# EDGAR Filing Document

**Accession Number:** 0001562565
**File Stem:** 0001752724-23-014657
**Filing Date:** 2023-1
**Character Count:** 154610
**Document Hash:** ff3869fdc08054f78a4665d53457767a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014657.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014657

**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 Merrimack Street Trust
- **CENTRAL INDEX KEY:** 0001562565
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22796
- **FILM NUMBER:** 23556500

**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

## Series and Classes Contracts Data

### Fidelity Low Duration Bond Factor ETF (Series ID: S000062079)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000201028 | Fidelity Low Duration Bond Factor ETF | FLDR            |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Low Duration Bond Factor ETF**

**November 30, 2022**

LDE-NPRT1-0123

1.9887645.104 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 87.0%** | &nbsp;&nbsp;**Nonconvertible Bonds - 87.0%** | &nbsp;&nbsp;**Nonconvertible Bonds - 87.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 3.6%  |  |  |
| Diversified Telecommunication Services - 2.3% |  |  |
| AT&T, Inc.: |  |  |
|  3 month U.S. LIBOR + 1.180% 4.4157% 6/12/24 (b)(c) | 1770000  | 1778174  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.640% 3.9758% 3/25/24 (b)(c) | 350000  | 347407  |
| Verizon Communications, Inc.: |  |  |
|  3 month U.S. LIBOR + 1.100% 5.7061% 5/15/25 (b)(c) | 1713000  | 1716603  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.790% 4.0413% 3/20/26 (b)(c) | 780000  | 756963  |
|  |  | 4599147 |
| Interactive Media & Services - 0.4% |  |  |
| Tencent Holdings Ltd.: |  |  |
|  3 month U.S. LIBOR + 0.910% 4.8187% 4/11/24 (b)(c)(d) | 600000  | 595988  |
|  3 month U.S. LIBOR + 0.910% 4.8187% 4/11/24 (Reg. S) (b)(c) | 200000  | 198663  |
|  |  | 794651 |
| Media - 0.7% |  |  |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 3 month U.S. LIBOR + 1.650% 6.0896% 2/1/24 (b)(c) | 538000 | 541042 |
| Comcast Corp. 3 month U.S. LIBOR + 0.630% 4.7091% 4/15/24 (b)(c) | 591000 | 592176 |
| Magallanes, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.780% 4.9944% 3/15/24 (b)(c)(d) | 300000 | 298987 |
|  |  | 1432205 |
| Wireless Telecommunication Services - 0.2% |  |  |
| Vodafone Group PLC 3 month U.S. LIBOR + 0.990% 5.0691% 1/16/24 (b)(c) | 400000 | 399828 |
| TOTAL COMMUNICATION SERVICES |  | 7225831 |
| CONSUMER DISCRETIONARY - 3.8%  |  |  |
| Automobiles - 3.5% |  |  |
| American Honda Finance Corp.: |  |  |
|  3 month U.S. LIBOR + 0.370% 4.962% 5/10/23 (b)(c) | 660000  | 660094  |
|  3 month U.S. LIBOR + 0.420% 3.5879% 9/8/23 (b)(c) | 900000  | 897157  |
| BMW U.S. Capital LLC U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.380% 4.1785% 8/12/24 (b)(c)(d) | 1900000 | 1879824 |
| Daimler Finance North America LLC 3 month U.S. LIBOR + 0.840% 5.3484% 5/4/23 (b)(c)(d) | 900000 | 900638 |
| General Motors Financial Co., Inc.: |  |  |
|  3 month U.S. LIBOR + 0.990% 4.7383% 1/5/23 (b)(c) | 561000  | 560590  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.300% 4.7124% 4/7/25 (b)(c) | 200000  | 194385  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 3.8989% 3/8/24 (b)(c) | 840000  | 823534  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.040% 4.8395% 2/26/27 (b)(c) | 400000  | 373038  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.200% 5.0026% 11/17/23 (b)(c) | 300000  | 298725  |
| Nissan Motor Acceptance Corp. 3 month U.S. LIBOR + 0.640% 3.8079% 3/8/24 (b)(c)(d) | 420000 | 411708 |
|  |  | 6999693 |
| Internet & Direct Marketing Retail - 0.3% |  |  |
| eBay, Inc. 3 month U.S. LIBOR + 0.870% 5.2847% 1/30/23 (b)(c) | 535000 | 534978 |
| TOTAL CONSUMER DISCRETIONARY |  | 7534671 |
| CONSUMER STAPLES - 0.3%  |  |  |
| Food Products - 0.3% |  |  |
| General Mills, Inc. 3 month U.S. LIBOR + 1.010% 5.0891% 10/17/23 (b)(c) | 502000 | 503503 |
| ENERGY - 1.4%  |  |  |
| Oil, Gas & Consumable Fuels - 1.4% |  |  |
| Chevron Corp. 3 month U.S. LIBOR + 0.900% 5.53% 5/11/23 (b)(c) | 750000 | 751137 |
| Chevron U.S.A., Inc. 3 month U.S. LIBOR + 0.200% 4.8497% 8/11/23 (b)(c) | 160000 | 159881 |
| Enbridge, Inc.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.630% 4.4322% 2/16/24 (b)(c) | 300000  | 297069  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 4.2026% 2/17/23 (b)(c) | 1040000  | 1039024  |
| Shell International Finance BV 3 month U.S. LIBOR + 0.400% 5.0497% 11/13/23 (b)(c) | 495000 | 496476 |
|  |  | 2743587 |
| FINANCIALS - 66.9%  |  |  |
| Banks - 43.3% |  |  |
| ANZ New Zealand International Ltd. London Branch U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 4.4024% 2/18/25 (b)(c)(d) | 400000 | 396120 |
| ASB Bank Ltd. 3 month U.S. LIBOR + 0.970% 4.2401% 6/14/23 (b)(c)(d) | 500000 | 500376 |
| Banco Santander SA: |  |  |
|  3 month U.S. LIBOR + 1.090% 5.7819% 2/23/23 (b)(c) | 1400000  | 1400282  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.240% 5.0403% 5/24/24 (b)(c) | 600000  | 597156  |
| Bank of America Corp.: |  |  |
|  3 month U.S. LIBOR + 0.760% 4.0526% 9/15/26 (b)(c) | 300000  | 291249  |
|  3 month U.S. LIBOR + 0.770% 5.3016% 2/5/26 (b)(c) | 1361000  | 1337969  |
|  3 month U.S. LIBOR + 0.790% 3.9481% 3/5/24 (b)(c) | 1130000  | 1128413  |
|  3 month U.S. LIBOR + 0.960% 5.2846% 7/23/24 (b)(c) | 1672000  | 1671507  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.660% 4.4605% 2/4/25 (b)(c) | 200000  | 196507  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 4.2985% 4/22/25 (b)(c) | 1200000  | 1179819  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.730% 4.3385% 10/24/24 (b)(c) | 1610000  | 1593942  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.330% 4.7438% 4/2/26 (b)(c) | 400000  | 396432  |
| Bank of Montreal: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.270% 3.7323% 4/14/23 (b)(c) | 550000  | 549320  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.320% 3.7389% 7/9/24 (b)(c) | 1560000  | 1540299  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.460% 3.8839% 1/10/25 (b)(c) | 320000  | 313726  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.620% 3.8344% 9/15/26 (b)(c) | 500000  | 481695  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.680% 3.8391% 3/10/23 (b)(c) | 3300000  | 3301089  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.060% 4.1615% 6/7/25 (b)(c) | 200000  | 197439  |
| Bank of New Zealand U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.810% 4.4228% 1/27/27 (b)(c)(d) | 350000 | 345681 |
| Bank of Nova Scotia: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.540% 3.6122% 3/2/26 (b)(c) | 1559000  | 1502424  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.550% 3.7644% 9/15/23 (b)(c) | 200000  | 199629  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 4.0268% 7/31/24 (b)(c) | 810000  | 800276  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.460% 3.8789% 1/10/25 (b)(c) | 200000  | 196400  |
| Banque Federative du Credit Mutuel SA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.410% 4.183% 2/4/25 (b)(c)(d) | 1030000 | 1007072 |
| Barclays PLC 3 month U.S. LIBOR + 1.380% 6.0239% 5/16/24 (b)(c) | 1350000 | 1342734 |
| BPCE SA: |  |  |
|  3 month U.S. LIBOR + 1.240% 4.4757% 9/12/23 (b)(c)(d) | 250000  | 249973  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.570% 4.017% 1/14/25 (b)(c)(d) | 480000  | 468370  |
| Canadian Imperial Bank of Commerce: |  |  |
|  3 month U.S. LIBOR + 0.660% 3.9054% 9/13/23 (b)(c) | 654000  | 654661  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 3.6028% 12/14/23 (b)(c) | 1224000  | 1215457  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.420% 3.8997% 10/18/24 (b)(c) | 290000  | 285055  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.340% 3.6458% 6/22/23 (b)(c) | 800000  | 797906  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.940% 4.3525% 4/7/25 (b)(c) | 700000  | 691990  |
| Citigroup, Inc.: |  |  |
|  3 month U.S. LIBOR + 1.020% 4.1051% 6/1/24 (b)(c) | 2087000  | 2083863  |
|  3 month U.S. LIBOR + 1.100% 5.7497% 5/17/24 (b)(c) | 1164000  | 1165113  |
|  3 month U.S. LIBOR + 1.250% 4.9929% 7/1/26 (b)(c) | 990000  | 976822  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.660% 4.4221% 5/1/25 (b)(c) | 810000  | 794882  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 4.2484% 1/25/26 (b)(c) | 640000  | 623046  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.770% 3.9555% 6/9/27 (b)(c) | 200000  | 190230  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.520% 4.8343% 3/17/26 (b)(c) | 400000  | 395737  |
| Commonwealth Bank of Australia: |  |  |
|  3 month U.S. LIBOR + 0.700% 4.1834% 3/16/23 (b)(c)(d) | 852000  | 852695  |
|  3 month U.S. LIBOR + 0.820% 3.9781% 6/4/24 (b)(c)(d) | 103000  | 103055  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 3.8124% 7/7/25 (b)(c)(d) | 2100000  | 2065856  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 3.7182% 6/15/26 (b)(c)(d) | 410000  | 401376  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.740% 3.9428% 3/14/25 (b)(c)(d) | 300000  | 298224  |
| Credit Agricole SA 3 month U.S. LIBOR + 1.020% 5.3446% 4/24/23 (b)(c)(d) | 250000 | 250365 |
| Danske Bank A/S 3 month U.S. LIBOR + 1.060% 4.2957% 9/12/23 (b)(c)(d) | 400000 | 399864 |
| DNB Bank ASA U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 4.186% 3/28/25 (b)(c)(d) | 300000 | 298814 |
| Federation des caisses Desjardin U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.430% 4.2281% 5/21/24 (b)(c)(d) | 510000 | 503677 |
| HSBC Holdings PLC: |  |  |
|  3 month U.S. LIBOR + 1.000% 5.6743% 5/18/24 (b)(c) | 600000  | 597995  |
|  3 month U.S. LIBOR + 1.230% 4.4657% 3/11/25 (b)(c) | 1200000  | 1184099  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 4.3803% 11/22/24 (b)(c) | 1260000  | 1228460  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.430% 4.4697% 3/10/26 (b)(c) | 600000  | 588820  |
| Huntington National Bank U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.190% 4.9922% 5/16/25 (b)(c) | 300000 | 298846 |
| ING Groep NV: |  |  |
|  3 month U.S. LIBOR + 1.000% 4.7429% 10/2/23 (b)(c) | 300000  | 300464  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.640% 4.996% 3/28/26 (b)(c) | 1100000  | 1089152  |
| JPMorgan Chase & Co.: |  |  |
|  3 month U.S. LIBOR + 0.730% 5.0546% 4/23/24 (b)(c) | 1510000  | 1506392  |
|  3 month U.S. LIBOR + 0.850% 4.7587% 1/10/25 (b)(c) | 702000  | 695459  |
|  3 month U.S. LIBOR + 0.890% 5.2146% 7/23/24 (b)(c) | 2366000  | 2361836  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 4.345% 6/1/25 (b)(c) | 210000  | 205671  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 3.8064% 3/16/24 (b)(c) | 1460000  | 1451177  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 3.7488% 12/10/25 (b)(c) | 750000  | 729270  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.880% 4.4269% 4/22/27 (b)(c) | 600000  | 583172  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.920% 4.72% 2/24/26 (b)(c) | 1400000  | 1370166  |
| Mitsubishi UFJ Financial Group, Inc.: |  |  |
|  3 month U.S. LIBOR + 0.740% 3.8397% 3/2/23 (b)(c) | 306000  | 306281  |
|  3 month U.S. LIBOR + 0.860% 5.1869% 7/26/23 (b)(c) | 1672000  | 1675147  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.380% 4.4808% 9/12/25 (b)(c) | 500000  | 497930  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.650% 5.1297% 7/18/25 (b)(c) | 200000  | 200607  |
| Mizuho Financial Group, Inc.: |  |  |
|  3 month U.S. LIBOR + 0.630% 5.3873% 5/25/24 (b)(c) | 1800000  | 1788057  |
|  3 month U.S. LIBOR + 0.790% 3.9481% 3/5/23 (b)(c) | 600000  | 600301  |
|  3 month U.S. LIBOR + 1.000% 4.2357% 9/11/24 (b)(c) | 1140000  | 1136594  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 4.7606% 5/22/26 (b)(c) | 700000  | 682223  |
| National Australia Bank Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 3.8055% 1/12/25 (b)(c)(d) | 2370000 | 2342070 |
| NatWest Group PLC 3 month U.S. LIBOR + 1.550% 5.1914% 6/25/24 (b)(c) | 700000 | 698780 |
| NatWest Markets PLC: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.530% 4.3285% 8/12/24 (b)(c)(d) | 500000  | 492042  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.760% 4.1064% 9/29/26 (b)(c)(d) | 450000  | 426929  |
| Nordea Bank ABP U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.960% 4.0527% 6/6/25 (b)(c)(d) | 200000 | 198756 |
| Rabobank Nederland New York Branch: |  |  |
|  3 month U.S. LIBOR + 0.480% 4.3887% 1/10/23 (b)(c) | 400000  | 399948  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.300% 3.7255% 1/12/24 (b)(c) | 546000  | 542871  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.380% 3.7989% 1/10/25 (b)(c) | 930000  | 917398  |
| Royal Bank of Canada: |  |  |
|  3 month U.S. LIBOR + 0.660% 4.4083% 10/5/23 (b)(c) | 660000  | 658033  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.340% 3.7524% 10/7/24 (b)(c) | 580000  | 569872  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.450% 4.0468% 10/26/23 (b)(c) | 210000  | 209013  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.520% 4.0441% 1/20/26 (b)(c) | 1792000  | 1732989  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.570% 4.1828% 4/27/26 (b)(c) | 200000  | 193137  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.590% 4.3154% 11/2/26 (b)(c) | 330000  | 316644  |
| Societe Generale U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.050% 4.5802% 1/21/26 (b)(c)(d) | 630000 | 603792 |
| Standard Chartered PLC: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.930% 4.7303% 11/23/25 (b)(c)(d) | 300000  | 289952  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.740% 5.252% 3/30/26 (b)(c)(d) | 570000  | 561486  |
| Sumitomo Mitsui Financial Group, Inc.: |  |  |
|  3 month U.S. LIBOR + 0.740% 4.8191% 1/17/23 (b)(c) | 260000  | 259992  |
|  3 month U.S. LIBOR + 0.860% 5.0866% 7/19/23 (b)(c) | 1332000  | 1333577  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.880% 4.2588% 1/14/27 (b)(c) | 470000  | 459809  |
| Sumitomo Mitsui Trust Bank Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.440% 3.6265% 9/16/24 (b)(c)(d) | 800000 | 794142 |
| Swedbank AB U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 4.2896% 4/4/25 (b)(c)(d) | 400000 | 396704 |
| The Toronto-Dominion Bank: |  |  |
|  3 month U.S. LIBOR + 0.640% 4.8666% 7/19/23 (b)(c) | 793000  | 793557  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.240% 3.6462% 1/6/23 (b)(c) | 410000  | 409918  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 3.4477% 3/4/24 (b)(c) | 1300000  | 1287527  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.350% 3.5091% 9/10/24 (b)(c) | 950000  | 935152  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.410% 3.8289% 1/10/25 (b)(c) | 950000  | 930497  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 4.0928% 1/27/23 (b)(c) | 980000  | 980128  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.910% 4.0489% 3/8/24 (b)(c) | 200000  | 199496  |
| Truist Bank U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 3.6708% 1/17/24 (b)(c) | 1500000 | 1486342 |
| Truist Financial Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.400% 3.5488% 6/9/25 (b)(c) | 860000 | 840151 |
| Wells Fargo & Co. U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.320% 4.8744% 4/25/26 (b)(c) | 840000 | 833833 |
| Westpac Banking Corp.: |  |  |
|  3 month U.S. LIBOR + 0.390% 4.3307% 1/13/23 (b)(c) | 500000  | 499708  |
|  3 month U.S. LIBOR + 0.570% 4.4787% 1/11/23 (b)(c) | 1328000  | 1327493  |
|  3 month U.S. LIBOR + 0.720% 5.3261% 5/15/23 (b)(c) | 399000  | 399541  |
|  3 month U.S. LIBOR + 0.770% 5.5063% 2/26/24 (b)(c) | 172000  | 172312  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.520% 3.6041% 6/3/26 (b)(c) | 860000  | 841186  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.000% 4.7995% 8/26/25 (b)(c) | 500000  | 499500  |
|  |  | 86146983 |
| Capital Markets - 12.8% |  |  |
| Bank of New York Mellon Corp.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 3.7544% 10/25/24 (b)(c) | 150000  | 148066  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 4.1744% 4/25/25 (b)(c) | 700000  | 692227  |
| Charles Schwab Corp.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.500% 3.7387% 3/18/24 (b)(c) | 1003000  | 996185  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.520% 4.3185% 5/13/26 (b)(c) | 380000  | 367944  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 1.050% 4.1427% 3/3/27 (b)(c) | 500000  | 485684  |
| Credit Suisse AG U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.380% 4.1777% 8/9/23 (b)(c) | 1500000 | 1462397 |
| Credit Suisse Group AG: |  |  |
|  3 month U.S. LIBOR + 1.200% 4.4701% 12/14/23 (b)(c)(d) | 1260000  | 1258414  |
|  3 month U.S. LIBOR + 1.240% 4.4757% 6/12/24 (b)(c)(d) | 1000000  | 935000  |
| Deutsche Bank AG New York Branch U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.210% 5.0212% 11/16/27 (b)(c) | 300000 | 261930 |
| Goldman Sachs Group, Inc.: |  |  |
|  3 month U.S. LIBOR + 0.750% 5.4419% 2/23/23 (b)(c) | 415000  | 415402  |
|  3 month U.S. LIBOR + 1.170% 5.7761% 5/15/26 (b)(c) | 600000  | 592622  |
|  3 month U.S. LIBOR + 1.600% 6.3339% 11/29/23 (b)(c) | 3156000  | 3185112  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.490% 4.0202% 10/21/24 (b)(c) | 200000  | 196132  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.500% 3.6591% 9/10/24 (b)(c) | 1330000  | 1308996  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.580% 3.7189% 3/8/24 (b)(c) | 2330000  | 2303598  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.700% 4.2419% 1/24/25 (b)(c) | 500000  | 490980  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.810% 3.9588% 3/9/27 (b)(c) | 50000  | 47625  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.390% 4.6044% 3/15/24 (b)(c) | 600000  | 600673  |
| Macquarie Bank Ltd. U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.310% 4.6016% 3/21/25 (b)(c)(d) | 600000 | 601228 |
| Macquarie Group Ltd.: |  |  |
|  3 month U.S. LIBOR + 1.350% 4.9784% 3/27/24 (b)(c)(d) | 678000  | 676866  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.710% 4.1723% 10/14/25 (b)(c)(d) | 560000  | 543682  |
| Morgan Stanley: |  |  |
|  3 month U.S. LIBOR + 1.220% 5.7703% 5/8/24 (b)(c) | 1992000  | 1994104  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 4.2335% 1/24/25 (b)(c) | 1190000  | 1170960  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.950% 4.7531% 2/18/26 (b)(c) | 800000  | 786347  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.160% 4.6876% 4/17/25 (b)(c) | 200000  | 198331  |
| UBS AG London Branch: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.320% 4.13% 6/1/23 (b)(c)(d) | 450000  | 448958  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 4.1577% 2/9/24 (b)(c)(d) | 1651000  | 1639872  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 4.2477% 8/9/24 (b)(c)(d) | 1270000  | 1258354  |
| UBS Group AG U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.580% 5.3785% 5/12/26 (b)(c)(d) | 400000 | 399252 |
|  |  | 25466941 |
| Consumer Finance - 4.7% |  |  |
| AerCap Ireland Capital Ltd./AerCap Global Aviation Trust U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.680% 4.0414% 9/29/23 (b)(c) | 300000 | 293764 |
| American Express Co.: |  |  |
|  3 month U.S. LIBOR + 0.650% 5.3863% 2/27/23 (b)(c) | 26000  | 25989  |
|  3 month U.S. LIBOR + 0.750% 5.2097% 8/3/23 (b)(c) | 1424000  | 1427236  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.423% 11/4/26 (b)(c) | 550000  | 533997  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.720% 4.4683% 5/3/24 (b)(c) | 800000  | 797213  |
| Capital One Financial Corp.: |  |  |
|  3 month U.S. LIBOR + 0.720% 5.1347% 1/30/23 (b)(c) | 1264000  | 1263974  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.690% 3.845% 12/6/24 (b)(c) | 700000  | 684425  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.350% 5.1503% 5/9/25 (b)(c) | 500000  | 492553  |
| John Deere Capital Corp.: |  |  |
|  3 month U.S. LIBOR + 0.550% 3.6949% 6/7/23 (b)(c) | 200000  | 200153  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.200% 3.5597% 10/11/24 (b)(c) | 810000  | 800624  |
| Toyota Motor Credit Corp.: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.260% 3.4987% 6/18/24 (b)(c) | 1300000  | 1291180  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.330% 3.7489% 1/11/24 (b)(c) | 1000000  | 996868  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.320% 3.7743% 1/13/25 (b)(c) | 290000  | 285337  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 3.9258% 3/22/24 (b)(c) | 200000  | 199634  |
|  |  | 9292947 |
| Diversified Financial Services - 1.6% |  |  |
| AIG Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.380% 3.5944% 12/15/23 (b)(c)(d) | 344000 | 343085 |
| Athene Global Funding: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.560% 4.3624% 8/19/24 (b)(c)(d) | 1000000  | 976339  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.700% 4.5% 5/24/24 (b)(c)(d) | 1000000  | 980759  |
| GA Global Funding Trust U.S. Secured Overnight Fin. Rate (SOFR) Index + 1.360% 4.7789% 4/11/25 (b)(c)(d) | 500000 | 487413 |
| National Rural Utilities Cooperative Finance Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.8097% 10/18/24 (b)(c) | 400000 | 394768 |
|  |  | 3182364 |
| Insurance - 4.5% |  |  |
| Jackson National Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.600% 4.0062% 1/6/23 (b)(c)(d) | 380000 | 380036 |
| MassMutual Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.360% 3.7855% 4/12/24 (b)(c)(d) | 1800000 | 1784785 |
| Metropolitan Life Global Funding I: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.910% 4.2016% 3/21/25 (b)(c)(d) | 200000  | 200043  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.320% 3.7324% 1/7/24 (b)(c)(d) | 1964000  | 1950705  |
| New York Life Global Funding: |  |  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.330% 3.7923% 1/14/25 (b)(c)(d) | 1470000  | 1447651  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.360% 3.8902% 10/21/23 (b)(c)(d) | 870000  | 869940  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.310% 3.9068% 4/26/24 (b)(c)(d) | 280000  | 278102  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.480% 3.6288% 6/9/26 (b)(c)(d) | 200000  | 193068  |
| Northwestern Mutual Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.6585% 3/25/24 (b)(c)(d) | 424000 | 420427 |
| Pacific Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.620% 3.7127% 6/4/26 (b)(c)(d) | 760000 | 723567 |
| Principal Life Global Funding II U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.450% 3.8755% 4/12/24 (b)(c)(d) | 650000 | 644937 |
| Protective Life Global Funding U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.980% 4.336% 3/28/25 (b)(c)(d) | 200000 | 198035 |
|  |  | 9091296 |
| TOTAL FINANCIALS |  | 133180531 |
| HEALTH CARE - 2.9%  |  |  |
| Health Care Equipment & Supplies - 0.2% |  |  |
| Baxter International, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.260% 4.07% 12/1/23 (b)(c) | 300000 | 297265 |
| Health Care Providers & Services - 0.2% |  |  |
| Cigna Corp. 3 month U.S. LIBOR + 0.890% 4.9691% 7/15/23 (b)(c) | 390000 | 390851 |
| Life Sciences Tools & Services - 0.8% |  |  |
| Thermo Fisher Scientific, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.000% 3.8697% 10/18/23 (b)(c) | 1680000 | 1673083 |
| Pharmaceuticals - 1.7% |  |  |
| AstraZeneca PLC 3 month U.S. LIBOR + 0.660% 5.3147% 8/17/23 (b)(c) | 749000 | 750367 |
| Bayer U.S. Finance II LLC 3 month U.S. LIBOR + 1.010% 4.3026% 12/15/23 (b)(c)(d) | 1072000 | 1069874 |
| Pfizer, Inc. 3 month U.S. LIBOR + 0.330% 3.6226% 9/15/23 (b)(c) | 180000 | 179902 |
| Roche Holdings, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.560% 3.7088% 3/10/25 (b)(c)(d) | 1400000 | 1389584 |
|  |  | 3389727 |
| TOTAL HEALTH CARE |  | 5750926 |
| INDUSTRIALS - 2.1%  |  |  |
| Air Freight & Logistics - 0.2% |  |  |
| United Parcel Service, Inc. 3 month U.S. LIBOR + 0.450% 4.1929% 4/1/23 (b)(c) | 366000 | 365768 |
| Industrial Conglomerates - 0.5% |  |  |
| 3M Co. 3 month U.S. LIBOR + 0.300% 4.9497% 2/14/24 (b)(c) | 200000 | 199303 |
| General Electric Co. 3 month U.S. LIBOR + 0.380% 4.9116% 5/5/26 (b)(c) | 800000 | 766160 |
|  |  | 965463 |
| Machinery - 1.4% |  |  |
| Caterpillar Financial Services Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.270% 3.4396% 9/13/24 (b)(c) | 1890000 | 1879253 |
| Daimler Trucks Finance North America LLC 3.98% 12/13/24 (b)(d) | 1000000 | 987090 |
|  |  | 2866343 |
| TOTAL INDUSTRIALS |  | 4197574 |
| INFORMATION TECHNOLOGY - 0.3%  |  |  |
| Semiconductors & Semiconductor Equipment - 0.3% |  |  |
| Analog Devices, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.6231% 10/1/24 (b)(c) | 400000 | 394535 |
| Qualcomm, Inc. 3 month U.S. LIBOR + 0.730% 5.1447% 1/30/23 (b)(c) | 240000 | 240103 |
|  |  | 634638 |
| MATERIALS - 0.1%  |  |  |
| Chemicals - 0.1% |  |  |
| DuPont de Nemours, Inc. 3 month U.S. LIBOR + 1.110% 5.7161% 11/15/23 (b)(c) | 252000 | 251774 |
| REAL ESTATE - 0.2%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 0.2% |  |  |
| Simon Property Group LP U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.430% 3.8489% 1/11/24 (b)(c) | 430000 | 427031 |
| UTILITIES - 5.4%  |  |  |
| Electric Utilities - 4.3% |  |  |
| American Electric Power Co., Inc. 3 month U.S. LIBOR + 0.480% 4.9196% 11/1/23 (b)(c) | 400000 | 397574 |
| Duke Energy Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.250% 3.4091% 6/10/23 (b)(c) | 432000 | 430006 |
| Eversource Energy U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 4.0491% 8/15/23 (b)(c) | 375000 | 373423 |
| Florida Power & Light Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.250% 4.0481% 5/10/23 (b)(c) | 512000 | 510612 |
| NextEra Energy Capital Holdings, Inc.: |  |  |
|  3 month U.S. LIBOR + 0.270% 4.9349% 2/22/23 (b)(c) | 2108000  | 2107532  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.400% 4.1483% 11/3/23 (b)(c) | 2450000  | 2429071  |
|  U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.540% 4.35% 3/1/23 (b)(c) | 750000  | 749405  |
| PPL Electric Utilities Corp. U.S. Secured Overnight Fin. Rate (SOFR) Index + 0.330% 3.6658% 6/24/24 (b)(c) | 585000 | 576776 |
| Southern California Edison Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.830% 4.2031% 4/1/24 (b)(c) | 400000 | 397091 |
| Southern Co. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.370% 4.1681% 5/10/23 (b)(c) | 455000 | 453543 |
|  |  | 8425033 |
| Gas Utilities - 0.1% |  |  |
| Southern California Gas Co. 3 month U.S. LIBOR + 0.350% 3.6201% 9/14/23 (b)(c) | 250000 | 249380 |
| Multi-Utilities - 1.0% |  |  |
| CenterPoint Energy, Inc. U.S. Secured Overnight Fin. Rate (SOFR) Averages Index + 0.650% 4.4485% 5/13/24 (b)(c) | 800000 | 788519 |
| Dominion Energy, Inc. 3 month U.S. LIBOR + 0.530% 3.8226% 9/15/23 (b)(c) | 1230000 | 1227498 |
|  |  | 2016017 |
| TOTAL UTILITIES |  | 10690430 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $174,795,928) |  | <br> **173140496** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 11.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 11.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 11.2%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bonds: |  |  |
|  5.25% 2/15/29  | 2000 | 2150 |
|  6.125% 11/15/27  | 1000 | 1100 |
|  6.25% 5/15/30  | 10000 | 11607 |
| U.S. Treasury Notes: |  |  |
|  0.625% 5/15/30  | 1940000 | 1559275 |
|  0.625% 8/15/30  | 3205000 | 2560244 |
|  0.875% 11/15/30  | 2030000 | 1649454 |
|  1.125% 2/15/31  | 3408000 | 2823049 |
|  1.25% 8/15/31  | 340000 | 279889 |
|  1.375% 11/15/31  | 4490000 | 3713537 |
|  1.5% 2/15/30  | 163000 | 140810 |
|  1.625% 8/15/29  | 85600 | 75171 |
|  1.625% 5/15/31  | 1760000 | 1504387 |
|  1.75% 11/15/29  | 573200 | 507842 |
|  1.875% 2/15/32  | 1900000 | 1638898 |
|  2.375% 5/15/29  | 194800 | 179224 |
|  2.75% 8/15/32  | 2950000 | 2732438 |
|  2.875% 5/15/32  | 3100000 | 2905766 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $24,848,358) |  | **22284841** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.4%** | &nbsp;&nbsp;**Money Market Funds - 2.4%** | &nbsp;&nbsp;**Money Market Funds - 2.4%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (e) <br>(Cost $4,646,664) <br>| 4645735 | **4646664** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.6%**<br> (Cost $204,290,950)<br>| <br>**200072001** |
| **NET OTHER ASSETS (LIABILITIES) - (0.6)%**  | **(1122426)** |
| **NET ASSETS - 100.0%** | **198949575** |

---

**Legend**

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

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

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

(d) 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 $41,421,602 or 20.8% of net assets.

(e) 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% | 309001 | 21802428 | 17464765 | 41713 | - | - | 4646664 | 0.0% |
| Total | 309001 | 21802428 | 17464765 | 41713 | - | - | 4646664 |  |

---

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 and U.S. Treasury Obligations 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. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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.

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 Merrimack Street Trust

- **b. Investment Company Act file number:** 811-22796

- **c. CIK number of Registrant:** 0001562565

- **d. LEI of Registrant:** 549300782HVYOIE6CE74

- **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 Low Duration Bond Factor ETF

- **b. EDGAR series identifier (if any):** S000062079

- **c. LEI of Series:** 549300P0GRJFP715C880

**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:** $199643670.82

**Total Liabilities:** $705279.26

**Net Assets:** $198938391.56

**Cash Not Reported:** $10640.83

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4889.78272290 | **1-Year:** 14761.62234302 | **5-Year:** 13672.93697838 | **10-Year:** 12276.33636290 | **30-Year:** 0.00000000

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

- **3-Month:** 26.39486200 | **1-Year:** 19.61367600 | **5-Year:** 11.51621700 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000201028 | -0.31%               | -0.14%               | 0.87%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-516519.82              | $-598370.01                                |
| Month 2  | $-132391.42              | $-743533.98                                |
| Month 3  | $-27352.66               | $1098200.89                                |

### 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 and CO                                                           | JPMORGAN CHASE and CO FRN VAR 12/10/2025                                                               | CUSIP: 46647PCS3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    750000 | PA      | $729270.00    | 0.37%             | 2025-12-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FDG II                                                        | MASSMUTUAL GLOBAL FDG II FRN SOFR+36 04/12/2024 144A                                                   | CUSIP: 57629WDC1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |   1800000 | PA      | $1784784.96   | 0.90%             | 2024-04-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                                                 | NORDEA BANK ABP FRN SOFR+96 06/06/2025 144A                                                            | CUSIP: 65558RAB5<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |    200000 | PA      | $198756.00    | 0.10%             | 2025-06-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK FRN 3ML+64 07/19/2023                                                            | CUSIP: 89114QC55<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    793000 | PA      | $793557.45    | 0.40%             | 2023-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORP                               | NATIONAL RURAL UTL COOP FIN FRN SOFR+33 10/18/2024                                                     | CUSIP: 63743HFA5<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394767.65    | 0.20%             | 2024-10-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) FRN 3ML+138 05/16/2024                                                            | CUSIP: 06738EBC8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1350000 | PA      | $1342733.75   | 0.67%             | 2024-05-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDN BRANCH                                                             | UBS AG LON BRANCH FRN SOFR+36 02/09/2024 144A                                                          | CUSIP: 902674YC8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | GB        |   1651000 | PA      | $1639871.85   | 0.82%             | 2024-02-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR FRN SOFR+68 09/29/2023                              | CUSIP: 00774MBA2<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    300000 | PA      | $293764.12    | 0.15%             | 2023-09-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC FRN SOFR+88 01/14/2027                                                    | CUSIP: 86562MCL2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    470000 | PA      | $459808.52    | 0.23%             | 2027-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                         | GA GLOBAL FUNDING TRUST FRN SOFR+ 04/11/2025 144A                                                      | CUSIP: 36143L2K0<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    500000 | PA      | $487413.08    | 0.25%             | 2025-04-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO FRN VAR 02/24/2026                                                               | CUSIP: 46647PCX2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1370166.00   | 0.69%             | 2026-02-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP FRN 3ML+57 01/11/2023                                                             | CUSIP: 961214DT7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   1328000 | PA      | $1327492.80   | 0.67%             | 2023-01-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN 3ML+160 11/29/2023                                                   | CUSIP: 38141EB81<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   3156000 | PA      | $3185112.08   | 1.60%             | 2023-11-29      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.875% 11/15/2030                                                                            | CUSIP: 91282CAV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2030000 | PA      | $1649454.29   | 0.83%             | 2030-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER CO INC                                                  | AMERICAN ELECTRIC POWER INC FRN 3ML+48 11/01/2023                                                      | CUSIP: 025537AS0<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397574.07    | 0.20%             | 2023-11-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO FRN SOFR+53.5 06/01/2025                                                         | CUSIP: 46647PCG9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    210000 | PA      | $205671.33    | 0.10%             | 2025-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                        | NEW YORK LIFE GLOBAL FDG FRN SFRIX+ 01/14/2025 144A                                                    | CUSIP: 64952WEL3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1447651.21   | 0.73%             | 2025-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE FRN SFRIX+32 07/09/2024                                                           | CUSIP: 06367WYQ0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1560000 | PA      | $1540299.13   | 0.77%             | 2024-07-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC FRN 3ML+125 07/01/2026                                                                   | CUSIP: 172967MB4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    990000 | PA      | $976821.54    | 0.49%             | 2026-07-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | BPCE SA FRN 3ML+124 09/12/2023 144A                                                                    | CUSIP: 05583JAD4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    250000 | PA      | $249972.50    | 0.13%             | 2023-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY FRN 3ML+122 05/08/2024                                                                  | CUSIP: 61744YAG3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1992000 | PA      | $1994104.25   | 1.00%             | 2024-05-08      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN 3ML+79 03/05/2024                                                      | CUSIP: 06051GHE2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1130000 | PA      | $1128412.96   | 0.57%             | 2024-03-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE FRN SFRIX+46.5 01/10/2025                                                         | CUSIP: 06368FAF6<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    320000 | PA      | $313725.86    | 0.16%             | 2025-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC FRN 3ML+99 01/05/2023                                                         | CUSIP: 37045XCE4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    561000 | PA      | $560589.85    | 0.28%             | 2023-01-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC FRN 3ML+123 03/11/2025                                                               | CUSIP: 404280CA5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1200000 | PA      | $1184098.81   | 0.60%             | 2025-03-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| RABOBANK NEDERLAND NEW YORK BRH                                                 | RABOBANK NEDERLAND NY BRH FRN 3ML+48 01/10/2023                                                        | CUSIP: 21688AAM4<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399947.82    | 0.20%             | 2023-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO FRN 3ML+65 02/27/2023                                                              | CUSIP: 025816BT5<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     26000 | PA      | $25988.71     | 0.01%             | 2023-02-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC FRN 3ML+86 07/19/2023                                                     | CUSIP: 86562MBA7<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |   1332000 | PA      | $1333576.89   | 0.67%             | 2023-07-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK FRN SOFR+ 01/10/2025                                                             | CUSIP: 89114TZM7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    950000 | PA      | $930496.50    | 0.47%             | 2025-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO FRN 3ML+89 07/23/2024                                                            | CUSIP: 46647PAW6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2366000 | PA      | $2361836.48   | 1.19%             | 2024-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP FRN SOFR+100 08/26/2025                                                           | CUSIP: 961214FB4<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    500000 | PA      | $499500.00    | 0.25%             | 2025-08-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA PLC                                                                 | ASTRAZENECA PLC FRN 3ML+66.5 08/17/2023                                                                | CUSIP: 046353AS7<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |    749000 | PA      | $750367.40    | 0.38%             | 2023-08-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC FRN SOFR+76 03/08/2024                                                        | CUSIP: 37045XDF0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    840000 | PA      | $823533.93    | 0.41%             | 2024-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA FRN SFRIX+55 09/15/2023                                                            | CUSIP: 064159YN0<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $199629.13    | 0.10%             | 2023-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 5.25% 02/15/2029                                                           | CUSIP: 912810FG8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2000 | PA      | $2150.47      | 0.00%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV FRN 3ML+100 10/02/2023                                                                    | CUSIP: 456837AL7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $300464.27    | 0.15%             | 2023-10-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG NY BRNCH                                                       | CREDIT SUISSE AG NY BRNCH FRN SFRIX+38 08/09/2023                                                      | CUSIP: 22550UAD3<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1462397.25   | 0.74%             | 2023-08-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP NEW                                                                | CHEVRON CORP NEW FRN 3ML+90 05/11/2023                                                                 | CUSIP: 166764BU3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    750000 | PA      | $751136.94    | 0.38%             | 2023-05-11      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP FRN SFRIX+33 01/11/2024                                                       | CUSIP: 89236THV0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $996867.81    | 0.50%             | 2024-01-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA FRN 3ML+70 03/16/2023 144A                                                 | CUSIP: 2027A0JY6<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    852000 | PA      | $852695.03    | 0.43%             | 2023-03-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP FRN 3ML+72 01/30/2023                                                       | CUSIP: 14040HBV6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   1264000 | PA      | $1263974.14   | 0.64%             | 2023-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP NEW                                                                | COMCAST CORP NEW FRN 3ML+63 04/15/2024                                                                 | CUSIP: 20030NCX7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    591000 | PA      | $592175.67    | 0.30%             | 2024-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC FRN 3ML+27 02/22/2023                                                     | CUSIP: 65339KBT6<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2108000 | PA      | $2107532.30   | 1.06%             | 2023-02-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC FRN SOFR+40 02/17/2023                                                                    | CUSIP: 29250NBD6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |   1040000 | PA      | $1039023.97   | 0.52%             | 2023-02-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC FRN SFRIX+79 03/20/2026                                                     | CUSIP: 92343VGE8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    780000 | PA      | $756962.86    | 0.38%             | 2026-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP FRN 3ML+72 05/15/2023                                                             | CUSIP: 961214EA7<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    399000 | PA      | $399541.24    | 0.20%             | 2023-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                        | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC FRN SOFR+75 12/13/2024 144A                                   | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $987090.00    | 0.50%             | 2024-12-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW FRN SOFR+25 06/10/2023                                                            | CUSIP: 26441CBK0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    432000 | PA      | $430005.71    | 0.22%             | 2023-06-10      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 08/15/2032                                                                             | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1750000 | PA      | $1620937.50   | 0.81%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY FRN SOFR+116.5 04/17/2025                                                               | CUSIP: 61747YEP6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198331.16    | 0.10%             | 2025-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA FRN SOFR+124 05/24/2024                                                             | CUSIP: 05971KAN9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    600000 | PA      | $597156.24    | 0.30%             | 2024-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RABOBANK NEDERLAND NEW YORK BRH                                                 | RABOBANK NEDERLAND NY BRH FRN SFRIX+30 01/12/2024                                                      | CUSIP: 21688AAR3<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |    546000 | PA      | $542871.42    | 0.27%             | 2024-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST BANK LTD                                                  | SUMITOMO MITSUI TRUST BANK LTD FRN SOFR+44 09/16/2024 144A                                             | CUSIP: 86563VAX7<br>LEI: 5493006GGLR4BTEL8O61 | Long             | DBT              | CORP              | JP        |    800000 | PA      | $794141.60    | 0.40%             | 2024-09-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO FRN SOFR+58 03/16/2024                                                           | CUSIP: 46647PCA2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1451177.15   | 0.73%             | 2024-03-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG FRN 3ML+120 12/14/2023 144A                                                       | CUSIP: 225401AE8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1260000 | PA      | $1258414.40   | 0.63%             | 2023-12-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA FRN SFRIX+45 10/26/2023                                                           | CUSIP: 78015K7K4<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $209012.96    | 0.11%             | 2023-10-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH FRN SOFR+121.9 11/16/2027                                               | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    300000 | PA      | $261929.75    | 0.13%             | 2027-11-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RABOBANK NEDERLAND NEW YORK BRH                                                 | RABOBANK NEDERLAND NY BRH FRN SFRIX+ 01/10/2025                                                        | CUSIP: 21688AAT9<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |    930000 | PA      | $917397.83    | 0.46%             | 2025-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SHELL INTERNATIONAL FINANCE BV                                                  | SHELL INTL FIN B V FRN 3ML+40 11/13/2023                                                               | CUSIP: 822582CA8<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |    495000 | PA      | $496476.25    | 0.25%             | 2023-11-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO FRN 3ML+75 08/03/2023                                                              | CUSIP: 025816BX6<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   1424000 | PA      | $1427235.84   | 0.72%             | 2023-08-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.625% 05/15/2031                                                                            | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2660000 | PA      | $2273676.55   | 1.14%             | 2031-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EBAY INC                                                                        | EBAY INC FRN 3ML+87 01/30/2023                                                                         | CUSIP: 278642AT0<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |    535000 | PA      | $534977.86    | 0.27%             | 2023-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON CO                                                   | SOUTHERN CALIFORNIA EDISON CO FRN SFRIX+83 04/01/2024                                                  | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    400000 | PA      | $397091.29    | 0.20%             | 2024-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC FRN 3ML+79 03/05/2023                                                            | CUSIP: 60687YAQ2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    600000 | PA      | $600300.80    | 0.30%             | 2023-03-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK FRN SOFR+35.5 03/04/2024                                                         | CUSIP: 89114QCR7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   1300000 | PA      | $1287527.12   | 0.65%             | 2024-03-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP FRN 3ML+37 05/10/2023                                                      | CUSIP: 02665WDG3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    660000 | PA      | $660093.54    | 0.33%             | 2023-05-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.375% 11/15/2031                                                                            | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4490000 | PA      | $3713545.69   | 1.87%             | 2031-11-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                          | STANDARD CHARTERED PLC FRN SOFR+93 11/23/2025 144A                                                     | CUSIP: 853254CF5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $289952.10    | 0.15%             | 2025-11-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE INC                                                       | UNITED PARCEL SERVICE INC FRN 3ML+45 04/01/2023                                                        | CUSIP: 911312BJ4<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |    366000 | PA      | $365767.76    | 0.18%             | 2023-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO FRN 3ML+73 04/23/2024                                                            | CUSIP: 46647PAQ9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1506392.04   | 0.76%             | 2024-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA LONDON BRANCH                                                | CREDIT AGRICOLE SA LONDON BRH FRN 3ML+102 04/24/2023 144A                                              | CUSIP: 22535WAF4<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $250365.49    | 0.13%             | 2023-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORP                                                    | NISSAN MOTOR ACCEPTANCE CORP FRN 3ML+64 03/08/2024 144A                                                | CUSIP: 654740BR9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    420000 | PA      | $411708.34    | 0.21%             | 2024-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 6.125% 11/15/2027                                                          | CUSIP: 912810FB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1000 | PA      | $1100.27      | 0.00%             | 2027-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                              | WELLS FARGO and CO NEW FRN SOFR+132 04/25/2026                                                         | CUSIP: 95000U2Y8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    840000 | PA      | $833833.21    | 0.42%             | 2026-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                 | DANSKE BANK AS (UNGTD) FRN 3ML+106 09/12/2023 144A                                                     | CUSIP: 23636AAQ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    400000 | PA      | $399863.82    | 0.20%             | 2023-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA FRN SFRIX+52.5 01/20/2026                                                         | CUSIP: 78016EZP5<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1792000 | PA      | $1732989.44   | 0.87%             | 2026-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHEVRON USA INC                                                                 | CHEVRON USA INC FRN 3ML+20 08/11/2023                                                                  | CUSIP: 166756AK2<br>LEI: VA8TZDWPEZYU430RZ444 | Long             | DBT              | CORP              | US        |    160000 | PA      | $159880.73    | 0.08%             | 2023-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP FRN SFRIX+50 03/18/2024                                                            | CUSIP: 808513BM6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |   1003000 | PA      | $996185.03    | 0.50%             | 2024-03-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN 3ML+75 02/23/2023                                                    | CUSIP: 38141GWU4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    415000 | PA      | $415401.56    | 0.21%             | 2023-02-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP FRN SOFR+62 03/22/2024                                                        | CUSIP: 89236TJY2<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199634.32    | 0.10%             | 2024-03-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                        | NEW YORK LIFE GLOBAL FDG FRN SOFR+31 04/26/2024 144A                                                   | CUSIP: 64952WEC3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    280000 | PA      | $278101.61    | 0.14%             | 2024-04-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC FRN SOFR+ 02/26/2027                                                          | CUSIP: 37045XDQ6<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    400000 | PA      | $373037.87    | 0.19%             | 2027-02-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC FRN SFRIX+130 04/07/2025                                                      | CUSIP: 37045XDT0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194384.68    | 0.10%             | 2025-04-07      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN 3ML+117 05/15/2026                                                   | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    600000 | PA      | $592621.96    | 0.30%             | 2026-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                             | SUMITOMO MITSUI FINL GRP INC FRN 3ML+74 01/17/2023                                                     | CUSIP: 86562MAW0<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    260000 | PA      | $259992.24    | 0.13%             | 2023-01-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC FRN 3ML+74 03/02/2023                                                       | CUSIP: 606822AS3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    306000 | PA      | $306280.72    | 0.15%             | 2023-03-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC FRN 3ML+110 05/17/2024                                                                   | CUSIP: 172967LL3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1164000 | PA      | $1165113.48   | 0.59%             | 2024-05-17      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY FRN SOFR+ 02/18/2026                                                                    | CUSIP: 61747YEN1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    800000 | PA      | $786347.45    | 0.40%             | 2026-02-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC FRN SOFR+58 11/22/2024                                                               | CUSIP: 404280CZ0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1260000 | PA      | $1228459.68   | 0.62%             | 2024-11-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP FRN SFRIX+105 03/03/2027                                                           | CUSIP: 808513BZ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    500000 | PA      | $485684.31    | 0.24%             | 2027-03-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | BPCE SA FRN SOFR+57 01/14/2025 144A                                                                    | CUSIP: 05578AAW8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    480000 | PA      | $468369.93    | 0.24%             | 2025-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP FRN SOFR+ 04/25/2025                                                         | CUSIP: 06406RBE6<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    700000 | PA      | $692227.37    | 0.35%             | 2025-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN SOFR+66 02/04/2025                                                     | CUSIP: 06051GKF5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196506.83    | 0.10%             | 2025-02-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                | VODAFONE GROUP PLC FRN 3ML+99 01/16/2024                                                               | CUSIP: 92857WBN9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $199914.11    | 0.10%             | 2024-01-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN SOFR+73 10/24/2024                                                     | CUSIP: 06051GJJ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $999926.26    | 0.50%             | 2024-10-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC FRN SFRIX+64 03/25/2024                                                                   | CUSIP: 00206RMH2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    350000 | PA      | $347407.08    | 0.17%             | 2024-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AIG GLOBAL FDG                                                                  | AIG GLOBAL FDG FRN SOFR+38 12/15/2023 144A                                                             | CUSIP: 00138MAA4<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    344000 | PA      | $343084.74    | 0.17%             | 2023-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP FRN SFRIX+26 06/18/2024                                                       | CUSIP: 89236TJJ5<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1291179.50   | 0.65%             | 2024-06-18      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                              | METROPOLITAN LIFE GLBL FDG I FRN SFRIX+ 03/21/2025 144A                                                | CUSIP: 59217GEX3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200042.80    | 0.10%             | 2025-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                               | GENERAL MILLS INC FRN 3ML+101 10/17/2023                                                               | CUSIP: 370334CC6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    502000 | PA      | $503502.67    | 0.25%             | 2023-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DUPONT DE NEMOURS INC                                                           | DUPONT DE NEMOURS INC FRN 3ML+111 11/15/2023                                                           | CUSIP: 26078JAH3<br>LEI: 5493004JF0SDFLM8GD76 | Long             | DBT              | CORP              | US        |    252000 | PA      | $251773.97    | 0.13%             | 2023-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM FRN SOFR+94 04/07/2025                                                    | CUSIP: 13607HR38<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    700000 | PA      | $691990.14    | 0.35%             | 2025-04-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                                    | JACKSON NATL LIFE GLOBAL FDG FRN SOFR+60 01/06/2023 144A                                               | CUSIP: 46849LTN1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |    380000 | PA      | $380036.10    | 0.19%             | 2023-01-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA FRN SOFR+74 03/14/2025 144A                                                | CUSIP: 2027A0KJ7<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    300000 | PA      | $298224.00    | 0.15%             | 2025-03-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC FRN SOFR+96 05/22/2026                                                           | CUSIP: 60687YBY4<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    700000 | PA      | $682222.53    | 0.34%             | 2026-05-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                           | 3M CO FRN 3ML+30 02/14/2024                                                                            | CUSIP: 88579YBE0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    200000 | PA      | $199302.81    | 0.10%             | 2024-02-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FDG II                                                    | PRINCIPAL LIFE GLOBAL FDG II FRN SOFR+45 04/12/2024 144A                                               | CUSIP: 74256LEM7<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    650000 | PA      | $644936.50    | 0.32%             | 2024-04-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.625% 05/15/2030                                                                            | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1940000 | PA      | $1559275.00   | 0.78%             | 2030-05-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP FRN SOFR+52 06/03/2026                                                            | CUSIP: 961214ES8<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    860000 | PA      | $841185.67    | 0.42%             | 2026-06-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST BANK                                                                     | TRUIST BANK FRN SOFR+20 01/17/2024                                                                     | CUSIP: 89788JAD1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1486341.86   | 0.75%             | 2024-01-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK FRN SOFR+48 01/27/2023                                                           | CUSIP: 89114QCF3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    980000 | PA      | $980127.86    | 0.49%             | 2023-01-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP FRN SOFR+0 12/06/2024                                                       | CUSIP: 14040HCL7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    700000 | PA      | $684425.00    | 0.34%             | 2024-12-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                         | SIMON PROPERTY GROUP LP FRN SFRIX+0 01/11/2024                                                         | CUSIP: 828807DR5<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    430000 | PA      | $427030.94    | 0.21%             | 2024-01-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC FRN 3ML+63 05/25/2024                                                            | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1800000 | PA      | $1788056.51   | 0.90%             | 2024-05-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA FRN SFRIX+57 04/27/2026                                                           | CUSIP: 78016EZR1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $193137.27    | 0.10%             | 2026-04-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                                              | BMW US CAPITAL LLC FRN SFRIX+38 08/12/2024 144A                                                        | CUSIP: 05565EBV6<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |   1900000 | PA      | $1879823.90   | 0.94%             | 2024-08-12      | Variable      | 0.04%                 | 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        |     10000 | PA      | $11606.64     | 0.01%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                    | ING GROEP NV FRN SFRIX+164 03/28/2026                                                                  | CUSIP: 456837BD4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    900000 | PA      | $891124.16    | 0.45%             | 2026-03-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM FRN SOFR+34 06/22/2023                                                    | CUSIP: 13607HVD1<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    800000 | PA      | $797906.47    | 0.40%             | 2023-06-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP FRN SOFR+135 05/09/2025                                                     | CUSIP: 14040HCR4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492552.50    | 0.25%             | 2025-05-09      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN SOFR+139 03/15/2024                                                  | CUSIP: 38141GZQ0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    600000 | PA      | $600672.60    | 0.30%             | 2024-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN 3ML+77 02/05/2026                                                      | CUSIP: 06051GHB8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1361000 | PA      | $1337969.27   | 0.67%             | 2026-02-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                                             | MACQUARIE GROUP LTD FRN 3ML+135 03/27/2024 144A                                                        | CUSIP: 55608JAM0<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    678000 | PA      | $676865.63    | 0.34%             | 2024-03-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN SOFR+70 01/24/2025                                                   | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    300000 | PA      | $294588.00    | 0.15%             | 2025-01-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC FRN SOFR+120 11/17/2023                                                       | CUSIP: 37045XDC7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298724.92    | 0.15%             | 2023-11-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                      | MIZUHO FINL GROUP INC FRN 3ML+100 09/11/2024                                                           | CUSIP: 60687YAU3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1140000 | PA      | $1136594.04   | 0.57%             | 2024-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MACQUARIE BANK LTD                                                              | MACQUARIE BANK LTD FRN SOFR+ 03/21/2025 144A                                                           | CUSIP: 55608PBK9<br>LEI: 4ZHCHI4KYZG2WVRT8631 | Long             | DBT              | CORP              | AU        |    600000 | PA      | $601228.43    | 0.30%             | 2025-03-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS AG LONDN BRANCH                                                             | UBS AG LON BRANCH FRN SOFR+45 08/09/2024 144A                                                          | CUSIP: 902674YL8<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | GB        |   1270000 | PA      | $1258353.67   | 0.63%             | 2024-08-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC FRN 3ML+118 06/12/2024                                                                    | CUSIP: 00206RGD8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1778174.04   | 0.89%             | 2024-06-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN SOFR+50 09/10/2024                                                   | CUSIP: 38141GYF5<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1330000 | PA      | $1308995.79   | 0.66%             | 2024-09-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC CO                                                             | GENERAL ELECTRIC CO FRN 3ML+38 05/05/2026                                                              | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    800000 | PA      | $766159.58    | 0.39%             | 2026-05-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                                             | MACQUARIE GROUP LTD FRN SOFR+71 10/14/2025 144A                                                        | CUSIP: 55608JBB3<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    560000 | PA      | $543681.76    | 0.27%             | 2025-10-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERATION DES CAISSES DESJARD INS DU QUEBEC                                    | FEDERATION DES CAISE DESJARDIN FRN SOFR+43 05/21/2024 144A                                             | CUSIP: 31429KAF0<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    510000 | PA      | $503677.24    | 0.25%             | 2024-05-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN SOFR+58 03/08/2024                                                   | CUSIP: 38141GXW9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2330000 | PA      | $2303597.81   | 1.16%             | 2024-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                              | METROPOLITAN LIFE GLBL FDG I FRN SOFR+32 01/07/2024 144A                                               | CUSIP: 59217GGW3<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   1964000 | PA      | $1950705.11   | 0.98%             | 2024-01-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC FRN SOFR+66.9 05/01/2025                                                                 | CUSIP: 172967MW8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    610000 | PA      | $598614.96    | 0.30%             | 2025-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA FRN 3ML+66 10/05/2023                                                             | CUSIP: 78013XW61<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    660000 | PA      | $658032.67    | 0.33%             | 2023-10-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.25% 08/15/2031                                                                             | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    340000 | PA      | $279889.06    | 0.14%             | 2031-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN SOFR+133 04/02/2026                                                    | CUSIP: 06051GKN8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    400000 | PA      | $396432.00    | 0.20%             | 2026-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC FRN SOFR+152.8 03/17/2026                                                                | CUSIP: 172967NM9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    400000 | PA      | $395737.45    | 0.20%             | 2026-03-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA FRN SOFR+52 06/15/2026 144A                                                | CUSIP: 2027A0KE8<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    410000 | PA      | $401375.83    | 0.20%             | 2026-06-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA FRN SOFR+40 07/07/2025 144A                                                | CUSIP: 2027A0KG3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   2100000 | PA      | $2065855.51   | 1.04%             | 2025-07-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC                                                    | THERMO FISHER SCIENTIFIC INC FRN SFRIX+0 10/18/2023                                                    | CUSIP: 883556CR1<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1680000 | PA      | $1673082.95   | 0.84%             | 2023-10-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | NATWEST MARKETS PLC FRN SOFR+53 08/12/2024 144A                                                        | CUSIP: 63906YAC2<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $492042.00    | 0.25%             | 2024-08-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                                          | CENTERPOINT ENERGY INC FRN SFRIX+65 05/13/2024                                                         | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |    800000 | PA      | $788519.31    | 0.40%             | 2024-05-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC FRN 3ML+100 05/18/2024                                                               | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $597994.96    | 0.30%             | 2024-05-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC FRN SOFR+69.4 01/25/2026                                                                 | CUSIP: 17327CAP8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    640000 | PA      | $623046.11    | 0.31%             | 2026-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                        | TOYOTA MOTOR CREDIT CORP FRN SOFR+32 01/13/2025                                                        | CUSIP: 89236TJU0<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    290000 | PA      | $285337.24    | 0.14%             | 2025-01-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.375% 05/15/2029                                                                            | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    194800 | PA      | $179223.61    | 0.09%             | 2029-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA FRN SFRIX+34 10/07/2024                                                           | CUSIP: 78016EZY6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    580000 | PA      | $569871.66    | 0.29%             | 2024-10-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC FRN SFRIX+54 03/01/2023                                                   | CUSIP: 65339KBV1<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    750000 | PA      | $749405.12    | 0.38%             | 2023-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                             | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   4645735 | NS      | $4646663.98   | 2.34%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG LONDN BRANCH                                                             | UBS AG LON BRANCH FRN SOFR+32 06/01/2023 144A                                                          | CUSIP: 902674YG9<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | GB        |    450000 | PA      | $448957.71    | 0.23%             | 2023-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA FRN SOFR+ 01/10/2025                                                               | CUSIP: 06417XAA9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $196399.76    | 0.10%             | 2025-01-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP FRN 3ML+77 02/26/2024                                                             | CUSIP: 961214EB5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    172000 | PA      | $172312.40    | 0.09%             | 2024-02-26      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN 3ML+96 07/23/2024                                                      | CUSIP: 06051GHK8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1672000 | PA      | $1671506.81   | 0.84%             | 2024-07-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.625% 08/15/2029                                                                            | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    985600 | PA      | $865518.50    | 0.44%             | 2029-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG FRN 3ML+124 06/12/2024 144A                                                       | CUSIP: 225401AH1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1000000 | PA      | $935000.00    | 0.47%             | 2024-06-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SVCS CORP                                                      | CATERPILLAR FINL SVCS CORP FRN SOFR+27 09/13/2024                                                      | CUSIP: 14913R2R7<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |   1890000 | PA      | $1879253.46   | 0.94%             | 2024-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                             | DOMINION ENERGY INC FRN 3ML+53 09/15/2023                                                              | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1230000 | PA      | $1227498.23   | 0.62%             | 2023-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO FRN SFRIX+65 11/04/2026                                                            | CUSIP: 025816CL1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    550000 | PA      | $533996.99    | 0.27%             | 2026-11-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE FRN SFRIX+68 03/10/2023                                                           | CUSIP: 06367WYH0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3300000 | PA      | $3301089.00   | 1.66%             | 2023-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                     | COMMONWEALTH BANK AUSTRALIA FRN 3ML+82 06/04/2024 144A                                                 | CUSIP: 2027A0KC2<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    103000 | PA      | $103055.05    | 0.05%             | 2024-06-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PPL ELEC UTILS CORP                                                             | PPL ELEC UTILS CORP FRN SOFR+33 06/24/2024                                                             | CUSIP: 69351UAY9<br>LEI: 549300GCZLSGYEYPIR35 | Long             | DBT              | CORP              | US        |    585000 | PA      | $576775.89    | 0.29%             | 2024-06-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK FRN SOFR+91 03/08/2024                                                           | CUSIP: 89114TZS4<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $199496.00    | 0.10%             | 2024-03-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK NEW YORK MELLON CORP                                                       | BANK NEW YORK MELLON CORP FRN SOFR+20 10/25/2024                                                       | CUSIP: 06406RAY3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148065.74    | 0.07%             | 2024-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                                                       | BAXTER INTERNATIONAL INC FRN SFRIX+26 12/01/2023                                                       | CUSIP: 071813CY3<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |    300000 | PA      | $297264.61    | 0.15%             | 2023-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.875% 02/15/2032                                                                            | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $1983929.63   | 1.00%             | 2032-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG FRN SOFR+158 05/12/2026 144A                                                              | CUSIP: 902613AN8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $399252.00    | 0.20%             | 2026-05-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM FRN SOFR+42 10/18/2024                                                    | CUSIP: 13607HYE6<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    290000 | PA      | $285055.39    | 0.14%             | 2024-10-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                        | NEW YORK LIFE GLOBAL FDG FRN SFRIX+36 10/21/2023 144A                                                  | CUSIP: 64952WDV2<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    870000 | PA      | $869939.91    | 0.44%             | 2023-10-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL FRN 3ML+165 02/01/2024 | CUSIP: 161175BP8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    538000 | PA      | $541041.69    | 0.27%             | 2024-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLOBAL FUNDING                                              | NORTHWESTERN MUTUAL GLOBAL FUNDING FRN SOFR+33 03/25/2024 144A                                         | CUSIP: 66815L2C2<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    424000 | PA      | $420426.80    | 0.21%             | 2024-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC FRN SOFR+143 03/10/2026                                                              | CUSIP: 404280DB2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $588819.95    | 0.30%             | 2026-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM FRN 3ML+66 09/13/2023                                                     | CUSIP: 13607RAE0<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    654000 | PA      | $654660.63    | 0.33%             | 2023-09-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCEDES BENZ RETAIL SA                                                         | DAIMLER FIN NORTH AMER LLC FRN 3ML+84 05/04/2023 144A                                                  | CUSIP: 233851DM3<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    900000 | PA      | $900638.47    | 0.45%             | 2023-05-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                          | STANDARD CHARTERED PLC FRN SOFR+174 03/30/2026 144A                                                    | CUSIP: 853254CK4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    570000 | PA      | $561485.53    | 0.28%             | 2026-03-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                                                    | DNB BANK ASA FRN SFRIX+83 03/28/2025 144A                                                              | CUSIP: 25601B2C8<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | CORP              | NO        |    300000 | PA      | $298813.50    | 0.15%             | 2025-03-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC FRN 3ML+110 05/15/2025                                                      | CUSIP: 92343VEP5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1713000 | PA      | $1716603.09   | 0.86%             | 2025-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PFIZER INC                                                                      | PFIZER INC FRN 3ML+33 09/15/2023                                                                       | CUSIP: 717081EQ2<br>LEI: 765LHXWGK1KXCLTFYQ30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $179902.07    | 0.09%             | 2023-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ANZ NEW ZEALAND INTERNATIONAL LTD LONDON BRANCH                                 | ANZ NEW ZEALAND INTL LTD LONDON BRH FRN SOFR 1.767%/VAR 02/18/2025 144A                                | CUSIP: 00182EBQ1<br>LEI: 213800VD256NU2D97H12 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $396120.37    | 0.20%             | 2025-02-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA GAS CO                                                      | SOUTHERN CALIFORNIA GAS CO FRN 3ML+35 09/14/2023                                                       | CUSIP: 842434CV2<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249380.10    | 0.13%             | 2023-09-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK FRN SOFR+35 09/10/2024                                                           | CUSIP: 89114TZF2<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    950000 | PA      | $935151.50    | 0.47%             | 2024-09-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN SOFR+49 10/21/2024                                                   | CUSIP: 38141GYQ1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196132.00    | 0.10%             | 2024-10-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                                     | SWEDBANK AB FRN SFRIX+91 04/04/2025 144A                                                               | CUSIP: 87020PAR8<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    400000 | PA      | $396704.00    | 0.20%             | 2025-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                            | ROYAL BANK OF CANADA FRN SFRIX+59 11/02/2026                                                           | CUSIP: 78016EYD3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    330000 | PA      | $316644.17    | 0.16%             | 2026-11-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                                             | AMERICAN EXPRESS CO FRN SFRIX+72 05/03/2024                                                            | CUSIP: 025816CU1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    800000 | PA      | $797212.90    | 0.40%             | 2024-05-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ROCHE HLDGS INC                                                                 | ROCHE HLDGS INC FRN SOFR+ 03/10/2025 144A                                                              | CUSIP: 771196CA8<br>LEI: PVJRP0EQNV6OGDPZGY95 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1389584.00   | 0.70%             | 2025-03-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFE GLOBAL FUNDING II                                                  | PACIFIC LIFE GF II FRN SOFR+62 06/04/2026 144A                                                         | CUSIP: 6944PL2G3<br>LEI: 6354003EUPCHXTWUU869 | Long             | DBT              | CORP              | US        |    760000 | PA      | $723566.97    | 0.36%             | 2026-06-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                           | ATHENE GLOBAL FUNDING FRN SFRIX+56 08/19/2024 144A                                                     | CUSIP: 04685A3B5<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $976338.62    | 0.49%             | 2024-08-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.75% 11/15/2029                                                                             | CUSIP: 912828YS3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    573200 | PA      | $507841.76    | 0.26%             | 2029-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                              | CANADIAN IMPERIAL BK OF COMM FRN SFRIX+40 12/14/2023                                                   | CUSIP: 13607GRT3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   1224000 | PA      | $1215456.54   | 0.61%             | 2023-12-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY FRN SOFR+62.5 01/24/2025                                                                | CUSIP: 61747YEJ0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1190000 | PA      | $1170960.00   | 0.59%             | 2025-01-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                                                           | TRUIST FINANCIAL CORP FRN SOFR+40 06/09/2025                                                           | CUSIP: 89788MAF9<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    860000 | PA      | $840151.20    | 0.42%             | 2025-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                                                     | AMERICAN HONDA FINANCE CORP FRN 3ML+42 09/08/2023                                                      | CUSIP: 02665WDP3<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    900000 | PA      | $897157.06    | 0.45%             | 2023-09-08      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP FRN 3ML+55 06/07/2023                                                          | CUSIP: 24422EUG2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    200000 | PA      | $200152.51    | 0.10%             | 2023-06-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO FRN 3ML+85 01/10/2025                                                            | CUSIP: 48129AAA0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    702000 | PA      | $695458.58    | 0.35%             | 2025-01-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                    | ENBRIDGE INC FRN SFRIX+63 02/16/2024                                                                   | CUSIP: 29250NBM6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $297069.03    | 0.15%             | 2024-02-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC FRN 3ML+102.3 06/01/2024                                                                 | CUSIP: 172967MA6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2087000 | PA      | $2083863.05   | 1.05%             | 2024-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                              | BANCO SANTANDER SA FRN 3ML+109 02/23/2023                                                              | CUSIP: 05964HAD7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   1400000 | PA      | $1400281.83   | 0.70%             | 2023-02-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY FRN SOFR+37 05/10/2023                                                                | CUSIP: 842587DK0<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    455000 | PA      | $453543.24    | 0.23%             | 2023-05-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                               | TENCENT HLDGS LTD FRN 3ML+91 04/11/2024 REGS                                                           | CUSIP: 88032XAP9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $198662.50    | 0.10%             | 2024-04-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.125% 02/15/2031                                                                            | CUSIP: 91282CBL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3408000 | PA      | $2823048.77   | 1.42%             | 2031-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE FRN SOFR+105 01/21/2026 144A                                                   | CUSIP: 83368RBF8<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    630000 | PA      | $603792.00    | 0.30%             | 2026-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE FRN SFRIX+1.06 06/07/2025                                                         | CUSIP: 06368D3T9<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $197439.12    | 0.10%             | 2025-06-07      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                                                             | BANK OF NEW ZEALAND FRN SOFR+81 01/27/2027 144A                                                        | CUSIP: 06407EAD7<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |    350000 | PA      | $345681.25    | 0.17%             | 2027-01-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                                    | NEXTERA ENERGY CAP HLDGS INC FRN SFRIX+40 11/03/2023                                                   | CUSIP: 65339KBX7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   2450000 | PA      | $2429071.49   | 1.22%             | 2023-11-03      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                                                       | TORONTO DOMINION BANK FRN SOFR+24 01/06/2023                                                           | CUSIP: 89114QCN6<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    410000 | PA      | $409918.00    | 0.21%             | 2023-01-06      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                         | BAYER US FIN II LLC FRN 3ML+101 12/15/2023 144A                                                        | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1072000 | PA      | $1069874.18   | 0.54%             | 2023-12-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANQUE FED CRED MUTUEL PARIS                                                    | BANQUE FED CRED MUTUEL PARIS FRN SOFR+41 02/04/2025 144A                                               | CUSIP: 06675FAW7<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |   1030000 | PA      | $1007072.20   | 0.51%             | 2025-02-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.625% 08/15/2030                                                                            | CUSIP: 91282CAE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3205000 | PA      | $2560244.12   | 1.29%             | 2030-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) FRN SOFR+81 03/09/2027                                                   | CUSIP: 38141GXX7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47625.00     | 0.02%             | 2027-03-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                               | EVERSOURCE ENERGY FRN SFRIX+25 08/15/2023                                                              | CUSIP: 30040WAM0<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    375000 | PA      | $373423.01    | 0.19%             | 2023-08-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| DEERE JOHN CAPITAL CORP                                                         | DEERE JOHN CAPITAL CORP FRN SOFR+20 10/11/2024                                                         | CUSIP: 24422EVV8<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    610000 | PA      | $602939.25    | 0.30%             | 2024-10-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN 3ML+76 09/15/2026                                                      | CUSIP: 59022CAA1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $291249.31    | 0.15%             | 2026-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 05/15/2032                                                                            | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2905765.63   | 1.46%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE FRN SFRIX+27 04/14/2023                                                           | CUSIP: 06368EJS2<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    550000 | PA      | $549319.68    | 0.28%             | 2023-04-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP FRN 3ML+89 07/15/2023                                                                       | CUSIP: 125523AC4<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    390000 | PA      | $390850.58    | 0.20%             | 2023-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TENCENT HLDGS LTD                                                               | TENCENT HLDGS LTD FRN 3ML+91 04/11/2024 144A                                                           | CUSIP: 88032WAP1<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $595987.50    | 0.30%             | 2024-04-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.5% 02/15/2030                                                                              | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    163000 | PA      | $140810.35    | 0.07%             | 2030-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC FRN SFRIX+178 03/15/2024 144A                                                           | CUSIP: 55903VAA1<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298987.37    | 0.15%             | 2024-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ASB BANK LIMITED                                                                | ASB BANK LIMITED FRN 3ML+97 06/14/2023 144A                                                            | CUSIP: 00216LAB9<br>LEI: 549300IBZWZL1KTPF918 | Long             | DBT              | CORP              | NZ        |    500000 | PA      | $500375.73    | 0.25%             | 2023-06-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                                                    | QUALCOMM INC FRN 3ML+73 01/30/2023                                                                     | CUSIP: 747525AS2<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    240000 | PA      | $240102.58    | 0.12%             | 2023-01-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA FRN SFRIX+54.5 03/02/2026                                                          | CUSIP: 0641593V6<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |   1559000 | PA      | $1502423.89   | 0.76%             | 2026-03-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC FRN SOFR+138.5 09/12/2025                                                   | CUSIP: 606822CP7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $497929.51    | 0.25%             | 2025-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FLORIDA PWR and LT CO                                                           | FLORIDA PWR and LT CO FRN SFRIX+25 05/10/2023                                                          | CUSIP: 341081GD3<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |    512000 | PA      | $510612.14    | 0.26%             | 2023-05-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                                        | HUNTINGTON NATL BK COLUMBUS OH FRN SFRIX+119 05/16/2025                                                | CUSIP: 44644MAE1<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |    300000 | PA      | $298846.00    | 0.15%             | 2025-05-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK OF NOVA SCOTIA FRN SOFR+38 07/31/2024                                                             | CUSIP: 0641596F8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    810000 | PA      | $800276.09    | 0.40%             | 2024-07-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION FRN SOFR+69 04/22/2025                                                     | CUSIP: 06051GJU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1179818.60   | 0.59%             | 2025-04-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC FRN SOFR+77 06/09/2027                                                                   | CUSIP: 172967MZ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190230.00    | 0.10%             | 2027-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHWAB CHARLES CORP                                                             | SCHWAB CHARLES CORP FRN SFRIX+52 05/13/2026                                                            | CUSIP: 808513BQ7<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |    380000 | PA      | $367944.26    | 0.18%             | 2026-05-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | NATWEST GRP PLC(UNGTD) FRN 3ML+155 06/25/2024                                                          | CUSIP: 780097BH3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    700000 | PA      | $698780.10    | 0.35%             | 2024-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK LTD                                                     | NATIONAL AUSTRALIA BANK LTD FRN SOFR+ 01/12/2025 144A                                                  | CUSIP: 6325C0EA5<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |   2370000 | PA      | $2342069.55   | 1.18%             | 2025-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                                                            | BANK OF MONTREAL QUE FRN SFRIX+62 09/15/2026                                                           | CUSIP: 06368FAD1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $289016.73    | 0.15%             | 2026-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                                  | PROTECTIVE LIFE GLOBAL FUNDING FRN SOFR+98 03/28/2025 144A                                             | CUSIP: 74368CBM5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    200000 | PA      | $198034.82    | 0.10%             | 2025-03-28      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                            | WESTPAC BANKING CORP FRN 3ML+39 01/13/2023                                                             | CUSIP: 961214EK5<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |    500000 | PA      | $499707.97    | 0.25%             | 2023-01-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                           | ATHENE GLOBAL FUNDING FRN SFRIX+70 05/24/2024 144A                                                     | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $980759.18    | 0.49%             | 2024-05-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO FRN SOFR+88.5 04/22/2027                                                         | CUSIP: 46647PCF1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    300000 | PA      | $291585.90    | 0.15%             | 2027-04-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                              | ANALOG DEVICES INC FRN SOFR+0 10/01/2024                                                               | CUSIP: 032654AT2<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |    400000 | PA      | $394535.22    | 0.20%             | 2024-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                             | NATWEST MARKETS PLC FRN SOFR+76 09/29/2026 144A                                                        | CUSIP: 63906YAE8<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    450000 | PA      | $426928.50    | 0.21%             | 2026-09-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                                        | NEW YORK LIFE GLOBAL FDG FRN SOFR+48 06/09/2026 144A                                                   | CUSIP: 64952WEE9<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |    200000 | PA      | $193068.00    | 0.10%             | 2026-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC                                              | MITSUBISHI UFJ FIN GRP INC FRN 3ML+86 07/26/2023                                                       | CUSIP: 606822AZ7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   1672000 | PA      | $1675147.36   | 0.84%             | 2023-07-26      | Variable      | 0.05%                 | 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