# EDGAR Filing Document

**Accession Number:** 0001898391
**File Stem:** 0000035402-26-004132
**Filing Date:** 2026-6
**Character Count:** 81875
**Document Hash:** 17134bca5f2a134e729e42735ef83862
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-004132.hdr.sgml**: 20260626

**ACCESSION NUMBER**: 0000035402-26-004132

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260626

**DATE AS OF CHANGE**: 20260626

**PERIOD START**: 20270131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Greenwood Street Trust
- **CENTRAL INDEX KEY:** 0001898391

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23762
- **FILM NUMBER:** 261127152

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

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

## Series and Classes Contracts Data

### Fidelity SAI Convertible Arbitrage Fund (Series ID: S000081303)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000243999 | Fidelity SAI Convertible Arbitrage Fund | FSAWX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® SAI Convertible Arbitrage Fund**

**April 30, 2026**

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

SCA-NPRT1-0626

1.9909700.102 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 25.0%** | &nbsp;&nbsp;**Common Stocks - 25.0%** | &nbsp;&nbsp;**Common Stocks - 25.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 25.0%  |  |  |
| Consumer Staples - 6.8% |  |  |
| Consumer Staples Distribution & Retail - 0.5% |  |  |
| Costco Wholesale Corp  | 6000 | 6087180 |
| Tobacco - 6.3% |  |  |
| Philip Morris International Inc  | 445000 | 73456150 |
| TOTAL CONSUMER STAPLES |  | 79543330 |
| Financials - 11.0% |  |  |
| Banks - 3.6% |  |  |
| Citigroup Inc  | 325000 | 41593500 |
| Capital Markets - 0.6% |  |  |
| Morgan Stanley  | 41700 | 7947603 |
| Financial Services - 6.8% |  |  |
| Mastercard Inc Class A  | 157600 | 79260192 |
| TOTAL FINANCIALS |  | 128801295 |
| Health Care - 0.6% |  |  |
| Biotechnology - 0.6% |  |  |
| AbbVie Inc  | 32000 | 6762240 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| Voyager Technologies Inc Class A  | 28700 | 757967 |
| Information Technology - 6.6% |  |  |
| Semiconductors & Semiconductor Equipment - 5.4% |  |  |
| Broadcom Inc  | 75000 | 31307250 |
| NVIDIA Corp  | 157000 | 31332490 |
|  |  | 62639740 |
| Software - 1.2% |  |  |
| Microsoft Corp  | 24000 | 9786720 |
| Oracle Corp  | 25900 | 4180001 |
|  |  | 13966721 |
| TOTAL INFORMATION TECHNOLOGY |  | 76606461 |
| TOTAL UNITED STATES |  | 292471293 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $255,558,722) |  | <br> **292471293** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 28.9%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 28.9%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 28.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 1.1%  |  |  |
| Energy - 1.1% |  |  |
| Oil, Gas & Consumable Fuels - 1.1% |  |  |
| Denison Mines Corp 4.25% 9/15/2031 (b) | 7500000 | 12318750 |
| MONACO - 0.9%  |  |  |
| Energy - 0.9% |  |  |
| Oil, Gas & Consumable Fuels - 0.9% |  |  |
| Scorpio Tankers Inc 1.75% 4/15/2031 (b) | 10000000 | 11205000 |
| UNITED STATES - 26.9%  |  |  |
| Consumer Discretionary - 7.4% |  |  |
| Automobile Components - 2.7% |  |  |
| LCI Industries 3% 3/1/2030  | 25792000 | 30563520 |
| Broadline Retail - 0.7% |  |  |
| Etsy Inc 0.25% 6/15/2028  | 9000000 | 8131500 |
| Diversified Consumer Services - 2.1% |  |  |
| Liberty Live Holdings Inc 2.375% 9/30/2053 (b) | 15250000 | 24918500 |
| Hotels, Restaurants & Leisure - 1.9% |  |  |
| Cheesecake Factory Inc/The 2% 3/15/2030  | 11861000 | 13070822 |
| Cracker Barrel Old Country Store Inc 1.75% 9/15/2030 (b) | 4225000 | 3367748 |
| Marriott Vacations Worldwide Corp 3.25% 12/15/2027  | 5500000 | 5326750 |
|  |  | 21765320 |
| TOTAL CONSUMER DISCRETIONARY |  | 85378840 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Northern Oil & Gas Inc 3.625% 4/15/2029 (b) | 2500000 | 2649999 |
| Financials - 4.4% |  |  |
| Capital Markets - 2.8% |  |  |
| Coinbase Global Inc 0% 10/1/2032 (b)(c) | 9500000 | 8008500 |
| Coinbase Global Inc 0.5% 6/1/2026  | 24500000 | 24406900 |
| Galaxy Digital Holdings LP 3% 12/15/2026 (b) | 500000 | 555500 |
|  |  | 32970900 |
| Financial Services - 1.6% |  |  |
| Euronet Worldwide Inc 0.625% 10/1/2030 (b) | 20520000 | 18468000 |
| TOTAL FINANCIALS |  | 51438900 |
| Health Care - 1.3% |  |  |
| Biotechnology - 1.3% |  |  |
| Alnylam Pharmaceuticals Inc 1% 9/15/2027  | 8500000 | 10498350 |
| Cytokinetics Inc 1.75% 10/1/2031 (b) | 3920000 | 5002900 |
| TOTAL HEALTH CARE |  | 15501250 |
| Industrials - 4.6% |  |  |
| Commercial Services & Supplies - 3.2% |  |  |
| Pitney Bowes Inc 1.5% 8/15/2030 (b) | 27500000 | 33715000 |
| Tetra Tech Inc 2.25% 8/15/2028  | 3000000 | 3274800 |
|  |  | 36989800 |
| Electrical Equipment - 1.4% |  |  |
| Enovix Corp 4.75% 9/15/2030 (b) | 19000000 | 17230625 |
| TOTAL INDUSTRIALS |  | 54220425 |
| Information Technology - 6.9% |  |  |
| Electronic Equipment, Instruments & Components - 1.0% |  |  |
| Advanced Energy Industries Inc 2.5% 9/15/2028  | 3900000 | 11104860 |
| IT Services - 2.0% |  |  |
| Akamai Technologies Inc 1.125% 2/15/2029  | 3000000 | 3331500 |
| Cloudflare Inc 0% 8/15/2026 (c) | 4500000 | 5228029 |
| DigitalOcean Holdings Inc 0% 12/1/2026 (c) | 15000000 | 14827500 |
|  |  | 23387029 |
| Software - 3.9% |  |  |
| A10 Networks Inc 2.75% 4/1/2030  | 10000000 | 13195286 |
| BlackLine Inc 1% 6/1/2029  | 5000000 | 4577500 |
| Box Inc 1.5% 9/15/2029  | 3000000 | 2815500 |
| Life360 Inc 0% 6/1/2030 (b)(c) | 21000000 | 19803000 |
| Unity Software Inc 0% 11/15/2026 (c) | 5172000 | 5040114 |
|  |  | 45431400 |
| TOTAL INFORMATION TECHNOLOGY |  | 79923289 |
| Real Estate - 0.9% |  |  |
| Real Estate Management & Development - 0.9% |  |  |
| Compass Inc 0.25% 4/15/2031 (b) | 11998000 | 10534244 |
| Utilities - 1.2% |  |  |
| Electric Utilities - 0.3% |  |  |
| Southern Co/The 3.25% 6/15/2028 (b) | 3267000 | 3320906 |
| Independent Power and Renewable Electricity Producers - 0.9% |  |  |
| Ormat Technologies Inc 0% 3/15/2031 (b)(c) | 1870000 | 1957890 |
| XPLR Infrastructure LP 2.5% 6/15/2026 (b) | 8750000 | 8706250 |
|  |  | 10664140 |
| TOTAL UTILITIES |  | 13985046 |
| TOTAL UNITED STATES |  | 313631993 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $330,251,958) |  | <br> **337155743** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 2.0%** | &nbsp;&nbsp;**Domestic Equity Funds - 2.0%** | &nbsp;&nbsp;**Domestic Equity Funds - 2.0%** |
|  | Shares | Value ($)<br>|
| Financial Select Sector SPDR ETF <br>(Cost $21,779,781)<br>| 438300 | **22848579** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 28.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 28.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 28.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 28.6%** |
|  | Yield (%) (d) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 5/7/2026 (e) | 3.63 | 85000000 | 84949033 |
| US Treasury Bills 0% 6/4/2026 (e) | 3.63 | 125000000 | 124575443 |
| US Treasury Bills 0% 7/9/2026 (e)(f) | 3.64 | 125000000 | 124136541 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $333,661,267) |  |  | **333661017** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 15.3%** | &nbsp;&nbsp;**Money Market Funds - 15.3%** | &nbsp;&nbsp;**Money Market Funds - 15.3%** | &nbsp;&nbsp;**Money Market Funds - 15.3%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (g)<br>(Cost $179,038,085)<br>| 3.69 | 179002285 | **179038085** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%**<br> (Cost $1,120,289,813)<br>| <br>**1165174717** |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **2888079** |
| **NET ASSETS - 100.0%** | **1168062796** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value and Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | (538) | 6/2026 | (111433250) | 974200 |
| CBOT 5Y US Treasury Notes Contracts (United States) | (572) | 6/2026 | (61682156) | 973202 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **1947402** |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| Voyager Technologies Inc Class A | Pay | Monthly | U.S. Overnight Bank Funding Rate | Monthly | JPMorgan Chase Bank NA | 5/2026 | 783223 | 27034 | 0 | 27034 |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  | **27034** | **0** | **27034** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.64% plus or minus a specified spread ranging from (0.5)% to 0.55% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Bank of Montreal | 10/2026 | 3015738348 | 1336079 | (947350) | 388730 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Convertible Corporate Bonds** |  |  |  |  |  |  |
| UNITED STATES -36917.0%  |  |  |  |  |  |  |
| **Communication Services - 3.7%**  |  |  |  |  |  |  |
| **Entertainment - (192.9)%**  |  |  |  |  |  |  |
| Liberty Media Corp-Liberty Formula One 2.25% 8/15/2027  |  |  |  | 234000 | 27331200 | (966420) |
| Live Nation Entertainment Inc 3.125% 1/15/2029  |  |  |  | 100000 | 15763014 | 216421 |
|  |  |  |  |  | 43094214 | (749999) |
| **Interactive Media & Services - 196.6%**  |  |  |  |  |  |  |
| Snap Inc 0.5% 5/1/2030  |  |  |  | 290000 | 24389000 | 212812 |
| Match Group Financeco 3 Inc 2% 1/15/2030 (1)  |  |  |  | 450000 | 41170000 | 551535 |
|  |  |  |  |  | 65559000 | 764347 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 108653214 | 14348 |
| **Utilities - 45.2%**  |  |  |  |  |  |  |
| **Multi-Utilities - 63.4%**  |  |  |  |  |  |  |
| WEC Energy Group Inc 4.375% 6/1/2029  |  |  |  | 125000 | 15821615 | 246536 |
| **Electric Utilities - 49.3%**  |  |  |  |  |  |  |
| Pinnacle West Capital Corp 4.75% 6/15/2027  |  |  |  | 140000 | 16568222 | 169248 |
| Southern Co/The 3.25% 6/15/2028 (1)  |  |  |  | 161330 | 16597272 | 22492 |
|  |  |  |  |  | 33165494 | 191740 |
| **Gas Utilities - (67.5)%**  |  |  |  |  |  |  |
| UGI Corp 5% 6/1/2028  |  |  |  | 90000 | 12697500 | (262410) |
| TOTAL UTILITIES |  |  |  |  | 61684609 | 175866 |
| **Health Care - (550.9)%**  |  |  |  |  |  |  |
| **Biotechnology - (94.6)%**  |  |  |  |  |  |  |
| Halozyme Therapeutics Inc 1% 8/15/2028  |  |  |  | 60000 | 7644667 | (400217) |
| Mirum Pharmaceuticals Inc 4% 5/1/2029  |  |  |  | 30000 | 9429000 | 32493 |
|  |  |  |  |  | 17073667 | (367724) |
| **Pharmaceuticals - (456.3)%**  |  |  |  |  |  |  |
| Zoetis Inc 0.25% 6/15/2029 (1)  |  |  |  | 400000 | 39576944 | (611033) |
| BofA Finance LLC 0.6% 5/25/2027  |  |  |  | 235000 | 26392850 | (1522330) |
| Ligand Pharmaceuticals Inc 0.75% 10/1/2030 (1)  |  |  |  | 131910 | 17694602 | 359677 |
|  |  |  |  |  | 83664396 | (1773686) |
| TOTAL HEALTH CARE |  |  |  |  | 100738063 | (2141410) |
| **Energy - 199.4%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 199.4%**  |  |  |  |  |  |  |
| Green Plains Inc 2.25% 3/15/2027  |  |  |  | 50000 | 4986875 | 56018 |
| Centrus Energy Corp 0% 8/15/2032 (1)  |  |  |  | 165000 | 19655625 | 719070 |
|  |  |  |  |  | 24642500 | 775088 |
| TOTAL ENERGY |  |  |  |  | 24642500 | 775088 |
| **Consumer Staples - 660.5%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - 714.2%**  |  |  |  |  |  |  |
| Chefs' Warehouse Inc/The 2.375% 12/15/2028  |  |  |  | 110000 | 20338694 | 2776421 |
| **Food Products - (53.7)%**  |  |  |  |  |  |  |
| Freshpet Inc 3% 4/1/2028  |  |  |  | 165000 | 20299950 | (208725) |
| TOTAL CONSUMER STAPLES |  |  |  |  | 40638644 | 2567696 |
| **Real Estate - 313.3%**  |  |  |  |  |  |  |
| **Health Care REITs - 313.3%**  |  |  |  |  |  |  |
| Welltower OP LLC 2.75% 5/15/2028 (1)  |  |  |  | 180000 | 41286250 | 1217985 |
| TOTAL REAL ESTATE |  |  |  |  | 41286250 | 1217985 |
| **Materials - 3330.5%**  |  |  |  |  |  |  |
| **Metals & Mining - 3330.5%**  |  |  |  |  |  |  |
| MP Materials Corp 3% 3/1/2030 (1)  |  |  |  | 490000 | 154815500 | 13912368 |
| Century Aluminum Co 2.75% 5/1/2028  |  |  |  | 37500 | 11932500 | (965528) |
|  |  |  |  |  | 166748000 | 12946840 |
| TOTAL MATERIALS |  |  |  |  | 166748000 | 12946840 |
| **Financials - 437.5%**  |  |  |  |  |  |  |
| **Capital Markets - 355.7%**  |  |  |  |  |  |  |
| Galaxy Digital Holdings LP 3% 12/15/2026 (1)  |  |  |  | 250000 | 28058333 | 924500 |
| Coinbase Global Inc 0.25% 4/1/2030  |  |  |  | 100000 | 9707083 | 21952 |
| Galaxy Digital Holdings LP 2.5% 12/1/2029 (1)  |  |  |  | 37500 | 5409063 | 436431 |
|  |  |  |  |  | 43174479 | 1382883 |
| **Financial Services - 81.8%**  |  |  |  |  |  |  |
| Global Payments Inc 1.5% 3/1/2031  |  |  |  | 330000 | 29700000 | 318021 |
| TOTAL FINANCIALS |  |  |  |  | 72874479 | 1700904 |
| **Industrials - 183.2%**  |  |  |  |  |  |  |
| **Commercial Services & Supplies - 46.9%**  |  |  |  |  |  |  |
| Tetra Tech Inc 2.25% 8/15/2028  |  |  |  | 138000 | 15129630 | 182471 |
| **Construction & Engineering - 327.0%**  |  |  |  |  |  |  |
| Fluor Corp 1.125% 8/15/2029  |  |  |  | 185000 | 24833938 | 1271297 |
| **Ground Transportation - (224.8)%**  |  |  |  |  |  |  |
| Uber Technologies Inc 0.875% 12/1/2028  |  |  |  | 240000 | 29427500 | (925810) |
| Lyft Inc 0.625% 3/1/2029  |  |  |  | 200000 | 20942833 | 52208 |
|  |  |  |  |  | 50370333 | (873602) |
| **Machinery - 34.1%**  |  |  |  |  |  |  |
| JBT Marel Corp 0.25% 5/15/2026  |  |  |  | 241000 | 24079582 | 132650 |
| TOTAL INDUSTRIALS |  |  |  |  | 114413483 | 712816 |
| **Consumer Discretionary - 111.8%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 92.3%**  |  |  |  |  |  |  |
| DraftKings Holdings Inc 0% 3/15/2028  |  |  |  | 217500 | 19846875 | 185245 |
| Marriott Vacations Worldwide Corp 3.25% 12/15/2027  |  |  |  | 125000 | 12259722 | 76302 |
| Cracker Barrel Old Country Store Inc 1.75% 9/15/2030 (1)  |  |  |  | 125000 | 9991701 | 309052 |
| DoorDash Inc 0% 5/15/2030 (1)  |  |  |  | 100000 | 9540000 | (211700) |
|  |  |  |  |  | 51638298 | 358899 |
| **Broadline Retail - 19.5%**  |  |  |  |  |  |  |
| Etsy Inc 0.125% 9/1/2027  |  |  |  | 55000 | 5183750 | 75625 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 56822048 | 434524 |
| **Information Technology - 32182.8%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 4082.6%**  |  |  |  |  |  |  |
| ON Semiconductor Corp 0% 5/1/2027  |  |  |  | 300000 | 57750000 | 14964000 |
| Penguin Solutions Inc 2% 8/15/2030  |  |  |  | 82500 | 10928958 | 906208 |
|  |  |  |  |  | 68678958 | 15870208 |
| **Electronic Equipment, Instruments & Components - (113.2)%**  |  |  |  |  |  |  |
| Itron Inc 0% 3/15/2032 (1)  |  |  |  | 55000 | 5153500 | (440055) |
| **Software - 296.1%**  |  |  |  |  |  |  |
| Box Inc 1.5% 9/15/2029  |  |  |  | 95000 | 8933958 | 10156 |
| CyberArk Software Ltd 0% 6/15/2030 (1)  |  |  |  | 250000 | 27217500 | 1193500 |
| BlackLine Inc 1% 6/1/2029  |  |  |  | 100000 | 9196667 | (52671) |
|  |  |  |  |  | 45348125 | 1150985 |
| **Communications Equipment - 3601.9%**  |  |  |  |  |  |  |
| Lumentum Holdings Inc 1.5% 12/15/2029  |  |  |  | 122920 | 159721838 | 14001510 |
| **Technology Hardware, Storage & Peripherals - 23887.0%**  |  |  |  |  |  |  |
| Seagate HDD Cayman 3.5% 6/1/2028  |  |  |  | 197420 | 160903881 | 36308664 |
| Western Digital Corp 3% 11/15/2028  |  |  |  | 314070 | 361357426 | 56547361 |
|  |  |  |  |  | 522261307 | 92856025 |
| **IT Services - 428.4%**  |  |  |  |  |  |  |
| Okta Inc 0.375% 6/15/2026  |  |  |  | 96500 | 9610596 | (51567) |
| Snowflake Inc 0% 10/1/2029  |  |  |  | 475000 | 55660500 | (1607863) |
| Akamai Technologies Inc 1.125% 2/15/2029  |  |  |  | 610000 | 67885375 | 2944501 |
| Akamai Technologies Inc 0.375% 9/1/2027  |  |  |  | 62500 | 6925781 | 380289 |
|  |  |  |  |  | 140082252 | 1665360 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 941245980 | 125104033 |
| TOTAL UNITED STATES |  |  |  |  | 1729747270 | 143508690 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS** |  |  |  |  | **1729747270** | <br> **143508690** |
| **TOTAL LONG** |  |  |  |  | **1729747270** | **143508690** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(36573.6)%  |  |  |  |  |  |  |
| **Communication Services - (7.5)%**  |  |  |  |  |  |  |
| **Entertainment - 104.7%**  |  |  |  |  |  |  |
| Live Nation Entertainment Inc (2)  |  |  |  | (211800) | (33451692) | (449016) |
| Liberty Media Corp-Liberty Formula One Class C (2)  |  |  |  | (189359) | (16275406) | 855903 |
|  |  |  |  |  | (49727098) | 406887 |
| **Interactive Media & Services - (112.2)%**  |  |  |  |  |  |  |
| Match Group Inc  |  |  |  | (145300) | (5437126) | (421370) |
| Snap Inc Class A (2)  |  |  |  | (497300) | (3018611) | (14919) |
|  |  |  |  |  | (8455737) | (436289) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (58182835) | (29402) |
| **Utilities - (61.1)%**  |  |  |  |  |  |  |
| **Multi-Utilities - (73.4)%**  |  |  |  |  |  |  |
| WEC Energy Group Inc  |  |  |  | (92400) | (10897656) | (285516) |
| **Electric Utilities - (59.2)%**  |  |  |  |  |  |  |
| Pinnacle West Capital Corp  |  |  |  | (104800) | (10869856) | (96416) |
| Southern Co/The  |  |  |  | (65000) | (6285500) | (133900) |
|  |  |  |  |  | (17155356) | (230316) |
| **Gas Utilities - 71.5%**  |  |  |  |  |  |  |
| UGI Corp  |  |  |  | (275000) | (9924750) | 277750 |
| TOTAL UTILITIES |  |  |  |  | (37977762) | (238082) |
| **Health Care - 548.5%**  |  |  |  |  |  |  |
| **Biotechnology - 74.7%**  |  |  |  |  |  |  |
| Mirum Pharmaceuticals Inc (2)  |  |  |  | (87000) | (8465970) | (73734) |
| Halozyme Therapeutics Inc (2)  |  |  |  | (83000) | (5283780) | 364370 |
|  |  |  |  |  | (13749750) | 290636 |
| **Pharmaceuticals - 473.8%**  |  |  |  |  |  |  |
| Merck & Co Inc  |  |  |  | (153400) | (16748212) | 1337648 |
| Zoetis Inc Class A  |  |  |  | (121500) | (13968855) | 703485 |
| Ligand Pharmaceuticals Inc (2)  |  |  |  | (56300) | (12918035) | (199521) |
|  |  |  |  |  | (43635102) | 1841612 |
| TOTAL HEALTH CARE |  |  |  |  | (57384852) | 2132248 |
| **Consumer Staples - (666.3)%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - (706.9)%**  |  |  |  |  |  |  |
| Chefs' Warehouse Inc/The (2)  |  |  |  | (225000) | (17460000) | (2748037) |
| **Food Products - 40.6%**  |  |  |  |  |  |  |
| Freshpet Inc (2)  |  |  |  | (112000) | (7546560) | 157920 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (25006560) | (2590117) |
| **Energy - (248.1)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (248.1)%**  |  |  |  |  |  |  |
| Green Plains Inc (2)  |  |  |  | (55000) | (955900) | (108350) |
| Centrus Energy Corp Class A (2)  |  |  |  | (65000) | (13712400) | (856050) |
|  |  |  |  |  | (14668300) | (964400) |
| TOTAL ENERGY |  |  |  |  | (14668300) | (964400) |
| **Real Estate - (285.1)%**  |  |  |  |  |  |  |
| **Health Care REITs - (285.1)%**  |  |  |  |  |  |  |
|  |  |  |  | (184400) | (40077496) | (1108244) |
| TOTAL REAL ESTATE |  |  |  |  | (40077496) | (1108244) |
| **Financials - (230.9)%**  |  |  |  |  |  |  |
| **Capital Markets - (194.9)%**  |  |  |  |  |  |  |
| Galaxy Digital Inc Class A  |  |  |  | (264500) | (7257880) | (899300) |
| Coinbase Global Inc Class A (2)  |  |  |  | (17400) | (3267198) | 141462 |
|  |  |  |  |  | (10525078) | (757838) |
| **Financial Services - (36.0)%**  |  |  |  |  |  |  |
| Global Payments Inc  |  |  |  | (78200) | (5627272) | (139978) |
| TOTAL FINANCIALS |  |  |  |  | (16152350) | (897816) |
| **Materials - (3323.8)%**  |  |  |  |  |  |  |
| **Metals & Mining - (3323.8)%**  |  |  |  |  |  |  |
| Century Aluminum Co (2)  |  |  |  | (197000) | (11709680) | 916050 |
| MP Materials Corp (2)  |  |  |  | (2122200) | (140150088) | (13836744) |
|  |  |  |  |  | (151859768) | (12920694) |
| TOTAL MATERIALS |  |  |  |  | (151859768) | (12920694) |
| **Industrials - (1341.4)%**  |  |  |  |  |  |  |
| **Commercial Services & Supplies - (1216.3)%**  |  |  |  |  |  |  |
| Pitney Bowes Inc  |  |  |  | (1350500) | (20878730) | (4572566) |
| Tetra Tech Inc  |  |  |  | (235400) | (7608128) | (155364) |
|  |  |  |  |  | (28486858) | (4727930) |
| **Ground Transportation - 221.9%**  |  |  |  |  |  |  |
| Uber Technologies Inc (2)  |  |  |  | (214200) | (15981462) | 571914 |
| Lyft Inc Class A (2)  |  |  |  | (570000) | (8065500) | 290700 |
|  |  |  |  |  | (24046962) | 862614 |
| **Construction & Engineering - (347.0)%**  |  |  |  |  |  |  |
| Fluor Corp (2)  |  |  |  | (281571) | (15021813) | (1348725) |
| TOTAL INDUSTRIALS |  |  |  |  | (67555633) | (5214041) |
| **Consumer Discretionary - (27.7)%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - (22.7)%**  |  |  |  |  |  |  |
| Cheesecake Factory Inc/The  |  |  |  | (50700) | (3187509) | (70980) |
| Cracker Barrel Old Country Store Inc  |  |  |  | (146600) | (4591512) | (291734) |
| DoorDash Inc Class A (2)  |  |  |  | (24000) | (4047600) | 270840 |
| DraftKings Inc Class A (2)  |  |  |  | (11500) | (268180) | 3680 |
|  |  |  |  |  | (12094801) | (88194) |
| **Broadline Retail - (5.0)%**  |  |  |  |  |  |  |
| Etsy Inc (2)  |  |  |  | (3000) | (193020) | (19260) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (12287821) | (107454) |
| **Information Technology - (30930.2)%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - (3261.3)%**  |  |  |  |  |  |  |
| Penguin Solutions Inc (2)  |  |  |  | (212100) | (6449961) | (829311) |
| ON Semiconductor Corp (2)  |  |  |  | (521100) | (52532091) | (11848488) |
|  |  |  |  |  | (58982052) | (12677799) |
| **Electronic Equipment, Instruments & Components - 118.5%**  |  |  |  |  |  |  |
| Itron Inc (2)  |  |  |  | (33500) | (2807300) | 460625 |
| **Software - (195.0)%**  |  |  |  |  |  |  |
| Box Inc Class A (2)  |  |  |  | (124600) | (3015320) | (48594) |
| BlackLine Inc (2)  |  |  |  | (84700) | (2646875) | 111804 |
| Palo Alto Networks Inc (2)  |  |  |  | (54000) | (9683280) | (821340) |
|  |  |  |  |  | (15345475) | (758130) |
| **Communications Equipment - (3525.4)%**  |  |  |  |  |  |  |
| Lumentum Holdings Inc (2)  |  |  |  | (175000) | (157906000) | (13704250) |
| **Technology Hardware, Storage & Peripherals - (23542.9)%**  |  |  |  |  |  |  |
| Western Digital Corp  |  |  |  | (805800) | (350136216) | (56019216) |
| Seagate Technology Holdings PLC  |  |  |  | (230452) | (155241685) | (35498826) |
|  |  |  |  |  | (505377901) | (91518042) |
| **IT Services - (524.1)%**  |  |  |  |  |  |  |
| Snowflake Inc (2)  |  |  |  | (217100) | (29627637) | 1738971 |
| Akamai Technologies Inc (2)  |  |  |  | (335700) | (34570386) | (3757084) |
| Okta Inc Class A (2)  |  |  |  | (3000) | (220950) | (18900) |
|  |  |  |  |  | (64418973) | (2037013) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (804837701) | (120234609) |
| TOTAL UNITED STATES |  |  |  |  | (1285991078) | (142172611) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1285991078)** | <br> **(142172611)** |
| **TOTAL SHORT** |  |  |  |  | **(1285991078)** | **(142172611)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **443756192** | **1336079** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.64% plus or minus a specified spread ranging from (0.45)% to 0.75% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | BNP Paribas SA | 6/2026 - 10/2026 | 2056797686 | (5059369) | (316629) | (5376128) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Convertible Corporate Bonds** |  |  |  |  |  |  |
| CANADA -29.5%  |  |  |  |  |  |  |
| **Materials - 29.5%**  |  |  |  |  |  |  |
| **Metals & Mining - 29.5%**  |  |  |  |  |  |  |
| B2Gold Corp 2.75% 2/1/2030 (1)  |  |  |  | 27500000 | 44312813 | (1586723) |
| TOTAL MATERIALS |  |  |  |  | 44312813 | (1586723) |
| TOTAL CANADA |  |  |  |  | 44312813 | (1586723) |
| UNITED STATES -(410.9)%  |  |  |  |  |  |  |
| **Communication Services - (35.9)%**  |  |  |  |  |  |  |
| **Entertainment - (35.9)%**  |  |  |  |  |  |  |
| Sphere Entertainment Co 3.5% 12/1/2028  |  |  |  | 8000000 | 32528667 | 1930981 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 32528667 | 1930981 |
| **Utilities - (16.5)%**  |  |  |  |  |  |  |
| **Electric Utilities - (16.5)%**  |  |  |  |  |  |  |
| NextEra Energy Capital Holdings Inc 3% 3/1/2027  |  |  |  | 10000000 | 14585000 | 886714 |
| TOTAL UTILITIES |  |  |  |  | 14585000 | 886714 |
| **Health Care - 54.2%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 20.1%**  |  |  |  |  |  |  |
| TransMedics Group Inc 1.5% 6/1/2028  |  |  |  | 7500000 | 9907875 | (812055) |
| Merit Medical Systems Inc 3% 2/1/2029  |  |  |  | 12732000 | 13655957 | (269271) |
|  |  |  |  |  | 23563832 | (1081326) |
| **Biotechnology - 31.2%**  |  |  |  |  |  |  |
| Alnylam Pharmaceuticals Inc 1% 9/15/2027  |  |  |  | 29818000 | 36866313 | (1773290) |
| Mirum Pharmaceuticals Inc 4% 5/1/2029  |  |  |  | 9800000 | 30801400 | 94652 |
|  |  |  |  |  | 67667713 | (1678638) |
| **Life Sciences Tools & Services - 5.4%**  |  |  |  |  |  |  |
| Repligen Corp 1% 12/15/2028  |  |  |  | 11500000 | 11370944 | (291425) |
| **Pharmaceuticals - (2.5)%**  |  |  |  |  |  |  |
| Ligand Pharmaceuticals Inc 0.75% 10/1/2030 (1)  |  |  |  | 11140000 | 14943475 | 135890 |
| TOTAL HEALTH CARE |  |  |  |  | 117545964 | (2915499) |
| **Energy - (39.9)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (39.9)%**  |  |  |  |  |  |  |
| World Kinect Corp 3.25% 7/1/2028  |  |  |  | 25000000 | 28870833 | 1917310 |
| Northern Oil & Gas Inc 3.625% 4/15/2029 (1)  |  |  |  | 15000000 | 15924167 | 227080 |
|  |  |  |  |  | 44795000 | 2144390 |
| TOTAL ENERGY |  |  |  |  | 44795000 | 2144390 |
| **Consumer Staples - 0.9%**  |  |  |  |  |  |  |
| **Food Products - 0.9%**  |  |  |  |  |  |  |
| Freshpet Inc 3% 4/1/2028  |  |  |  | 6000000 | 7381800 | (49498) |
| TOTAL CONSUMER STAPLES |  |  |  |  | 7381800 | (49498) |
| **Real Estate - (7.1)%**  |  |  |  |  |  |  |
| **Real Estate Management & Development - (7.1)%**  |  |  |  |  |  |  |
| Compass Inc 0.25% 4/15/2031 (1)  |  |  |  | 23832000 | 20943032 | 379363 |
| TOTAL REAL ESTATE |  |  |  |  | 20943032 | 379363 |
| **Financials - (176.3)%**  |  |  |  |  |  |  |
| **Capital Markets - (34.1)%**  |  |  |  |  |  |  |
| Galaxy Digital Holdings LP 3% 12/15/2026 (1)  |  |  |  | 20000000 | 22446667 | 685100 |
| Galaxy Digital Holdings LP 2.5% 12/1/2029 (1)  |  |  |  | 10250000 | 14784771 | 1149307 |
|  |  |  |  |  | 37231438 | 1834407 |
| **Consumer Finance - (142.2)%**  |  |  |  |  |  |  |
| EZCORP Inc 3.75% 12/15/2029 (1)  |  |  |  | 26994000 | 81053984 | 7644773 |
| TOTAL FINANCIALS |  |  |  |  | 118285422 | 9479180 |
| **Industrials - (223.5)%**  |  |  |  |  |  |  |
| **Ground Transportation - 1.2%**  |  |  |  |  |  |  |
| Uber Technologies Inc 0.875% 12/1/2028  |  |  |  | 2500000 | 3065365 | (62868) |
| **Construction & Engineering - (232.8)%**  |  |  |  |  |  |  |
| Granite Construction Inc 3.25% 6/15/2030  |  |  |  | 44930000 | 83222841 | 5591702 |
| Granite Construction Inc 3.75% 5/15/2028  |  |  |  | 29140000 | 87603339 | 6925479 |
|  |  |  |  |  | 170826180 | 12517181 |
| **Machinery - 8.1%**  |  |  |  |  |  |  |
| Greenbrier Cos Inc/The 2.875% 4/15/2028  |  |  |  | 23250000 | 26218508 | (435375) |
| TOTAL INDUSTRIALS |  |  |  |  | 200110053 | 12018938 |
| **Consumer Discretionary - (5.1)%**  |  |  |  |  |  |  |
| **Diversified Consumer Services - (5.1)%**  |  |  |  |  |  |  |
| Stride Inc 1.125% 9/1/2027  |  |  |  | 5000000 | 9436875 | 276534 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 9436875 | 276534 |
| **Information Technology - 38.3%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - (51.9)%**  |  |  |  |  |  |  |
| MKS Inc 1.25% 6/1/2030  |  |  |  | 29000000 | 57194042 | 2790787 |
| **Electronic Equipment, Instruments & Components - (17.9)%**  |  |  |  |  |  |  |
| Advanced Energy Industries Inc 2.5% 9/15/2028  |  |  |  | 30844000 | 87923735 | 2091338 |
| OSI Systems Inc 2.25% 8/1/2029  |  |  |  | 13400000 | 21930775 | (1126867) |
|  |  |  |  |  | 109854510 | 964471 |
| **Software - 219.9%**  |  |  |  |  |  |  |
| Box Inc 1.5% 9/15/2029  |  |  |  | 4500000 | 4231875 | 36656 |
| InterDigital Inc 3.5% 6/1/2027  |  |  |  | 13472000 | 51875059 | (12102418) |
| Nutanix Inc 0.25% 10/1/2027  |  |  |  | 13250000 | 13903866 | 246162 |
| BlackLine Inc 1% 6/1/2029  |  |  |  | 3750000 | 3448750 | (4349) |
|  |  |  |  |  | 73459550 | (11823949) |
| **Technology Hardware, Storage & Peripherals - (98.3)%**  |  |  |  |  |  |  |
| Western Digital Corp 3% 11/15/2028  |  |  |  | 2900000 | 33366337 | 5285965 |
| **IT Services - (13.5)%**  |  |  |  |  |  |  |
| Akamai Technologies Inc 0.375% 9/1/2027  |  |  |  | 12500000 | 13851563 | 723367 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 287726002 | (2059359) |
| TOTAL UNITED STATES |  |  |  |  | 853337815 | 22091744 |
| ISRAEL -12.0%  |  |  |  |  |  |  |
| **Information Technology - 12.0%**  |  |  |  |  |  |  |
| **Software - 12.0%**  |  |  |  |  |  |  |
| Check Point Software Technologies Ltd 0% 12/15/2030 (1)  |  |  |  | 34000000 | 30753000 | (647668) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 30753000 | (647668) |
| TOTAL ISRAEL |  |  |  |  | 30753000 | (647668) |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS** |  |  |  |  | **928403628** | <br> **19857353** |
| **TOTAL LONG** |  |  |  |  | **928403628** | **19857353** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
| **Domestic Equity Funds** |  |  |  |  |  |  |
| Financial Select Sector SPDR ETF  |  |  |  | (438300) | (22848579) | 17532 |
|  **Common Stocks** |  |  |  |  |  |  |
| CANADA -(28.5)%  |  |  |  |  |  |  |
| **Energy - (2.2)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (2.2)%**  |  |  |  |  |  |  |
| Denison Mines Corp (2)  |  |  |  | (2314800) | (8865684) | 115740 |
| TOTAL ENERGY |  |  |  |  | (8865684) | 115740 |
| **Materials - (26.3)%**  |  |  |  |  |  |  |
| **Metals & Mining - (26.3)%**  |  |  |  |  |  |  |
| B2Gold Corp  |  |  |  | (7396400) | (33283800) | 1411828 |
| TOTAL MATERIALS |  |  |  |  | (33283800) | 1411828 |
| TOTAL CANADA |  |  |  |  | (42149484) | 1527568 |
| MONACO -8.2%  |  |  |  |  |  |  |
| **Energy - 8.2%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 8.2%**  |  |  |  |  |  |  |
| Scorpio Tankers Inc  |  |  |  | (59800) | (4863534) | (440726) |
| TOTAL ENERGY |  |  |  |  | (4863534) | (440726) |
| TOTAL MONACO |  |  |  |  | (4863534) | (440726) |
| UNITED STATES -496.5%  |  |  |  |  |  |  |
| **Communication Services - 41.0%**  |  |  |  |  |  |  |
| **Entertainment - 41.0%**  |  |  |  |  |  |  |
| Sphere Entertainment Co Class A (2)  |  |  |  | (223000) | (31766350) | (2205161) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (31766350) | (2205161) |
| **Utilities - 16.7%**  |  |  |  |  |  |  |
| **Independent Power and Renewable Electricity Producers - 0.0%**  |  |  |  |  |  |  |
| Ormat Technologies Inc  |  |  |  | (2300) | (264270) | (2507) |
| **Electric Utilities - 16.7%**  |  |  |  |  |  |  |
| NextEra Energy Inc  |  |  |  | (135000) | (13213800) | (896400) |
| TOTAL UTILITIES |  |  |  |  | (13478070) | (898907) |
| **Health Care - (58.5)%**  |  |  |  |  |  |  |
| **Biotechnology - (35.6)%**  |  |  |  |  |  |  |
| AbbVie Inc  |  |  |  | (32000) | (6762240) | (92800) |
| Mirum Pharmaceuticals Inc (2)  |  |  |  | (303200) | (29504392) | (275912) |
| (2)  |  |  |  | (43000) | (2750710) | 60200 |
| Alnylam Pharmaceuticals Inc (2)  |  |  |  | (93000) | (28782570) | 2222700 |
|  |  |  |  |  | (67799912) | 1914188 |
| **Health Care Equipment & Supplies - (19.4)%**  |  |  |  |  |  |  |
| Merit Medical Systems Inc (2)  |  |  |  | (73300) | (4997594) | 186915 |
| TransMedics Group Inc (2)  |  |  |  | (55900) | (5634161) | 856388 |
|  |  |  |  |  | (10631755) | 1043303 |
| **Life Sciences Tools & Services - (7.1)%**  |  |  |  |  |  |  |
| Repligen Corp (2)  |  |  |  | (28000) | (3312680) | 381360 |
| **Pharmaceuticals - 3.6%**  |  |  |  |  |  |  |
| Ligand Pharmaceuticals Inc (2)  |  |  |  | (44700) | (10256415) | (194892) |
| TOTAL HEALTH CARE |  |  |  |  | (92000762) | 3143959 |
| **Consumer Staples - 67.0%**  |  |  |  |  |  |  |
| **Tobacco - 65.2%**  |  |  |  |  |  |  |
| Philip Morris International Inc Class A  |  |  |  | (445000) | (73456150) | (3506600) |
| **Consumer Staples Distribution & Retail - 3.3%**  |  |  |  |  |  |  |
| Costco Wholesale Corp  |  |  |  | (6000) | (6087180) | (178680) |
| **Food Products - (1.5)%**  |  |  |  |  |  |  |
| Freshpet Inc (2)  |  |  |  | (58000) | (3908040) | 81780 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (83451370) | (3603500) |
| **Energy - 35.6%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 35.6%**  |  |  |  |  |  |  |
| Northern Oil & Gas Inc  |  |  |  | (253900) | (6895924) | (327531) |
| World Kinect Corp  |  |  |  | (510000) | (13754700) | (1586100) |
|  |  |  |  |  | (20650624) | (1913631) |
| TOTAL ENERGY |  |  |  |  | (20650624) | (1913631) |
| **Real Estate - 8.7%**  |  |  |  |  |  |  |
| **Real Estate Management & Development - 8.7%**  |  |  |  |  |  |  |
| Compass Inc Class A (2)  |  |  |  | (1608400) | (12175588) | (466436) |
| TOTAL REAL ESTATE |  |  |  |  | (12175588) | (466436) |
| **Financials - 113.1%**  |  |  |  |  |  |  |
| **Capital Markets - 40.0%**  |  |  |  |  |  |  |
| Morgan Stanley  |  |  |  | (41700) | (7947603) | 42951 |
| Galaxy Digital Inc Class A  |  |  |  | (687300) | (18859512) | (2336820) |
| Coinbase Global Inc Class A (2)  |  |  |  | (18100) | (3398637) | 147153 |
|  |  |  |  |  | (30205752) | (2146716) |
| **Financial Services - (51.4)%**  |  |  |  |  |  |  |
| Mastercard Inc Class A  |  |  |  | (157600) | (79260192) | 2685504 |
| Euronet Worldwide Inc (2)  |  |  |  | (60000) | (4342800) | 78600 |
|  |  |  |  |  | (83602992) | 2764104 |
| **Banks - (22.4)%**  |  |  |  |  |  |  |
| Citigroup Inc  |  |  |  | (325000) | (41593500) | 1205750 |
| **Consumer Finance - 146.9%**  |  |  |  |  |  |  |
| EZCORP Inc Class A (2)  |  |  |  | (2283100) | (74840018) | (7899526) |
| TOTAL FINANCIALS |  |  |  |  | (230242262) | (6076388) |
| **Industrials - 231.3%**  |  |  |  |  |  |  |
| **Electrical Equipment - 8.5%**  |  |  |  |  |  |  |
| Enovix Corp Class B (2)  |  |  |  | (1274300) | (8499581) | (458748) |
| **Construction & Engineering - 234.6%**  |  |  |  |  |  |  |
| Granite Construction Inc  |  |  |  | (1146400) | (157137048) | (12610287) |
| **Ground Transportation - (2.0)%**  |  |  |  |  |  |  |
| Uber Technologies Inc (2)  |  |  |  | (40800) | (3044088) | 108936 |
| **Machinery - (9.8)%**  |  |  |  |  |  |  |
| Greenbrier Cos Inc/The  |  |  |  | (230000) | (11297600) | 526700 |
| TOTAL INDUSTRIALS |  |  |  |  | (179978317) | (12433399) |
| **Consumer Discretionary - 2.4%**  |  |  |  |  |  |  |
| **Automobile Components - (4.1)%**  |  |  |  |  |  |  |
| LCI Industries  |  |  |  | (153800) | (18336036) | 218396 |
| **Hotels, Restaurants & Leisure - 1.6%**  |  |  |  |  |  |  |
| Cheesecake Factory Inc/The  |  |  |  | (62900) | (3954523) | (88060) |
| **Diversified Consumer Services - 4.9%**  |  |  |  |  |  |  |
| Stride Inc (2)  |  |  |  | (88000) | (8550080) | (260858) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (30840639) | (130522) |
| **Information Technology - 39.2%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 76.7%**  |  |  |  |  |  |  |
| MKS Inc  |  |  |  | (166900) | (47357875) | (2461775) |
| NVIDIA Corp  |  |  |  | (157000) | (31332490) | (109900) |
| Broadcom Inc  |  |  |  | (75000) | (31307250) | (1553250) |
|  |  |  |  |  | (109997615) | (4124925) |
| **Electronic Equipment, Instruments & Components - 22.9%**  |  |  |  |  |  |  |
| Advanced Energy Industries Inc  |  |  |  | (242700) | (93174957) | (2327493) |
| OSI Systems Inc (2)  |  |  |  | (57800) | (16583976) | 1097044 |
|  |  |  |  |  | (109758933) | (1230449) |
| **Software - (218.3)%**  |  |  |  |  |  |  |
| InterDigital Inc  |  |  |  | (174300) | (51690408) | 12016242 |
| Microsoft Corp  |  |  |  | (24000) | (9786720) | 82560 |
| Oracle Corp  |  |  |  | (25900) | (4180001) | 218078 |
| A10 Networks Inc  |  |  |  | (310000) | (8270800) | (348566) |
| Box Inc Class A (2)  |  |  |  | (51100) | (1236620) | (19929) |
| Life360 Inc (2)  |  |  |  | (142500) | (6140325) | (71250) |
| BlackLine Inc (2)  |  |  |  | (66000) | (2062500) | 87120 |
| Nutanix Inc Class A (2)  |  |  |  | (84900) | (3471561) | (223287) |
|  |  |  |  |  | (86838935) | 11740968 |
| **Technology Hardware, Storage & Peripherals - 141.5%**  |  |  |  |  |  |  |
| Western Digital Corp  |  |  |  | (93900) | (40801428) | (6527928) |
| Seagate Technology Holdings PLC  |  |  |  | (7000) | (4715480) | (1078280) |
|  |  |  |  |  | (45516908) | (7606208) |
| **IT Services - 16.4%**  |  |  |  |  |  |  |
| Akamai Technologies Inc (2)  |  |  |  | (55500) | (5715390) | (699300) |
| Cloudflare Inc Class A (2)  |  |  |  | (13400) | (2746598) | (183797) |
|  |  |  |  |  | (8461988) | (883097) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (360574379) | (2103711) |
| TOTAL UNITED STATES |  |  |  |  | (1055158361) | (26687696) |
| ISRAEL -(12.4)%  |  |  |  |  |  |  |
| **Information Technology - (12.4)%**  |  |  |  |  |  |  |
| **Software - (12.4)%**  |  |  |  |  |  |  |
| Check Point Software Technologies Ltd (2)  |  |  |  | (30000) | (3374100) | 666600 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (3374100) | 666600 |
| TOTAL ISRAEL |  |  |  |  | (3374100) | 666600 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1105545479)** | <br> **(24934254)** |
| **TOTAL SHORT** |  |  |  |  | **(1128394058)** | **(24916722)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(199990430)** | **(5059369)** |

---

(1) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $181,762,812 or 15.6% of net assets.

(2) Non-income producing.

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $181,762,812 or 15.6% of net assets.

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

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

(e) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $280,844,020.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,398,274.

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 54311952 | 387012350 | 262286217 | 1171479 | - | - | 179038085 | 179002285 | 0.3% |
| Total | 54311952 | 387012350 | 262286217 | 1171479 | - | - | 179038085 |  |  |

---

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

**Investment Valuation**

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

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

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

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

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

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

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations and Convertible Corporate Bonds are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

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

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

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

**Derivative Instruments**

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

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

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

Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

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

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

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

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

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

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

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

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

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

Total Return Swaps: Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, the Fund will receive a payment from or make a payment to the counterparty. The Fund entered into total return swaps to manage its market exposure.

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

- **b. Investment Company Act file number:** 811-23762

- **c. CIK number of Registrant:** 0001898391

- **d. LEI of Registrant:** 549300467DYGTZIRI308

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity SAI Convertible Arbitrage Fund

- **b. EDGAR series identifier (if any):** S000081303

- **c. LEI of Series:** 5493000KTCP1YAGWOK37

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

- **a. Date of fiscal year-end:** 2027-01-31

- **b. Date as of which information is reported:** 2026-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1175109931.61

**Total Liabilities:** $7169246.59

**Net Assets:** $1167940685.02

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3649.24853220 | **1-Year:** 1705.75327710 | **5-Year:** 7950.20415090 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

- **3-Month:** 2150.28724250 | **1-Year:** 23453.09656290 | **5-Year:** 60712.87771040 | **10-Year:** 620.67363800 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000243999 | 0.91%                | -0.11%               | 2.02%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2061356.69              | $-6585227.74                               |
| Month 2  | $9003133.36              | $-29319668.38                              |
| Month 3  | $9993123.27              | $31963315.61                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| COSTCO WHOLESALE CORP                | COSTCO WHOLESALE CORP                                     | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |      6000 | NS      | $6087180.00   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITY SOFTWARE INC                   | UNITY SOFTWARE INC CONV 0% 11/15/2026                     | CUSIP: 91332UAB7<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |   5172000 | PA      | $5040114.00   | 0.43%             | 2026-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| A10 NETWORKS INC                     | A10 NETWORKS INC CONV 2.75% 04/01/2030                    | CUSIP: 002121AB7<br>LEI: 549300UQD4IWUML81Q35 | Long             | DBT              | CORP              | US        |  10000000 | PA      | $13195286.20  | 1.13%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SECTOR SPDR TR                       | State StreetFinSelSectSPDRETF                             | CUSIP: 81369Y605<br>LEI: 549300N81BAQ1XPGBT65 | Long             | EC               | RF                | US        |    438300 | NS      | $22848579.00  | 1.96%             |  |  |  | No            |                  1 | On Loan: No      |
| ABBVIE INC                           | ABBVIE INC                                                | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     32000 | NS      | $6762240.00   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| GALAXY DIGITAL HOLDINGS LP           | GALAXY DIGITAL HOLDINGS LP CONV 3% 12/15/2026 144A        | CUSIP: 36317GAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    500000 | PA      | $555500.00    | 0.05%             | 2026-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| XPLR Infrastructure LP               | XPLR Infrastructure LP CONV 2.5% 06/15/2026 144A          | CUSIP: 65341BAG1<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | DBT              | CORP              | US        |   8750000 | PA      | $8706250.00   | 0.75%             | 2026-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY   | VOYG 5/07/2026 JPM 0bps + OBFR ETRS                       | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |     28700 | NC      | $27034.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                       | MICROSOFT CORP                                            | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |     24000 | NS      | $9786720.00   | 0.84%             |  |  |  | No            |                  1 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC              | AKAMAI TECHNOLOGIES INC CONV 1.125% 02/15/2029            | CUSIP: 00971TAN1<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3331500.00   | 0.29%             | 2029-02-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ENOVIX CORP                          | ENOVIX CORP CONV 4.75% 09/15/2030 144A                    | CUSIP: 293594AF4<br>LEI: 549300EC7NZGWORHYJ53 | Long             | DBT              | CORP              | US        |  19000000 | PA      | $17230625.00  | 1.48%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LIBERTY LIVE HOLDINGS INC            | LIBERTY LIVE HOLDINGS INC CONV 2.375% 09/30/2053 144A     | CUSIP: 530909AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |  15250000 | PA      | $24918500.00  | 2.13%             | 2053-09-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                | UBER TECHNOLOGIES INC CONV 0% 05/15/2028 144A             | CUSIP: 90353TAR1<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   6500000 | PA      | $7093450.00   | 0.61%             | 2028-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DIGITALOCEAN HOLDINGS INC            | DIGITALOCEAN HOLDINGS INC CONV 0% 12/01/2026              | CUSIP: 25402DAB8<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |  15000000 | PA      | $14827500.00  | 1.27%             | 2026-12-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                     | SOUTHERN COMPANY CONV 3.25% 06/15/2028 144A               | CUSIP: 842587EC7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   3267000 | PA      | $3320905.50   | 0.28%             | 2028-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL QUE                 | Total Return Basket Swap BMO                              | CUSIP: N/A<br>LEI: NQQ6HPCNCCU6TUTQYE16       | N/A              | DO               | CORP              | CA        |         1 | NC      | $422207.86    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BOX INC                              | BOX INC CONV 1.5% 09/15/2029                              | CUSIP: 10316TAD6<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2815500.00   | 0.24%             | 2029-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CYTOKINETICS INC                     | CYTOKINETICS INC CONV 1.75% 10/01/2031 144A               | CUSIP: 23282WAD2<br>LEI: 549300BE5DY1HW7IHA64 | Long             | DBT              | CORP              | US        |   3920000 | PA      | $5002900.00   | 0.43%             | 2031-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOYAGER TECHNOLOGIES INC             | VOYAGER TECHNOLOGIES INC                                  | CUSIP: 92892B103<br>LEI: 254900DDCLSP240FE187 | Long             | EC               | CORP              | US        |     28700 | NS      | $757967.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ORACLE CORP                          | ORACLE CORP                                               | CUSIP: 68389X105<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | EC               | CORP              | US        |     25900 | NS      | $4180001.00   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE               | US 5YR NOTE (CBT) FUT JUN26 FVM6                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -572 | NC      | $973202.23    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TETRA TECH INC NEW                   | TETRA TECH INC NEW CONV 2.25% 08/15/2028                  | CUSIP: 88162GAB9<br>LEI: 549300UJ1LP7JGJC5P32 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $3274800.00   | 0.28%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE               | US 2YR NOTE (CBT) FUT JUN26 TUM6                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -538 | NC      | $974199.64    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| ORMAT TECHNOLOGIES INC               | ORMAT TECHNOLOGIES INC CONV 0% 03/15/2031 144A            | CUSIP: 686688AF9<br>LEI: 5493000TSHHWY24VHM09 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1957890.00   | 0.17%             | 2031-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DENISON MINES CORP                   | DENISON MINES CORP CONV 4.25% 09/15/2031 144A             | CUSIP: 248356AA5<br>LEI: 529900JWGSW17LJK6586 | Long             | DBT              | CORP              | CA        |   7500000 | PA      | $12318750.00  | 1.05%             | 2031-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                         | BROADCOM INC                                              | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     75000 | NS      | $31307250.00  | 2.68%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                            | UST BILLS 0% 06/04/2026                                   | CUSIP: 912797SX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 125000000 | PA      | $124575442.50 | 10.67%            | 2026-06-04      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                        | CITIGROUP INC                                             | CUSIP: 172967424<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | EC               | CORP              | US        |    325000 | NS      | $41593500.00  | 3.56%             |  |  |  | No            |                  1 | On Loan: No      |
| ETSY INC                             | ETSY INC CONV 0.25% 06/15/2028                            | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8131500.00   | 0.70%             | 2028-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COMPASS INC                          | COMPASS INC CONV 0.25% 04/15/2031 144A                    | CUSIP: 20464UAA8<br>LEI: 254900DMGQSTC3I2IM78 | Long             | DBT              | CORP              | US        |  11998000 | PA      | $10534244.00  | 0.90%             | 2031-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC      | PHILIP MORRIS INTL INC                                    | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |    445000 | NS      | $73456150.00  | 6.29%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONET WORLDWIDE INC                | EURONET WORLDWIDE INC CONV 0.625% 10/01/2030 144A         | CUSIP: 298736AM1<br>LEI: YG3575C4DSHJPA5KET68 | Long             | DBT              | CORP              | US        |  20520000 | PA      | $18468000.00  | 1.58%             | 2030-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust         | Fidelity Cash Central Fund                                | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        | 179002285 | NS      | $179038085.14 | 15.33%            |  |  |  | No            |                  1 | On Loan: No      |
| BLACKLINE INC                        | BLACKLINE INC CONV 1% 06/01/2029                          | CUSIP: 09239BAF6<br>LEI: 529900P9N7PK9LV5EK56 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4577500.00   | 0.39%             | 2029-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CLOUDFLARE INC                       | CLOUDFLARE INC CONV 0% 08/15/2026                         | CUSIP: 18915MAC1<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |   4500000 | PA      | $5228029.04   | 0.45%             | 2026-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST BILLS                            | UST BILLS 0% 07/09/2026                                   | CUSIP: 912797RF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 125000000 | PA      | $124136541.25 | 10.63%            | 2026-07-09      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LIFE360 INC                          | LIFE360 INC CONV 0% 06/01/2030 144A                       | CUSIP: 532206AB5<br>LEI: 254900VO9VDOQBQAHF07 | Long             | DBT              | CORP              | US        |  21000000 | PA      | $19803000.00  | 1.70%             | 2030-06-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LCI INDUSTRIES                       | LCI INDUSTRIES CONV 3% 03/01/2030                         | CUSIP: 501812AD3<br>LEI: 549300E1B98YNJ1WIQ04 | Long             | DBT              | CORP              | US        |  25792000 | PA      | $30563520.00  | 2.62%             | 2030-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC             | NORTHERN OIL AND GAS INC CONV 3.625% 04/15/2029 144A      | CUSIP: 665531AK5<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2650000.00   | 0.23%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALNYLAM PHARMACEUTICALS INC          | ALNYLAM PHARMACEUTICALS INC CONV 1% 09/15/2027            | CUSIP: 02043QAB3<br>LEI: 529900S3ZI14OWRJII50 | Long             | DBT              | CORP              | US        |   8500000 | PA      | $10498350.00  | 0.90%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                       | MORGAN STANLEY                                            | CUSIP: 617446448<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | EC               | CORP              | US        |     41700 | NS      | $7947603.00   | 0.68%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                            | UST BILLS 0% 05/07/2026                                   | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  85000000 | PA      | $84949033.15  | 7.27%             | 2026-05-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHEESECAKE FACTORY (THE)             | CHEESECAKE FACTORY INC CONV 2% 03/15/2030                 | CUSIP: 163072AC5<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |  11861000 | PA      | $13070822.00  | 1.12%             | 2030-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                  | COINBASE GLOBAL INC CONV 0% 10/01/2032 144A               | CUSIP: 19260QAJ6<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |   9500000 | PA      | $8008500.00   | 0.69%             | 2032-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                          | NVIDIA CORP                                               | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    157000 | NS      | $31332490.00  | 2.68%             |  |  |  | No            |                  1 | On Loan: No      |
| COINBASE GLOBAL INC                  | COINBASE GLOBAL INC CONV 0.5% 06/01/2026                  | CUSIP: 19260QAB3<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |  24500000 | PA      | $24406900.00  | 2.09%             | 2026-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MARRIOTT VACATIONS WORLDWIDE CORP    | MARRIOTT VACATIONS WRLDWD CORP CONV 3.25% 12/15/2027      | CUSIP: 57164YAF4<br>LEI: 549300WA6BT5H4F7IO94 | Long             | DBT              | CORP              | US        |   5500000 | PA      | $5326750.00   | 0.46%             | 2027-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                       | MASTERCARD INC CL A                                       | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |    157600 | NS      | $79260192.00  | 6.79%             |  |  |  | No            |                  1 | On Loan: No      |
| CRACKER BARREL OLD COUNTRY STORE INC | CRACKER BARREL OLD CTRY ST INC CONV 1.75% 09/15/2030 144A | CUSIP: 22410JAC0<br>LEI: 8P4PHQIUWPIECBFBW745 | Long             | DBT              | CORP              | US        |   4225000 | PA      | $3367747.50   | 0.29%             | 2030-09-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS NY BRANCH                | Total Return Basket Swap BNP                              | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DO               | CORP              | US        |         1 | NC      | $-4839389.53  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| SCORPIO TANKERS INC                  | SCORPIO TANKERS INC CONV 1.75% 04/15/2031 144A            | CUSIP: 80918TAF6<br>LEI: 549300NVJUH16NXG8K87 | Long             | DBT              | CORP              | MH        |  10000000 | PA      | $11205000.00  | 0.96%             | 2031-04-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ADVANCED ENERGY INDUSTRIES INC       | ADVANCED ENERGY INDUSTRIES INC CONV 2.5% 09/15/2028       | CUSIP: 007973AE0<br>LEI: 549300756XI3QLFT2U27 | Long             | DBT              | CORP              | US        |   3900000 | PA      | $11104860.00  | 0.95%             | 2028-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PITNEY-BOWES INC                     | PITNEY-BOWES INC CONV 1.5% 08/15/2030 144A                | CUSIP: 724479AR1<br>LEI: 549300N2O26NW4ST6W55 | Long             | DBT              | CORP              | US        |  27500000 | PA      | $33715000.00  | 2.89%             | 2030-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-30

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer