             | 2028-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                               | AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS                                           | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    225000 | PA      | $209068.51    | 0.71%             | 2031-05-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 10YR ULTRA FUT MAR23 UXYH3                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        -5 | NC      | $-6026.65     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET CORP                                           | STATE STREET CORP 5.751%/VAR 11/04/2026                                            | CUSIP: 857477BX0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102129.60    | 0.34%             | 2026-11-04      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer