# EDGAR Filing Document

**Accession Number:** 0000215829
**File Stem:** 0001752724-23-034822
**Filing Date:** 2023-2
**Character Count:** 97125
**Document Hash:** 9b36bfdb3ef7e518384b59e666832606
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034822.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034822

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SCHOOL STREET TRUST
- **CENTRAL INDEX KEY:** 0000215829
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02676
- **FILM NUMBER:** 23656889

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY SCHOOL STREET TRUST/
- **DATE OF NAME CHANGE:** 19940526

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY LIMITED TERM MUNICIPALS
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Fidelity Global Credit Fund (Series ID: S000037006)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000113297 | Fidelity Advisor Global Credit Fund: Class A | FGBZX           |
| C000113298 | Fidelity Advisor Global Credit Fund: Class M | FGBWX           |
| C000113299 | Fidelity Advisor Global Credit Fund: Class C | FGBYX           |
| C000113300 | Fidelity Advisor Global Credit Fund: Class I | FGBIX           |
| C000113301 | Fidelity Global Credit Fund                  | FGBFX           |
| C000205054 | Fidelity Advisor Global Credit Fund: Class Z | FIQYX           |

## 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 School Street Trust

- **b. Investment Company Act file number:** 811-02676

- **c. CIK number of Registrant:** 0000215829

- **d. LEI of Registrant:** WX9R9SUUXPO900BH1D05

- **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 Global Credit Fund

- **b. EDGAR series identifier (if any):** S000037006

- **c. LEI of Series:** 23Q326LICSX6QXU20665

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**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:** $86812604.16

**Total Liabilities:** $1240492.22

**Net Assets:** $85572111.94

**Cash Not Reported:** $375566.55

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1568.58776274 | **1-Year:** 8282.09630076 | **5-Year:** 14463.23451852 | **10-Year:** 3531.13287770 | **30-Year:** 852.16420221

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

- **3-Month:** 353.84442231 | **1-Year:** 2164.08486406 | **5-Year:** 2416.02374765 | **10-Year:** 652.74679489 | **30-Year:** 147.11491961

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000205054 | -1.30%               | 4.07%                | -0.50%               |
| Class ID C000113297 | -5.31%               | -0.08%               | -4.54%               |
| Class ID C000113299 | -2.44%               | 3.09%                | -1.56%               |
| Class ID C000113300 | -1.30%               | 4.22%                | -0.63%               |
| Class ID C000113301 | -1.43%               | 4.22%                | -0.63%               |
| Class ID C000113298 | -5.31%               | -0.08%               | -4.54%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-803267.12              | $-87750.10                                 |
| Month 2  | $-1649150.26             | $2551840.51                                |
| Month 3  | $-388510.82              | $-433101.65                                |

**Designated Index Information**

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

- **Index Identifier:** 19806211

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANK OF IRELAND GROUP PLC                                                       | BANK OF IRELAND (UNGTD) 1.375%/VAR 08/11/2031 REGS                                              | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    800000 | PA      | $720859.87    | 0.84%             | 2031-08-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                  | ADLER GROUP SA 2.25% 04/27/2027 REGS                                                            | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |    200000 | PA      | $73861.05     | 0.09%             | 2027-04-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SITE CENTERS CORP                                                               | SITE CENTERS CORP 4.7% 06/01/2027                                                               | CUSIP: 23317HAF9<br>LEI: W2AVA6SODOQ1LCYJQR54 | Long             | DBT              | CORP              | US        |    550000 | PA      | $515984.95    | 0.60%             | 2027-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.2% 03/15/2028 | CUSIP: 161175BK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $459556.80    | 0.54%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                           | FX Forward: USD/EUR settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-293592.20   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 5.262%/VAR 01/29/2034 REGS                                                 | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    110000 | PA      | $116259.50    | 0.14%             | 2034-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                   | AIB GROUP PLC 2.25%/VAR 04/04/2028 REGS                                                         | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |   1300000 | PA      | $1241558.22   | 1.45%             | 2028-04-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CEZ AS                                                                          | CEZ AS 2.375% 04/06/2027 REGS                                                                   | CUSIP: N/A<br>LEI: 529900S5R9YHJHYKKG94       | Long             | DBT              | CORP              | CZ        |    150000 | PA      | $144836.70    | 0.17%             | 2027-04-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK NOVA SCOTIA BC 6.567140%/VAR PERP                                                          | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    450000 | PA      | $418283.58    | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                              | STICHTING AK RABOBANK CERTIFICATEN 6.5% PERP REGS                                               | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | EP               | CORP              | NL        |    341400 | PA      | $350325.58    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA SPA                                                     | AUTOSTRADE PER LITALIA SPA 2.25% 01/25/2032 REGS                                                | CUSIP: N/A<br>LEI: 815600149448CEB9B230       | Long             | DBT              | CORP              | IT        |    200000 | PA      | $162679.28    | 0.19%             | 2032-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                              | FX Forward: EUR/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $379.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                      | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                                                 | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    800000 | PA      | $708644.75    | 0.83%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                              | FX Forward: EUR/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $822.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                   | AIB GROUP PLC 1.875%/VAR 11/19/2029 REGS                                                        | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    800000 | PA      | $781000.32    | 0.91%             | 2029-11-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                             | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1% 08/12/2027 REGS                                          | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |    250000 | PA      | $184652.62    | 0.22%             | 2027-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                      | VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS                                                 | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    300000 | PA      | $272402.63    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                      | VOLKSWAGEN INTL FINANCE NV 0 PERP REGS                                                          | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |   1750000 | PA      | $1774939.90   | 2.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 8.407%/VAR 11/14/2032 REGS                                                 | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    150000 | PA      | $187036.65    | 0.22%             | 2032-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                           | FX Forward: USD/CAD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-41.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                                          | SIRIUS REAL ESTATE LTD 1.125% 06/22/2026 REGS                                                   | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |    300000 | PA      | $249652.92    | 0.29%             | 2026-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 6.375%/VAR PERP                                                               | CUSIP: 404280AT6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EP               | CORP              | GB        |    700000 | PA      | $678354.06    | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                             | BANCO BILBAO VIZ ARGENTARIA SA 5.875/VAR PERP REGS                                              | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | EP               | CORP              | ES        |    400000 | PA      | $410837.85    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                         | ARGENTUM NETHERLANDS BV 5.75%/VAR 08/15/2050 REGS                                               | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |   1250000 | PA      | $1190625.00   | 1.39%             | 2050-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                                            | HEATHROW FUNDING LTD 2.625% 03/16/2028 REGS                                                     | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |   1400000 | PA      | $1357446.29   | 1.59%             | 2028-03-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP PARIBAS 2.159/VAR 09/15/2029 144A                                                           | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    243000 | PA      | $198098.78    | 0.23%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                   | AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS                                                         | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | DBT              | CORP              | HK        |    300000 | PA      | $248634.92    | 0.29%             | 2033-09-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                               | EURO-BUND FUTURE MAR23 RXH3                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        18 | NC      | $-163906.54   | -0.19%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US ULTRA BOND CBT FUT MAR23 WNH3                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        44 | NC      | $11934.12     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                             | FX Forward: EUR/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1741.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                          | GSCM ITXEX538 PAY 525 01/18/23                                                                  | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |   3400000 | NC      | $12742.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033                                                  | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $183638.07    | 0.21%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.25% 04/15/2026 144A                                               | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    545000 | PA      | $494070.44    | 0.58%             | 2026-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNIVERSAL HEALTH SERVICES INC                                                   | UNIVERSAL HEALTH SERVICES INC 2.65% 10/15/2030                                                  | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $795873.09    | 0.93%             | 2030-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                 | FX Forward: EUR/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $426.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RWE AG                                                                          | RWE AG 2.75% 05/24/2030 REGS                                                                    | CUSIP: N/A<br>LEI: 529900GB7KCA94ACC940       | Long             | DBT              | CORP              | DE        |    850000 | PA      | $828537.46    | 0.97%             | 2030-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                | VODAFONE GROUP PLC 4.875%/VAR 10/03/2078 REGS                                                   | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |    200000 | PA      | $226017.55    | 0.26%             | 2078-10-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                                           | CELLNEX FINANCE CO SA 1% 09/15/2027 REGS                                                        | CUSIP: N/A<br>LEI: 549300OUROMFTRFA7T23       | Long             | DBT              | CORP              | ES        |    900000 | PA      | $801429.64    | 0.94%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                                    | BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS                                                   | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EP               | CORP              | GB        |   2100000 | PA      | $1740601.79   | 2.03%             |  |  |  | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                               | QBE INS GROUP LTD 5.875/VAR PERP 144A                                                           | CUSIP: 74728GAE0<br>LEI: 549300D2FBW76FPUSG65 | Long             | EP               | CORP              | AU        |    505000 | PA      | $476052.48    | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                                             | FX Forward: USD/CAD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $343.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                                             | VIRGIN MONEY UK PLC 5.125/VAR 12/11/2030 REGS                                                   | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |    400000 | PA      | $447340.05    | 0.52%             | 2030-12-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | BLACKSTONE PROP PARTNERS EUR HOLD 2.625% 10/20/2028 REGS                                        | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    250000 | PA      | $225939.46    | 0.26%             | 2028-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                      | TOLL BROS FIN CORP 4.875% 03/15/2027                                                            | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    650000 | PA      | $620642.35    | 0.73%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                                             | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                                      | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    250000 | PA      | $253885.54    | 0.30%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.622%/VAR 08/14/2030 REGS                                      | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    200000 | PA      | $222298.20    | 0.26%             | 2030-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                                                  | JOHN LEWIS PLC 6.125% 01/21/2025                                                                | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |    986000 | PA      | $1141265.90   | 1.33%             | 2025-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                                         | VEOLIA ENVIRONNEMENT SA 2%/VAR PERP REGS                                                        | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | EP               | CORP              | FR        |    900000 | PA      | $786379.33    | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 4.75% 11/24/2025 144A                                                   | CUSIP: 83367TBR9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    400000 | PA      | $383937.54    | 0.45%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT SECURITIES BV                                                                | AT SECURITIES BV 5.25%/VAR PERP REGS                                                            | CUSIP: N/A<br>LEI: 894500FVP65TB5QVZL54       | Long             | EP               | CORP              | NL        |    500000 | PA      | $230040.00    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                 | ROLLS-ROYCE PLC 3.375% 06/18/2026                                                               | CUSIP: N/A<br>LEI: X57JK1U580XATGR67572       | Long             | DBT              | CORP              | GB        |    590000 | PA      | $611509.64    | 0.71%             | 2026-06-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 2.15% 07/15/2026                                                              | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    300000 | PA      | $254001.62    | 0.30%             | 2026-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                                        | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                                     | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |   1400000 | PA      | $619383.78    | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| VIA OUTLETS                                                                     | VIA OUTLETS 1.75% 11/15/2028 REGS                                                               | CUSIP: N/A<br>LEI: 2594009AT1MND8D7E216       | Long             | DBT              | CORP              | NL        |    200000 | PA      | $161280.85    | 0.19%             | 2028-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                | SOCIETE GENERALE FRANCE 7.875% PERP REGS                                                        | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | EP               | CORP              | FR        |    200000 | PA      | $197963.72    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                              | VORNADO REALTY LP 3.4% 06/01/2031                                                               | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    114000 | PA      | $84761.50     | 0.10%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                                        | ENEL SPA 2.5%/VAR PERP REGS                                                                     | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | EP               | CORP              | IT        |    300000 | PA      | $312772.64    | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC NEW                                           | INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS                                           | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |    230000 | PA      | $240029.55    | 0.28%             | 2028-10-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC                                                           | AMERICAN AIRLINES INC 3.75% 04/15/2027                                                          | CUSIP: 023771S41<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |    125569 | PA      | $111993.03    | 0.13%             | 2027-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALPHA BANK SA                                                                   | ALPHA BANK SA 4.25%/VAR 02/13/2030 REGS                                                         | CUSIP: N/A<br>LEI: 5299009N55YRQC69CN08       | Long             | DBT              | CORP              | GR        |    300000 | PA      | $260183.58    | 0.30%             | 2030-02-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 3.25% 07/15/2025                                                              | CUSIP: 04010LAY9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    375000 | PA      | $345064.03    | 0.40%             | 2025-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                                   | LONG GILT FUTURE MAR23 G H3                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       -19 | NC      | $139804.22    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                         | WESTERN GAS PARTNERS LP STEP 02/01/2030                                                         | CUSIP: 958667AC1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    376000 | PA      | $328217.92    | 0.38%             | 2030-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                 | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |    900000 | PA      | $829289.49    | 0.97%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                                         | SSE PLC 3.74%/VAR PERP REGS                                                                     | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |    400000 | PA      | $438848.85    | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSURANCES SA                                                   | CRDT AGR ASSR 4.75/VAR 9/27/48                                                                  | CUSIP: N/A<br>LEI: 969500K2MUPSI57XK083       | Long             | DBT              | CORP              | FR        |    400000 | PA      | $412388.48    | 0.48%             | 2048-09-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                   | AIB GROUP PLC 6.25%/VAR PERP REGS                                                               | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | EP               | CORP              | IE        |    450000 | PA      | $449887.98    | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                                                | VODAFONE GROUP PLC 6.25%/VAR 10/03/2078 REGS                                                    | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |    650000 | PA      | $619320.00    | 0.72%             | 2078-10-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                 | DANSKE BANK AS (UNGTD) 2.25%/VAR 01/14/2028 REGS                                                | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |    490000 | PA      | $505628.27    | 0.59%             | 2028-01-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 7.75%/VAR 03/01/2029 REGS                                                  | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    200000 | PA      | $212582.75    | 0.25%             | 2029-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                                        | BAYER AG 2.375%/VAR 11/12/2079 REGS                                                             | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | EP               | CORP              | DE        |   1200000 | PA      | $1149688.99   | 1.34%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE AG 7.5%/VAR PERP REGS                                                             | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |   2000000 | PA      | $1740000.00   | 2.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                            | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                            | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    135000 | PA      | $100449.04    | 0.12%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                                            | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    700000 | PA      | $546175.70    | 0.64%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                       | BANK IRELAND GROUP PLC 2.375%/VAR 10/14/2029 REGS                                               | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    500000 | PA      | $496560.34    | 0.58%             | 2029-10-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                                                | AUSNET SERVICES HOLDINGS PTY LTD 1.625%/VAR 03/11/2081 REGS                                     | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |    150000 | PA      | $130862.51    | 0.15%             | 2081-03-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                           | MARKS and SPENCER PLC 3.75% 05/19/2026 REGS                                                     | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |    500000 | PA      | $525919.85    | 0.61%             | 2026-05-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                   | UNICREDIT SPA 2.731%/VAR 01/15/2032 REGS                                                        | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | DBT              | CORP              | IT        |    700000 | PA      | $629456.07    | 0.74%             | 2032-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 4.282% 01/09/2028 144A                                                     | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    323000 | PA      | $267718.91    | 0.31%             | 2028-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                                     | AUST 10Y BOND FUT MAR23 XMH3                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         4 | NC      | $-18967.71    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ENEL SPA                                                                        | ENEL SOCIETA PER AZIONI 3.375%/VAR PERP REGS                                                    | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |    690000 | PA      | $665678.62    | 0.78%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                                            | ZF EUROPE FINANCE BV 2% 02/23/2026 REGS                                                         | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |    200000 | PA      | $184096.42    | 0.22%             | 2026-02-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                                         | CAN 10YR BOND FUT MAR23 CNH3                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |        18 | NC      | $-31065.74    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| HEIMSTADEN AB                                                                   | HEIMSTADEN AB 4.375% 03/06/2027 REGS                                                            | CUSIP: N/A<br>LEI: 549300WD2QBD89VBPV88       | Long             | DBT              | CORP              | SE        |    500000 | PA      | $351692.06    | 0.41%             | 2027-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO ESPIRITO SANTO SA                                                         | BANCO ESPIRITO SANTO SA 4% 12/31/2049 REGS                                                      | CUSIP: N/A<br>LEI: UBGVXZLX4SCS302CM391       | Long             | DBT              | CORP              | PT        |    200000 | PA      | $25690.80     | 0.03%             | 2049-12-31      | Fixed         | 0.04%                 | No            |                  3 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC                                            | ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS                                         | CUSIP: N/A<br>LEI: 21380072JDZ74GW9ZY87       | Long             | DBT              | CORP              | GB        |    175000 | PA      | $161750.86    | 0.19%             | 2028-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | NATWEST GRP PLC(UNGTD) 3.619%/VAR 03/29/2029 REGS                                               | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    600000 | PA      | $632817.14    | 0.74%             | 2029-03-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                | SOUTHERN COMPANY EUSA5 1.875/VAR 09/15/2081                                                     | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |   1100000 | PA      | $915784.96    | 1.07%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VONTIER CORP                                                                    | VONTIER CORP 2.4% 04/01/2028                                                                    | CUSIP: 928881AD3<br>LEI: 549300VVSQLG4P5K4639 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $799035.56    | 0.93%             | 2028-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.15% 05/01/2030                                                                      | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    450000 | PA      | $439037.67    | 0.51%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                                                  | COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS                                                       | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |    100000 | PA      | $121236.89    | 0.14%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                               | EURO-BUXL 30Y BND FUT MAR23 UBH3                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         7 | NC      | $-181544.33   | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| BPCE SA                                                                         | BPCE SA 1.5%/VAR 01/13/2042 REGS                                                                | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |    800000 | PA      | $717261.44    | 0.84%             | 2042-01-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                                         | ACCENTRO REAL ESTATE AG 3.625% 02/13/2023 REGS                                                  | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |    550000 | PA      | $280926.76    | 0.33%             | 2023-02-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                         | BANK NOVA SCOTIA BC 4.9/VAR PERP                                                                | CUSIP: 064159VJ2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    250000 | PA      | $239687.50    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                           | EDF SA 5.25/VAR PERP REGS                                                                       | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EP               | CORP              | FR        |   1950000 | PA      | $1950000.00   | 2.28%             |  |  |  | No            |                  2 | On Loan: No      |
| CIA DE SEGUROS FIDELIDADE SA                                                    | FIDELIDADE COMPANHIA 4.25%/VAR 09/04/2031 REGS                                                  | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |    300000 | PA      | $259197.69    | 0.30%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                                              | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                                                        | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |    300000 | PA      | $320704.45    | 0.37%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 6.7% 11/29/2032                                                          | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |     21000 | PA      | $21346.01     | 0.02%             | 2032-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        45 | NC      | $10810.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL                               | BLACKSTONE PROP PARTNERS EUR HOLD 1.75% 03/12/2029 REGS                                         | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    400000 | PA      | $312173.19    | 0.36%             | 2029-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP PARIBAS 2.50%/VAR 03/31/2032 REGS                                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |   1000000 | PA      | $946855.84    | 1.11%             | 2032-03-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY OPERATING PARTNERS LP                                            | NEXTERA ENERGY OPERATING PARTNERS LP 4.25% 09/15/2024 144A                                      | CUSIP: 65342QAC6<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46485.00     | 0.05%             | 2024-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RENTOKIL INITIAL PLC                                                            | RENTOKIL INITIAL PLC 5% 06/27/2032 REGS                                                         | CUSIP: N/A<br>LEI: 549300VN4WV7Z6T14K68       | Long             | DBT              | CORP              | GB        |    150000 | PA      | $170559.51    | 0.20%             | 2032-06-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                                    | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    200000 | PA      | $250201.87    | 0.29%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                           | LEVEL 3 FINANCING INC 3.4% 03/01/2027 144A                                                      | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    500000 | PA      | $422492.72    | 0.49%             | 2027-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                     | BNP PARIBAS 6.625%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | EP               | CORP              | FR        |    450000 | PA      | $434835.00    | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                                     | CITYCON OYJ 4.496%/VAR PERP REGS                                                                | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |    350000 | PA      | $219268.30    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                    | HUDSON PAC PPTYS LP 3.95% 11/01/2027                                                            | CUSIP: 44409MAA4<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    700000 | PA      | $595607.78    | 0.70%             | 2027-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                   | UNICREDIT SPA 5.861%/VAR 06/19/2032 144A                                                        | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    600000 | PA      | $526725.02    | 0.62%             | 2032-06-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                         | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    400000 | PA      | $348490.73    | 0.41%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                                                           | AEROPORTI DI ROMA SPA 1.75% 07/30/2031 REGS                                                     | CUSIP: N/A<br>LEI: 8156007259ABDEA3F444       | Long             | DBT              | CORP              | IT        |    200000 | PA      | $159073.58    | 0.19%             | 2031-07-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                        | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                         | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    350000 | PA      | $333028.50    | 0.39%             | 2028-08-28      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                            | HEIMSTADEN BOSTAD AB 3.625/VAR PERP REGS                                                        | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |    150000 | PA      | $83495.10     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS                                                      | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    200000 | PA      | $197570.81    | 0.23%             | 2028-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 7/VAR PERP RGS                                                                     | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | EP               | CORP              | CH        |    200000 | PA      | $197500.00    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                              | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 3.3% 01/30/2032                              | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $117264.11    | 0.14%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                                        | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                                  | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |    550000 | PA      | $430080.05    | 0.50%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 6.537%/VAR 08/12/2033 144A                                                 | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $219348.33    | 0.26%             | 2033-08-12      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                                           | MARKS and SPENCER PLC STEP 07/10/2027 REGS                                                      | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |    250000 | PA      | $258851.31    | 0.30%             | 2027-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.45% 02/15/2031 144A                                                              | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    274000 | PA      | $215807.55    | 0.25%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                                                  | AIR LEASE CORP 3.125% 12/01/2030                                                                | CUSIP: 00914AAK8<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    275000 | PA      | $227891.57    | 0.27%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 4.25% 03/01/2025                                                              | CUSIP: 04010LAV5<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    650000 | PA      | $616077.15    | 0.72%             | 2025-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                              | FX Forward: GBP/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4744.32     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                                                   | AROUNDTOWN SA 3.375%/VAR PERP REGS                                                              | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |   1600000 | PA      | $792355.65    | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                                                           | AEROPORTI DI ROMA SPA 1.625% 02/02/2029 REGS                                                    | CUSIP: N/A<br>LEI: 8156007259ABDEA3F444       | Long             | DBT              | CORP              | IT        |    200000 | PA      | $174288.53    | 0.20%             | 2029-02-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VALEO                                                                           | VALEO 1% 08/03/2028 REGS                                                                        | CUSIP: N/A<br>LEI: 5493006IH2N2WMIBB742       | Long             | DBT              | CORP              | FR        |    400000 | PA      | $329057.19    | 0.38%             | 2028-08-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                           | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                                       | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |    850000 | PA      | $464495.01    | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                          | GSCM ITXEX538 PAY 487.5 01/18/23                                                                | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |   3350000 | NC      | $27122.81     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| M and G PLC                                                                     | PRUDENTIAL PLC 6.5%/VAR 10/20/2048 REGS                                                         | CUSIP: N/A<br>LEI: 254900TWUJUQ44TQJY84       | Long             | DBT              | CORP              | GB        |    300000 | PA      | $293250.00    | 0.34%             | 2048-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                                   | BAT INTL FINANCE PLC 2.25% 06/26/2028 REGS                                                      | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |    230000 | PA      | $224085.12    | 0.26%             | 2028-06-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                                                 | ZF FINANCE GMBH 2% 05/06/2027 REGS                                                              | CUSIP: N/A<br>LEI: 5493001N9T6QDCCXB426       | Long             | DBT              | CORP              | DE        |    300000 | PA      | $261789.25    | 0.31%             | 2027-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CLOVERIE PLC                                                                    | CLOVERIE PLC 4.5/VAR 09/11/2044 REGS                                                            | CUSIP: N/A<br>LEI: 5493002N598MXOKUEF55       | Long             | DBT              | CORP              | IE        |   1445000 | PA      | $1365525.00   | 1.60%             | 2044-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                               | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                                      | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    700000 | PA      | $640398.54    | 0.75%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A                                                  | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $194073.57    | 0.23%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                                                | FX Forward: EUR/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $460.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TECHNIP ENERGIES NV                                                             | TECHNIP ENERGIES NV 1.125% 05/28/2028 REGS                                                      | CUSIP: N/A<br>LEI: 724500FLODI49NSCIP70       | Long             | DBT              | CORP              | NL        |    600000 | PA      | $519740.45    | 0.61%             | 2028-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                  | ADLER GROUP SA 1.875% 01/14/2026 REGS                                                           | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |   2200000 | PA      | $941996.00    | 1.10%             | 2026-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                 | FX Forward: USD/EUR settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-683.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                           | FX Forward: USD/GBP settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $333.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 7.125/VAR PERP                                                             | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    200000 | PA      | $228188.34    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                      | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   1823249 | NS      | $1823613.65   | 2.13%             |  |  |  | No            |                  1 | On Loan: No      |
| TRITAX EUROBOX PLC                                                              | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                                        | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |    210000 | PA      | $182393.29    | 0.21%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AKELIUS RESIDENTIAL AB                                                          | AKELIUS RESIDENTIAL AB 3.875/VAR 10/05/2078 REGS                                                | CUSIP: N/A<br>LEI: 213800REBFN6T3PU8L97       | Long             | DBT              | CORP              | SE        |    251000 | PA      | $257591.18    | 0.30%             | 2078-10-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                    | ALIMENTATION COUCHE-TARD INC 2.95% 01/25/2030 144A                                              | CUSIP: 01626PAM8<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     78000 | PA      | $66101.52     | 0.08%             | 2030-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                                       | BANK IRELAND GROUP PLC 2.029%/VAR 09/30/2027 144A                                               | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1000000 | PA      | $843808.00    | 0.99%             | 2027-09-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| VONOVIA FINANCE BV                                                              | VONOVIA FINANCE BV 5% 10/02/2023 144A                                                           | CUSIP: 25155FAB2<br>LEI: 5299009XLZLD9TALOZ03 | Long             | DBT              | CORP              | NL        |    314000 | PA      | $309693.19    | 0.36%             | 2023-10-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL PLC                                                                  | PRUDENTIAL PLC 2.95%/VAR 11/03/2033 REGS                                                        | CUSIP: N/A<br>LEI: 5493001Z3ZE83NGK8Y12       | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1227114.00   | 1.43%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                               | QBE INS GROUP LTD 6.75%/VAR 12/02/2044 REGS                                                     | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    975000 | PA      | $945750.00    | 1.11%             | 2044-12-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                          | MPT OPER PARTNERSHIP LP/CORP 2.5% 03/24/2026                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    250000 | PA      | $239810.34    | 0.28%             | 2026-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT                     | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS              | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |    300000 | PA      | $250026.08    | 0.29%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        41 | NC      | $558.32       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LAGARDERE SA                                                                    | LAGARDERE SA 2.125% 10/16/2026 REGS                                                             | CUSIP: N/A<br>LEI: 969500VX2NV2AQQ65G45       | Long             | DBT              | CORP              | FR        |    300000 | PA      | $301805.88    | 0.35%             | 2026-10-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                                      | VOLKSWAGEN INTL FINANCE NV 3.375/VAR PERP REGS                                                  | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    200000 | PA      | $203116.17    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| ZIONS BANCORP NA                                                                | ZIONS BANCORP NA 3.25% 10/29/2029                                                               | CUSIP: 98971DAB6<br>LEI: YYQWUR1Z2BCX32HQS333 | Long             | DBT              | CORP              | US        |    750000 | PA      | $612900.33    | 0.72%             | 2029-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LEIGHTON FIN USA PTY LTD                                                        | LEIGHTON FIN USA PTY LTD 1.5% 05/28/2029 REGS                                                   | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |    700000 | PA      | $560298.10    | 0.65%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                             | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1.75% 01/14/2025 REGS                                       | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |    200000 | PA      | $182408.96    | 0.21%             | 2025-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                    | UBS GROUP AG 4.988%/VAR 08/05/2033 REGS                                                         | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    200000 | PA      | $185136.28    | 0.22%             | 2033-08-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                             | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   2075000 | PA      | $1885656.25   | 2.20%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATIONAL EXPRESS GROUP PLC                                                      | NATIONAL EXPRESS GROUP 4.25%/VAR PERP REGS                                                      | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |    200000 | PA      | $198601.47    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 2.45% 01/15/2031                                                                       | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    715000 | PA      | $568797.70    | 0.66%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                 | FX Forward: USD/GBP settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $264927.89    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                                         | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                              | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |    649000 | PA      | $593835.00    | 0.69%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                               | EURO-BOBL FUTURE MAR23 OEH3                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -50 | NC      | $198709.95    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                                             | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624/VAR PERP REGS                                         | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |    450000 | PA      | $179434.18    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                          | MPT OPER PARTNERSHIP LP/CORP 3.5% 03/15/2031                                                    | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $263911.18    | 0.31%             | 2031-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | NATWEST GRP PLC(UNGTD) 2.105/VAR 11/28/2031 REGS                                                | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    700000 | PA      | $700895.71    | 0.82%             | 2031-11-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                                               | QBE INS GROUP LTD 5.25%/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | EP               | CORP              | AU        |    600000 | PA      | $534027.04    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | NATWEST GRP PLC(UNGTD) 7.416%/VAR 06/06/2033 REGS                                               | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    150000 | PA      | $182624.59    | 0.21%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                          | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                     | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |    450000 | PA      | $361928.44    | 0.42%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 5.875% PERP REGS                                                           | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    250000 | PA      | $276266.23    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.625% 12/15/2029                                                                  | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    405000 | PA      | $370103.51    | 0.43%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                  | FX Forward: USD/EUR settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-696.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP HOLDINGS NV                                                              | AERCAP HOLDINGS NV 5.875/VAR 10/10/2079                                                         | CUSIP: 00774YAA7<br>LEI: 549300SZYINBBLJQU475 | Long             | EP               | CORP              | NL        |    650000 | PA      | $591792.50    | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| SSE PLC                                                                         | SSE PLC 4%/VAR PERP REGS                                                                        | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |    600000 | PA      | $584350.09    | 0.68%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                          | US LONG BOND(CBT) FUT MAR23 USH3                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        92 | NC      | $-48343.65    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| NGG FINANCE PLC                                                                 | NGG FINANCE PLC 2.125/VAR 09/05/2082 REGS                                                       | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |   1050000 | PA      | $929862.45    | 1.09%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                      | DCP MIDSTREAM OPER LP 5.375% 07/15/2025                                                         | CUSIP: 23311VAG2<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |    900000 | PA      | $891630.00    | 1.04%             | 2025-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                              | JPSW SWAP CDS 12/20/27 ISPIM B                                                                  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    900000 | NC      | $4613.36      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                 | FX Forward: EUR/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $710.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                            | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                                           | CUSIP: N/A<br>LEI: I1BZKREC126H0VB1BL91       | Long             | DBT              | CORP              | US        |    550000 | PA      | $543962.01    | 0.64%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                | PUGET ENERGY INC 4.1% 06/15/2030                                                                | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    750000 | PA      | $669720.88    | 0.78%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                                     | SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS                                              | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |    100000 | PA      | $113235.82    | 0.13%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                     | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $850603.77    | 0.99%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                           | FX Forward: USD/AUD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $16.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 2.125%/VAR 11/15/2029 REGS                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    500000 | PA      | $428143.60    | 0.50%             | 2029-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                                                 | FX Forward: EUR/USD settle 2023-01-12                                                           | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $299.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBW ENERGIE BADEN-WUERTTEM AG                                                  | ENBW ENERGIE BADEN-WUERTTEM AG 1.375%/VAR 08/31/2081 REGS                                       | CUSIP: N/A<br>LEI: 529900JSFZ4TS59HKD79       | Long             | DBT              | CORP              | DE        |    500000 | PA      | $395389.62    | 0.46%             | 2081-08-31      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                              | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     37000 | PA      | $33712.38     | 0.04%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                                            | CREDIT SUISSE GRP AG 7.375%/VAR 09/07/2033 REGS                                                 | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    100000 | PA      | $109748.48    | 0.13%             | 2033-09-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                                            | BARCLAYS PLC (UNGTD) 8.875%/VAR PERP REGS                                                       | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    200000 | PA      | $237882.67    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.25% 12/15/2027                                                                   | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    570000 | PA      | $534582.03    | 0.62%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                               | HSBC HOLDINGS PLC 5.402%/VAR 08/11/2033                                                         | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $185204.62    | 0.22%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                                    | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                                           | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |    650000 | PA      | $498875.00    | 0.58%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                                           | EDF SA 5.625/VAR PERP REGS                                                                      | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EP               | CORP              | FR        |    320000 | PA      | $303200.00    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                                            | HEIMSTADEN BOSTAD AB 3.248%/VAR PERP REGS                                                       | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |    900000 | PA      | $695241.22    | 0.81%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                                        | BAYER AG 3.75% 07/01/2074 REGS                                                                  | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | CORP              | DE        |    550000 | PA      | $563965.94    | 0.66%             | 2074-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                                   | AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS                                                        | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    250000 | PA      | $240101.93    | 0.28%             | 2031-05-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                        | LLOYDS BANKING GROUP PLC 1.985%/VAR 12/15/2031                                                  | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |    400000 | PA      | $404750.66    | 0.47%             | 2031-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS                                           | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |    800000 | PA      | $866325.83    | 1.01%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                                | DEUTSCHE BANK AG 4%/VAR 06/24/2032 REGS                                                         | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    900000 | PA      | $852368.46    | 1.00%             | 2032-06-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer