# EDGAR Filing Document

**Accession Number:** 0001401097
**File Stem:** 0001752724-23-034838
**Filing Date:** 2023-2
**Character Count:** 87759
**Document Hash:** c1e39ac2e190b333ab4bcc79c0db96a4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034838.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034838

**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 Central Investment Portfolios II LLC
- **CENTRAL INDEX KEY:** 0001401097
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22083
- **FILM NUMBER:** 23656906

**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 International Credit Central Fund (Series ID: S000058560)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000192458 | Fidelity International Credit Central Fund |  |

## 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 Central Investment Portfolios II LLC

- **b. Investment Company Act file number:** 811-22083

- **c. CIK number of Registrant:** 0001401097

- **d. LEI of Registrant:** 0VPAEPVECBYQ0ULYZJ60

- **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 International Credit Central Fund

- **b. EDGAR series identifier (if any):** S000058560

- **c. LEI of Series:** 549300JOW5XJ3FBYR163

**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:** $365219821.77

**Total Liabilities:** $4070400.86

**Net Assets:** $361149420.91

**Cash Not Reported:** $1384917.38

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3620.30646459 | **1-Year:** 26190.90647666 | **5-Year:** 49401.51513455 | **10-Year:** 31746.82472974 | **30-Year:** 12455.55142733

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

- **3-Month:** 1421.66266150 | **1-Year:** 9155.83321324 | **5-Year:** 9294.26555649 | **10-Year:** 2329.11886380 | **30-Year:** 636.79040938

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000192458 | -0.92%               | 3.31%                | -0.92%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-16.10                  | $-2636502.25                               |
| Month 2  | $-20839761.37            | $17124638.86                               |
| Month 3  | $-1980447.63             | $-4474142.84                               |

**Designated Index Information**

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

- **Index Identifier:** 77906588

### Schedule of Portfolio Investments

| Name                                                        | Title                                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| 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        |   4630000 | PA      | $4171976.48   | 1.16%             | 2031-08-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 2/VAR 02/07/2028 REGS                                         | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    750000 | PA      | $796430.85    | 0.22%             | 2028-02-07      | Variable      | 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      | $-4505.36     | -0.00%            |  |  |  | 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      | $56.23        | 0.00%             |  |  |  | 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        |    680000 | PA      | $718695.08    | 0.20%             | 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        |   5600000 | PA      | $5348250.78   | 1.48%             | 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        |    500000 | PA      | $482789.01    | 0.13%             | 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        |   2015000 | PA      | $1872980.91   | 0.52%             |  |  |  | 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        |   1225075 | PA      | $1257103.45   | 0.35%             |  |  |  | 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        |    900000 | PA      | $732056.77    | 0.20%             | 2032-01-25      | Fixed         | 0.02%                 | 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        |   5800000 | PA      | $5137674.43   | 1.42%             |  |  |  | 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        |   4160000 | PA      | $4061201.65   | 1.12%             | 2029-11-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    660000 | PA      | $573060.91    | 0.16%             | 2031-08-15      | Fixed         | 0.00%                 | 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        |    450000 | PA      | $332374.72    | 0.09%             | 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        |    800000 | PA      | $726407.03    | 0.20%             |  |  |  | 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        |  10950000 | PA      | $11106052.52  | 3.08%             |  |  |  | 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        |   1000000 | PA      | $1246911.03   | 0.35%             | 2032-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                           | UNITED KINGDOM G.B. and N.IRELAND 2.25% 09/07/2023 REGS                            | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |  10645000 | PA      | $12748548.64  | 3.53%             | 2023-09-07      | Fixed         | 0.02%                 | 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        |   1000000 | PA      | $832176.39    | 0.23%             | 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        |   2660000 | PA      | $2577745.43   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                        | HEATHROW FUNDING LTD 7.125% 02/14/2024 REGS                                        | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |   1205000 | PA      | $1457912.30   | 0.40%             | 2024-02-14      | Fixed         | 0.07%                 | 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        |   1800000 | PA      | $1848770.34   | 0.51%             |  |  |  | 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        |   5925000 | PA      | $5643562.50   | 1.56%             | 2050-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITY FINANCE PLC                            | THAMES WATER UTILITY FIN PLC 1.875% 01/24/2024 REGS                                | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |    770000 | PA      | $897754.53    | 0.25%             | 2024-01-24      | Fixed         | 0.02%                 | 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        |   3025000 | PA      | $2933053.60   | 0.81%             | 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        |   2830000 | PA      | $2307076.36   | 0.64%             | 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        |    800000 | PA      | $663026.45    | 0.18%             | 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        |        15 | NC      | $-125798.13   | -0.03%            |  |  |  | No            |                  1 | 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        |  14150000 | NC      | $53032.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                          | WELLS FARGO and CO NEW 2.125% 12/20/2023 REGS                                      | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |    760000 | PA      | $895415.39    | 0.25%             | 2023-12-20      | Fixed         | 0.02%                 | 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        |    480000 | PA      | $440731.37    | 0.12%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ILIAD SA                                                    | ILIAD SA 1.875% 02/11/2028 REGS                                                    | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |    700000 | PA      | $616071.80    | 0.17%             | 2028-02-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                           | LLOYDS BANK CORPORATE MARKETS PLC 1.75% 07/11/2024 REGS                            | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |    790000 | PA      | $909242.39    | 0.25%             | 2024-07-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 7.437%/VAR 11/02/2033                                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    850000 | PA      | $890631.05    | 0.25%             | 2033-11-02      | Variable      | 0.07%                 | 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        |   5550000 | PA      | $5409862.21   | 1.50%             | 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        |    800000 | PA      | $904070.22    | 0.25%             | 2078-10-03      | Variable      | 0.05%                 | 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      | $2978.86      | 0.00%             |  |  |  | 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        |   2700000 | PA      | $2404288.92   | 0.67%             | 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        |   5800000 | PA      | $4807376.38   | 1.33%             |  |  |  | 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        |   3305000 | PA      | $3115551.38   | 0.86%             |  |  |  | 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        |   1300000 | PA      | $1453855.19   | 0.40%             | 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        |    820000 | PA      | $741081.42    | 0.21%             | 2028-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                           | LLOYDS BANK CORPORATE MARKETS PLC 1.5% 06/23/2023 REGS                             | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |    760000 | PA      | $905758.68    | 0.25%             | 2023-06-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | FX Forward: USD/EUR settle 2023-01-12                                              | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $-20507.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                           | HSBC HOLDINGS PLC 7.39%/VAR 11/03/2028                                             | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1450000 | PA      | $1523878.05   | 0.42%             | 2028-11-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 02/15/2032 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |   3250000 | PA      | $2782599.44   | 0.77%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ILIAD SA                                                    | ILIAD SA 1.5% 10/14/2024 REGS                                                      | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |    500000 | PA      | $506852.72    | 0.14%             | 2024-10-14      | Fixed         | 0.01%                 | 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        |    800000 | PA      | $812433.74    | 0.22%             | 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        |    760000 | PA      | $844733.14    | 0.23%             | 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        |   6502000 | PA      | $7525873.12   | 2.08%             | 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        |   3100000 | PA      | $2708639.91   | 0.75%             |  |  |  | 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        |   1220000 | PA      | $1171009.48   | 0.32%             | 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        |   6500000 | PA      | $2990520.00   | 0.83%             |  |  |  | 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        |    570000 | PA      | $590780.50    | 0.16%             | 2026-06-18      | Fixed         | 0.03%                 | 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        |   6900000 | PA      | $3052677.19   | 0.85%             |  |  |  | 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        |   1250000 | PA      | $1008005.30   | 0.28%             | 2028-11-15      | Fixed         | 0.02%                 | 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      | $-370.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                            | SOCIETE GENERALE FRANCE 7.875% PERP REGS                                           | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | EP               | CORP              | FR        |   1310000 | PA      | $1296662.35   | 0.36%             |  |  |  | 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        |   1820000 | PA      | $1899364.27   | 0.53%             | 2028-10-08      | Fixed         | 0.03%                 | 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        |   1150000 | PA      | $997370.38    | 0.28%             | 2030-02-13      | Variable      | 0.04%                 | 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      | $4463.34      | 0.00%             |  |  |  | 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      | $1689030.02   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 1.25% 08/15/2048 REGS                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |   5840000 | PA      | $4862360.68   | 1.35%             | 2048-08-15      | Fixed         | 0.01%                 | 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        |       -59 | NC      | $435454.26    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| SSE PLC                                                     | SSE PLC 3.74%/VAR PERP REGS                                                        | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |   2000000 | PA      | $2194244.24   | 0.61%             |  |  |  | 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        |   1000000 | PA      | $1030971.21   | 0.29%             | 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        |   2195000 | PA      | $2194453.57   | 0.61%             |  |  |  | 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        |   1860000 | PA      | $1772208.00   | 0.49%             | 2078-10-03      | Variable      | 0.06%                 | 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      | $2303.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                           | UNITED KINGDOM G.B. and N.IRELAND 1% 04/22/2024 REGS                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |   4355000 | PA      | $5088442.55   | 1.41%             | 2024-04-22      | Fixed         | 0.01%                 | 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        |   1595000 | PA      | $1645871.62   | 0.46%             | 2028-01-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                                    | ENEL SOCIETA PER AZIONI 2.25%/VAR PERP REGS                                        | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | EP               | CORP              | IT        |   1110000 | PA      | $1015910.57   | 0.28%             |  |  |  | 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        |   1900000 | PA      | $2019536.13   | 0.56%             | 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        |   6700000 | PA      | $6419096.85   | 1.78%             |  |  |  | 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        |   9515000 | PA      | $8278050.00   | 2.29%             |  |  |  | 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        |   3510000 | PA      | $2738681.02   | 0.76%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: GBP/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $540.34       | 0.00%             |  |  |  | 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        |   2835000 | PA      | $2815497.15   | 0.78%             | 2029-10-14      | Variable      | 0.02%                 | 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      | $-1493177.18  | -0.41%            |  |  |  | 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        |    400000 | PA      | $348966.70    | 0.10%             | 2081-03-11      | Variable      | 0.02%                 | 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        |   3505000 | PA      | $3151776.46   | 0.87%             | 2032-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                | JDE PEETS BV 2.25% 09/24/2031 144A                                                 | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    581000 | PA      | $439180.35    | 0.12%             | 2031-09-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NATIONAL ASSOCIATION                       | WELLS FARGO BK NATL ASSN 5.25% 08/01/2023 REGS                                     | CUSIP: N/A<br>LEI: KB1H1DSPRFMYMCUFXT09       | Long             | DBT              | CORP              | US        |    750000 | PA      | $907720.76    | 0.25%             | 2023-08-01      | Fixed         | 0.05%                 | 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        |        29 | NC      | $-137515.82   | -0.04%            |  |  |  | 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        |   2430000 | PA      | $2344346.44   | 0.65%             | 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        |    700000 | PA      | $644337.47    | 0.18%             | 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        |       128 | NC      | $-220911.80   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE SA                                          | CREDIT AGRICOLE SA 1.25% 10/02/2024 REGS                                           | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |    800000 | PA      | $906747.32    | 0.25%             | 2024-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN AB                                               | HEIMSTADEN AB 4.375% 03/06/2027 REGS                                               | CUSIP: N/A<br>LEI: 549300WD2QBD89VBPV88       | Long             | DBT              | CORP              | SE        |   1400000 | PA      | $984737.78    | 0.27%             | 2027-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC                        | ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS                            | CUSIP: N/A<br>LEI: 21380072JDZ74GW9ZY87       | Long             | DBT              | CORP              | GB        |    575000 | PA      | $531467.11    | 0.15%             | 2028-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ELM FOR FIRMENICH INTERN                                    | ELM FOR FIRMENICH INTERN 3.75%/VAR PERP REGS                                       | CUSIP: N/A<br>LEI: 5493004Q6ZQIC4MCNJ08       | Long             | EP               | CORP              | NL        |    470000 | PA      | $476698.14    | 0.13%             |  |  |  | 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      | $-4020.77     | -0.00%            |  |  |  | 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        |   2600000 | PA      | $2742207.60   | 0.76%             | 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        |   3680000 | PA      | $3063716.95   | 0.85%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: GBP/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6197.42     | -0.00%            |  |  |  | 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        |    300000 | PA      | $363710.67    | 0.10%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                 | SEVERN TRENT WATER UTIL FIN 6.125% 02/26/2024 REGS                                 | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |    385000 | PA      | $469580.77    | 0.13%             | 2024-02-26      | Fixed         | 0.06%                 | 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        |         3 | NC      | $-34552.86    | -0.01%            |  |  |  | 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        |   5400000 | PA      | $4841514.74   | 1.34%             | 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        |   2492000 | PA      | $1272853.59   | 0.35%             | 2023-02-13      | 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      | $-902.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN WTR SERVICES FIN LTD                               | SOUTHERN WTR SERVICES FIN LTD 1.625% 03/30/2027 REGS                               | CUSIP: N/A<br>LEI: 213800BTY35K1724Z452       | Long             | DBT              | CORP              | KY        |    716000 | PA      | $737690.35    | 0.20%             | 2027-03-30      | Fixed         | 0.02%                 | 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        |   1180000 | PA      | $1131325.00   | 0.31%             |  |  |  | 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        |  10105000 | PA      | $10105000.00  | 2.80%             |  |  |  | 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        |   1100000 | PA      | $950391.54    | 0.26%             | 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        |    570000 | PA      | $609338.46    | 0.17%             | 2026-02-17      | Fixed         | 0.04%                 | 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        |       182 | NC      | $43720.95     | 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        |   1300000 | PA      | $1014562.87   | 0.28%             | 2029-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2924.01      | 0.00%             |  |  |  | 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        |   4200000 | PA      | $3976794.53   | 1.10%             | 2032-03-31      | Variable      | 0.03%                 | 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        |    950000 | PA      | $1080210.24   | 0.30%             | 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        |   1350000 | PA      | $1688862.65   | 0.47%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | BNP PARIBAS 6.625%/VAR PERP REGS                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | EP               | CORP              | FR        |   2505000 | PA      | $2420581.50   | 0.67%             |  |  |  | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                 | CITYCON OYJ 4.496%/VAR PERP REGS                                                   | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |    970000 | PA      | $607686.43    | 0.17%             |  |  |  | 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        |    565000 | PA      | $495999.39    | 0.14%             | 2032-06-19      | Variable      | 0.06%                 | 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      | $-24209.03    | -0.01%            |  |  |  | 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        |    500000 | PA      | $397683.95    | 0.11%             | 2031-07-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                    | LLOYDS BANKING GROUP PLC 5.125%/VAR PERP                                           | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | EP               | CORP              | GB        |    280000 | PA      | $310579.25    | 0.09%             |  |  |  | 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        |   1700000 | PA      | $1679351.93   | 0.47%             | 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        |    500000 | PA      | $493750.00    | 0.14%             |  |  |  | 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        |   2675000 | PA      | $2091752.96   | 0.58%             | 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        |    470000 | PA      | $412374.86    | 0.11%             | 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        |   2915000 | PA      | $3018206.23   | 0.84%             | 2027-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                               | AROUNDTOWN SA 3.375%/VAR PERP REGS                                                 | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |   7800000 | PA      | $3862733.80   | 1.07%             |  |  |  | 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        |   1180000 | PA      | $1028302.31   | 0.28%             | 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        |   1200000 | PA      | $987171.56    | 0.27%             | 2028-08-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                         | WHITBREAD GROUP PLC 3.375% 10/16/2025 REGS                                         | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |   3885000 | PA      | $4328074.24   | 1.20%             | 2025-10-16      | Fixed         | 0.03%                 | 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        |   3520000 | PA      | $1923555.83   | 0.53%             |  |  |  | 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        |  13950000 | NC      | $112944.21    | 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        |   1620000 | PA      | $1583550.00   | 0.44%             | 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        |   1575000 | PA      | $1534495.93   | 0.42%             | 2028-06-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IBERDROLA FINANZAS SAU                                      | IBERDROLA FINANZAS SAU 7.375% 01/29/2024                                           | CUSIP: N/A<br>LEI: 5493004PZNZWWBOUV388       | Long             | DBT              | CORP              | ES        |    700000 | PA      | $865015.32    | 0.24%             | 2024-01-29      | Fixed         | 0.07%                 | 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        |    700000 | PA      | $610841.59    | 0.17%             | 2027-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 05/15/2035 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |  15505000 | PA      | $12101841.54  | 3.35%             | 2035-05-15      | Fixed         | 0.00%                 | 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        |   5107000 | PA      | $4826115.00   | 1.34%             | 2044-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                 | IMPERIAL BRANDS FINANCE PLC 3.5% 07/26/2026 144A                                   | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1882000 | PA      | $1726061.17   | 0.48%             | 2026-07-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                           | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                         | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |   1330000 | PA      | $1216757.23   | 0.34%             | 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        |   2615000 | PA      | $2030009.49   | 0.56%             | 2031-04-01      | Variable      | 0.04%                 | 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        |   2300000 | PA      | $1992338.37   | 0.55%             | 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        |  10000000 | PA      | $4281799.99   | 1.19%             | 2026-01-14      | Fixed         | 0.02%                 | 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    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN POWER DISTRIBUTION PLC                              | WESTERN POWER DISTRIBUTION PLC 3.625% 11/06/2023 REGS                              | CUSIP: N/A<br>LEI: 549300HFCD0G1TPU4N09       | Long             | DBT              | CORP              | GB        |    735000 | PA      | $878499.99    | 0.24%             | 2023-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                          | TRAVIS PERKINS PLC 4.5% 09/07/2023 REGS                                            | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |   1330000 | PA      | $1583784.94   | 0.44%             | 2023-09-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                         | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  12014301 | NS      | $12016703.85  | 3.33%             |  |  |  | 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        |    630000 | PA      | $547179.87    | 0.15%             | 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        |   1103000 | PA      | $1131964.42   | 0.31%             | 2078-10-05      | Variable      | 0.04%                 | 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        |    950000 | PA      | $936969.83    | 0.26%             | 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        |   4855000 | PA      | $3971758.98   | 1.10%             | 2033-11-03      | Variable      | 0.03%                 | 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      | $1784.30      | 0.00%             |  |  |  | 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        |   2725000 | PA      | $2643250.00   | 0.73%             | 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        |   1150000 | PA      | $1103127.58   | 0.31%             | 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        |    800000 | PA      | $666736.20    | 0.18%             | 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        |       407 | NC      | $5542.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9528.17      | 0.00%             |  |  |  | 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        |   2300000 | PA      | $1840979.45   | 0.51%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | 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      | $-679.41      | -0.00%            |  |  |  | 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        |    949000 | PA      | $865530.52    | 0.24%             | 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        |    500000 | PA      | $462840.70    | 0.13%             | 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        |   6725000 | PA      | $6111343.75   | 1.69%             | 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        |    650000 | PA      | $645454.78    | 0.18%             |  |  |  | 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      | $1844.12      | 0.00%             |  |  |  | No            |                  2 | 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      | $11547.20     | 0.00%             |  |  |  | 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        |   1515000 | PA      | $1386225.00   | 0.38%             | 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        |       -54 | NC      | $218387.03    | 0.06%             |  |  |  | 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        |   2145000 | PA      | $855302.93    | 0.24%             |  |  |  | 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        |   2050000 | PA      | $2052623.16   | 0.57%             | 2031-11-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ALPHA TRAINS FINANCE SA                                     | ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS                                     | CUSIP: N/A<br>LEI: 529900FR0E130P05IY43       | Long             | DBT              | CORP              | LU        |    749000 | PA      | $752105.60    | 0.21%             | 2030-06-30      | Fixed         | 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        |   4360000 | PA      | $3880596.46   | 1.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LAGARDERE SA                                                | LAGARDERE SA 1.75% 10/07/2027 REGS                                                 | CUSIP: N/A<br>LEI: 969500VX2NV2AQQ65G45       | Long             | DBT              | CORP              | FR        |   1900000 | PA      | $1875779.72   | 0.52%             | 2027-10-07      | Fixed         | 0.02%                 | 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        |   1100000 | PA      | $1339247.00   | 0.37%             | 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        |   1185000 | PA      | $953078.22    | 0.26%             | 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        |   1550000 | PA      | $1712850.63   | 0.47%             |  |  |  | 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        |   2865000 | PA      | $2608439.25   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| SSE PLC                                                     | SSE PLC 4%/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |    500000 | PA      | $486958.41    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV SA NV                                  | ANHEUSER BUSCH INBEV SA NV 9.75% 07/30/2024 REGS                                   | CUSIP: N/A<br>LEI: 5493008H3828EMEXB082       | Long             | DBT              | CORP              | BE        |    165000 | PA      | $214190.15    | 0.06%             | 2024-07-30      | Fixed         | 0.10%                 | 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        |       349 | NC      | $-54677.93    | -0.02%            |  |  |  | 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        |   3410000 | PA      | $3019838.99   | 0.84%             | 2082-09-05      | Variable      | 0.02%                 | 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        |   3650000 | NC      | $18709.74     | 0.01%             |  |  |  | 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        |   1960000 | PA      | $1938482.78   | 0.54%             | 2034-06-15      | 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        |    500000 | PA      | $566179.09    | 0.16%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 5.746%/VAR 08/09/2033                                         | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    397000 | PA      | $375030.68    | 0.10%             | 2033-08-09      | Variable      | 0.06%                 | 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        |   2500000 | PA      | $2140717.98   | 0.59%             | 2029-11-15      | Variable      | 0.02%                 | 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      | $1056.30      | 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        |   2600000 | PA      | $2056026.00   | 0.57%             | 2081-08-31      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $1227.23      | 0.00%             |  |  |  | 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        |   1000000 | PA      | $1097484.81   | 0.30%             | 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        |    900000 | PA      | $1070472.03   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 10/10/2025 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |   2645000 | PA      | $2643622.38   | 0.73%             | 2025-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                        | TELEFONICA EUROPE BV 3.875%/VAR PERP REGS                                          | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | EP               | CORP              | NL        |   1500000 | PA      | $1453135.87   | 0.40%             |  |  |  | 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        |    480000 | PA      | $444491.08    | 0.12%             | 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        |   1200000 | PA      | $921000.00    | 0.26%             | 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        |   1490000 | PA      | $1411775.00   | 0.39%             |  |  |  | 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        |   4990000 | PA      | $3854726.30   | 1.07%             | 2199-12-31      | Variable      | 0.03%                 | 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        |   1150000 | PA      | $1104468.90   | 0.31%             | 2031-05-30      | Variable      | 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      | $1835.18      | 0.00%             |  |  |  | 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        |   1915000 | PA      | $1937743.77   | 0.54%             | 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        |   2855000 | PA      | $3091700.31   | 0.86%             | 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        |   3800000 | PA      | $3598889.04   | 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