# EDGAR Filing Document

**Accession Number:** 0001562565
**File Stem:** 0001752724-23-014627
**Filing Date:** 2023-1
**Character Count:** 96006
**Document Hash:** f79ccb045115f408c17d21b816efad15
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014627.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014627

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22796
- **FILM NUMBER:** 23556467

**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 Investment Grade Bond ETF (Series ID: S000071131)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000225826 | Fidelity Investment Grade Bond ETF | FIGB            |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Investment Grade Bond ETF**

**November 30, 2022**

FIE-NPRT1-0123

1.9900960.101 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Nonconvertible Bonds - 33.5%** | &nbsp;&nbsp;**Nonconvertible Bonds - 33.5%** | &nbsp;&nbsp;**Nonconvertible Bonds - 33.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 3.8%  |  |  |
| Diversified Telecommunication Services - 1.4% |  |  |
| AT&T, Inc. 4.3% 2/15/30  | 90000 | 85509 |
| Verizon Communications, Inc. 3.15% 3/22/30  | 36000 | 31952 |
|  |  | 117461 |
| Media - 1.6% |  |  |
| Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 2.8% 4/1/31  | 99000 | 78335 |
| Magallanes, Inc.: |  |  |
|  3.428% 3/15/24 (b) | 5000  | 4855  |
|  3.638% 3/15/25 (b) | 3000  | 2865  |
|  3.755% 3/15/27 (b) | 6000  | 5468  |
|  4.054% 3/15/29 (b) | 2000  | 1751  |
|  4.279% 3/15/32 (b) | 5000  | 4245  |
|  5.05% 3/15/42 (b) | 3000  | 2402  |
|  5.141% 3/15/52 (b) | 2000  | 1550  |
| Time Warner Cable LLC 5.5% 9/1/41  | 40000 | 34050 |
|  |  | 135521 |
| Wireless Telecommunication Services - 0.8% |  |  |
| T-Mobile U.S.A., Inc. 4.5% 4/15/50  | 82000 | 69264 |
| TOTAL COMMUNICATION SERVICES |  | 322246 |
| CONSUMER DISCRETIONARY - 1.8%  |  |  |
| Automobiles - 0.4% |  |  |
| General Motors Financial Co., Inc. 4% 1/15/25  | 36000 | 35033 |
| Household Durables - 1.0% |  |  |
| Lennar Corp. 4.75% 11/29/27  | 88000 | 84237 |
| Specialty Retail - 0.2% |  |  |
| Lowe's Companies, Inc.: |  |  |
|  3.35% 4/1/27  | 2000  | 1898  |
|  3.75% 4/1/32  | 2000  | 1822  |
|  4.25% 4/1/52  | 10000  | 8163  |
|  4.45% 4/1/62  | 10000  | 8083  |
|  |  | 19966 |
| Textiles, Apparel & Luxury Goods - 0.2% |  |  |
| Tapestry, Inc. 3.05% 3/15/32  | 18000 | 13928 |
| TOTAL CONSUMER DISCRETIONARY |  | 153164 |
| CONSUMER STAPLES - 2.1%  |  |  |
| Beverages - 0.9% |  |  |
| Anheuser-Busch InBev Worldwide, Inc. 5.45% 1/23/39  | 80000 | 81790 |
| Food & Staples Retailing - 0.5% |  |  |
| Sysco Corp. 6.6% 4/1/50  | 38000 | 42393 |
| Food Products - 0.7% |  |  |
| JBS U.S.A. Lux SA / JBS Food Co.: |  |  |
|  5.125% 2/1/28 (b) | 5000  | 4768  |
|  5.5% 1/15/30 (b) | 45000  | 43162  |
|  5.75% 4/1/33 (b) | 10000  | 9687  |
|  |  | 57617 |
| TOTAL CONSUMER STAPLES |  | 181800 |
| ENERGY - 2.3%  |  |  |
| Oil, Gas & Consumable Fuels - 2.3% |  |  |
| Energy Transfer LP 4.95% 6/15/28  | 40000 | 38693 |
| Hess Corp.: |  |  |
|  4.3% 4/1/27  | 47000  | 45177  |
|  5.6% 2/15/41  | 2000  | 1927  |
| MPLX LP 4.8% 2/15/29  | 40000 | 38497 |
| Petroleos Mexicanos 7.69% 1/23/50  | 101000 | 68751 |
| The Williams Companies, Inc.: |  |  |
|  4.65% 8/15/32  | 6000  | 5683  |
|  5.3% 8/15/52  | 2000  | 1837  |
|  |  | 200565 |
| FINANCIALS - 13.5%  |  |  |
| Banks - 6.5% |  |  |
| Bank of America Corp.: |  |  |
|  2.299% 7/21/32 (c) | 5000  | 3918  |
|  4.183% 11/25/27  | 170000  | 161962  |
| Citigroup, Inc. 4.45% 9/29/27  | 152000 | 146397 |
| JPMorgan Chase & Co. 4.493% 3/24/31 (c) | 72000 | 68264 |
| NatWest Group PLC 3.073% 5/22/28 (c) | 200000 | 177057 |
|  |  | 557598 |
| Capital Markets - 4.2% |  |  |
| Ares Capital Corp. 3.875% 1/15/26  | 88000 | 80921 |
| Deutsche Bank AG New York Branch 4.1% 1/13/26  | 100000 | 95395 |
| Goldman Sachs Group, Inc.: |  |  |
|  2.383% 7/21/32 (c) | 4000  | 3160  |
|  3.8% 3/15/30  | 80000  | 72713  |
| Morgan Stanley 4.431% 1/23/30 (c) | 114000 | 107816 |
|  |  | 360005 |
| Consumer Finance - 1.7% |  |  |
| Ally Financial, Inc.: |  |  |
|  2.2% 11/2/28  | 11000  | 8785  |
|  7.1% 11/15/27  | 10000  | 10284  |
|  8% 11/1/31  | 31000  | 33256  |
| Capital One Financial Corp.: |  |  |
|  2.359% 7/29/32 (c) | 16000  | 11659  |
|  3.8% 1/31/28  | 68000  | 63534  |
|  4.985% 7/24/26 (c) | 6000  | 5948  |
|  5.247% 7/26/30 (c) | 9000  | 8578  |
| Discover Financial Services 6.7% 11/29/32  | 2000 | 2035 |
|  |  | 144079 |
| Diversified Financial Services - 0.7% |  |  |
| Blackstone Private Credit Fund 7.05% 9/29/25 (b) | 8000 | 8016 |
| Brixmor Operating Partnership LP 4.05% 7/1/30  | 36000 | 31462 |
| Corebridge Financial, Inc.: |  |  |
|  3.85% 4/5/29 (b) | 3000  | 2731  |
|  3.9% 4/5/32 (b) | 3000  | 2645  |
|  4.35% 4/5/42 (b) | 2000  | 1637  |
|  4.4% 4/5/52 (b) | 2000  | 1608  |
| Jackson Financial, Inc.: |  |  |
|  5.17% 6/8/27  | 4000  | 3920  |
|  5.67% 6/8/32  | 6000  | 5700  |
|  |  | 57719 |
| Insurance - 0.4% |  |  |
| Unum Group 4% 6/15/29  | 36000 | 32659 |
| TOTAL FINANCIALS |  | 1152060 |
| HEALTH CARE - 2.5%  |  |  |
| Health Care Providers & Services - 2.2% |  |  |
| Centene Corp.: |  |  |
|  2.45% 7/15/28  | 13000  | 10933  |
|  2.625% 8/1/31  | 5000  | 3931  |
|  4.625% 12/15/29  | 90000  | 83685  |
| Cigna Corp. 4.8% 8/15/38  | 80000 | 75479 |
| Humana, Inc. 3.7% 3/23/29  | 3000 | 2763 |
| Sabra Health Care LP 3.2% 12/1/31  | 12000 | 8998 |
|  |  | 185789 |
| Pharmaceuticals - 0.3% |  |  |
| Viatris, Inc. 2.7% 6/22/30  | 36000 | 28715 |
| TOTAL HEALTH CARE |  | 214504 |
| INDUSTRIALS - 1.7%  |  |  |
| Aerospace & Defense - 0.9% |  |  |
| The Boeing Co. 5.15% 5/1/30  | 80000 | 78050 |
| Transportation Infrastructure - 0.8% |  |  |
| Avolon Holdings Funding Ltd. 3.95% 7/1/24 (b) | 68000 | 64760 |
| TOTAL INDUSTRIALS |  | 142810 |
| INFORMATION TECHNOLOGY - 1.7%  |  |  |
| Electronic Equipment & Components - 0.4% |  |  |
| Dell International LLC/EMC Corp. 6.2% 7/15/30  | 30000 | 30850 |
| Semiconductors & Semiconductor Equipment - 0.8% |  |  |
| Broadcom, Inc. 2.45% 2/15/31 (b) | 48000 | 37870 |
| Marvell Technology, Inc. 2.95% 4/15/31  | 38000 | 31050 |
|  |  | 68920 |
| Software - 0.5% |  |  |
| Oracle Corp. 3.6% 4/1/40  | 50000 | 37549 |
| VMware, Inc. 1.4% 8/15/26  | 7000 | 6156 |
|  |  | 43705 |
| TOTAL INFORMATION TECHNOLOGY |  | 143475 |
| REAL ESTATE - 2.6%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 2.0% |  |  |
| American Homes 4 Rent LP: |  |  |
|  2.375% 7/15/31  | 1000  | 777  |
|  3.375% 7/15/51  | 2000  | 1278  |
|  3.625% 4/15/32  | 3000  | 2542  |
|  4.3% 4/15/52  | 2000  | 1484  |
| Corporate Office Properties LP 2.75% 4/15/31  | 2000 | 1511 |
| Invitation Homes Operating Partnership LP 2% 8/15/31  | 14000 | 10364 |
| Kite Realty Group Trust 4.75% 9/15/30  | 50000 | 44383 |
| LXP Industrial Trust (REIT) 2.7% 9/15/30  | 42000 | 33608 |
| Omega Healthcare Investors, Inc.: |  |  |
|  3.25% 4/15/33  | 5000  | 3666  |
|  3.625% 10/1/29  | 50000  | 41428  |
| Piedmont Operating Partnership LP 2.75% 4/1/32  | 2000 | 1429 |
| Sun Communities Operating LP: |  |  |
|  2.3% 11/1/28  | 2000  | 1645  |
|  2.7% 7/15/31  | 8000  | 6224  |
| VICI Properties LP: |  |  |
|  4.375% 5/15/25  | 2000  | 1925  |
|  4.75% 2/15/28  | 7000  | 6599  |
|  4.95% 2/15/30  | 7000  | 6617  |
| Vornado Realty LP: |  |  |
|  2.15% 6/1/26  | 1000  | 845  |
|  3.4% 6/1/31  | 3000  | 2287  |
|  |  | 168612 |
| Real Estate Management & Development - 0.6% |  |  |
| CBRE Group, Inc. 2.5% 4/1/31  | 8000 | 6285 |
| Tanger Properties LP: |  |  |
|  2.75% 9/1/31  | 6000  | 4291  |
|  3.875% 7/15/27  | 50000  | 45446  |
|  |  | 56022 |
| TOTAL REAL ESTATE |  | 224634 |
| UTILITIES - 1.5%  |  |  |
| Electric Utilities - 1.0% |  |  |
| Cleco Corporate Holdings LLC 3.743% 5/1/26  | 40000 | 37721 |
| Duquesne Light Holdings, Inc.: |  |  |
|  2.532% 10/1/30 (b) | 50000  | 39543  |
|  2.775% 1/7/32 (b) | 6000  | 4706  |
|  |  | 81970 |
| Independent Power and Renewable Electricity Producers - 0.5% |  |  |
| The AES Corp.: |  |  |
|  2.45% 1/15/31  | 3000  | 2384  |
|  3.95% 7/15/30 (b) | 50000  | 43775  |
|  |  | 46159 |
| TOTAL UTILITIES |  | 128129 |
| <br> **TOTAL NONCONVERTIBLE BONDS**<br> (Cost $3,308,937) |  | <br> **2863387** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 39.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 39.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 39.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bonds: |  |  |
|  2.25% 5/15/41  | 22600 | 17366 |
|  2.25% 2/15/52  | 44000 | 31775 |
|  2.375% 5/15/51  | 913000 | 678973 |
|  2.875% 5/15/52  | 113000 | 93931 |
|  4% 11/15/52  | 95000 | 98800 |
| U.S. Treasury Notes: |  |  |
|  0.125% 2/28/23  | 50000 | 49476 |
|  0.5% 2/28/26  | 172000 | 153570 |
|  1.25% 12/31/26  | 300000 | 269859 |
|  1.25% 4/30/28  | 110100 | 96350 |
|  1.5% 1/31/27  | 270000 | 245025 |
|  1.875% 2/28/27  | 37600 | 34627 |
|  2.75% 8/15/32  | 440000 | 407550 |
|  2.875% 5/15/32  | 537000 | 503354 |
|  4.125% 9/30/27  | 540000 | 546581 |
|  4.125% 11/15/32  | 127000 | 131961 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $3,665,711) |  | **3359198** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 11.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 11.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 11.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 1.8%  |  |  |
| 2% 4/1/51 to 1/1/52  | 93021 | 76854 |
| 3.5% 11/1/45 to 3/1/52  | 80327 | 75506 |
| TOTAL FANNIE MAE |  | 152360 |
| Freddie Mac - 1.1%  |  |  |
| 2.5% 2/1/51  | 40648 | 35241 |
| 3% 2/1/50  | 68526 | 61656 |
| TOTAL FREDDIE MAC |  | 96897 |
| Ginnie Mae - 4.2%  |  |  |
| 2% 12/1/52 (d) | 25000 | 21228 |
| 2% 12/1/52 (d) | 50000 | 42455 |
| 2% 12/1/52 (d) | 25000 | 21228 |
| 2% 1/1/53 (d) | 50000 | 42494 |
| 2.5% 12/1/52 (d) | 50000 | 43869 |
| 2.5% 1/1/53 (d) | 50000 | 43906 |
| 3% 11/20/50  | 26501 | 24101 |
| 3.5% 11/20/50  | 30869 | 28924 |
| 3.5% 12/1/52 (d) | 50000 | 46386 |
| 3.5% 1/1/53 (d) | 50000 | 46409 |
| TOTAL GINNIE MAE |  | 361000 |
| Uniform Mortgage Backed Securities - 4.3%  |  |  |
| 1.5% 12/1/37 (d) | 50000 | 43699 |
| 1.5% 12/1/37 (d) | 50000 | 43699 |
| 1.5% 1/1/38 (d) | 50000 | 43768 |
| 1.5% 12/1/52 (d) | 25000 | 19420 |
| 2% 12/1/52 (d) | 50000 | 41122 |
| 2% 12/1/52 (d) | 25000 | 20561 |
| 2% 12/1/52 (d) | 25000 | 20561 |
| 2% 1/1/53 (d) | 50000 | 41165 |
| 2.5% 12/1/52 (d) | 50000 | 42727 |
| 2.5% 12/1/52 (d) | 25000 | 21363 |
| 4% 12/1/52 (d) | 25000 | 23656 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 361741 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,004,323) |  | <br> **971998** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 5.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.0%** | &nbsp;&nbsp;**Asset-Backed Securities - 5.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Cedar Funding Ltd. Series 2022-15A Class A, CME TERM SOFR 3 MONTH INDEX + 1.320% 5.2833% 4/20/35 (b)(c)(e) | 100000 | 96069 |
| Eaton Vance CLO, Ltd. Series 2021-2A Class AR, 3 month U.S. LIBOR + 1.150% 5.2291% 1/15/35 (b)(c)(e) | 100000 | 97034 |
| Flatiron CLO Ltd. / Flatiron CLO LLC Series 2020-1A Class A, 3 month U.S. LIBOR + 1.300% 5.9754% 11/20/33 (b)(c)(e) | 100000 | 97321 |
| Thunderbolt Aircraft Lease Ltd. Series 2018-A Class A, 4.147% 9/15/38 (b)(c) | 179939 | 135968 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $479,067) |  | **426392** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 6.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 6.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 6.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BPR Trust floater Series 2022-OANA Class A, CME Term SOFR 1 Month Index + 1.890% 5.6923% 4/15/37 (b)(c)(e) | 15000 | 14596 |
| BX Commercial Mortgage Trust floater Series 2021-PAC Class B, 1 month U.S. LIBOR + 0.890% 4.7748% 10/15/36 (b)(c)(e) | 100000 | 93906 |
| BX Trust floater Series 2022-IND: |  |  |
|  Class A, CME Term SOFR 1 Month Index + 1.490% 5.3019% 4/15/37 (b)(c)(e) | 9495 | 9224 |
|  Class B, CME Term SOFR 1 Month Index + 1.940% 5.7509% 4/15/37 (b)(c)(e) | 9495 | 9077 |
| CF Hippolyta Issuer LLC sequential payer Series 2021-1A Class A1, 1.53% 3/15/61 (b) | 95807 | 82535 |
| Extended Stay America Trust floater Series 2021-ESH Class D, 1 month U.S. LIBOR + 2.250% 6.126% 7/15/38 (b)(c)(e) | 97619 | 92480 |
| GS Mortgage Securities Trust floater Series 2021-IP Class C, 1 month U.S. LIBOR + 1.550% 5.425% 10/15/36 (b)(c)(e) | 100000 | 91646 |
| LIFE Mortgage Trust floater Series 2021-BMR Class E, 1 month U.S. LIBOR + 1.750% 5.625% 3/15/38 (b)(c)(e) | 98297 | 92134 |
| SREIT Trust floater Series 2021-MFP Class D, 1 month U.S. LIBOR + 1.570% 5.4535% 11/15/38 (b)(c)(e) | 100000 | 93986 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $624,987) |  | **579584** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 11.3%** | &nbsp;&nbsp;**Money Market Funds - 11.3%** | &nbsp;&nbsp;**Money Market Funds - 11.3%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (f) <br>(Cost $959,459) <br>| 959267 | **959459** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 107.3%**<br> (Cost $10,042,484)<br>| <br>**9160018** |
| **NET OTHER ASSETS (LIABILITIES) - (7.3)%**  | **(619617)** |
| **NET ASSETS - 100.0%** | **8540401** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| Ginnie Mae |  |  |
| 2% 12/1/52 | (50000) | (42455) |
| 2% 12/1/52 | (25000) | (21228) |
| 2.5% 12/1/52 | (50000) | (43869) |
| 3.5% 12/1/52 | (50000) | (46386) |
| TOTAL GINNIE MAE  |  | (153938) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/37 | (50000) | (43699) |
| 2% 12/1/52 | (50000) | (41122) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (84821) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $236,667) |  | <br> **(238759)** |

---

**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 $1,294,020 or 15.2% of net assets.

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

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 666354 | 492350 | 199245 | 7656 | - | - | 959459 | 0.0% |
| Total | 666354 | 492350 | 199245 | 7656 | - | - | 959459 |  |

---

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

**Investment Valuation**

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

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

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

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

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

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

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

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity Investment Grade Bond ETF

- **b. EDGAR series identifier (if any):** S000071131

- **c. LEI of Series:** 549300X4MUYWBSV82480

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $9369693.15

**Total Liabilities:** $829389.83

**Net Assets:** $8540303.32

**Delayed Delivery Securities:** $608580.58

**Cash Not Reported:** $6933.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 144.23999340 | **1-Year:** 705.53330425 | **5-Year:** 1703.25777292 | **10-Year:** 1419.95426541 | **30-Year:** 1271.99345870

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

- **3-Month:** 1.33740620 | **1-Year:** 32.87174770 | **5-Year:** 83.16375101 | **10-Year:** 142.92850420 | **30-Year:** 130.25501300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000225826 | -4.52%               | -1.28%               | 3.62%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-20029.95               | $-299145.75                                |
| Month 2  | $-27212.20               | $-101901.35                                |
| Month 3  | $-11806.84               | $288575.31                                 |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### Schedule of Portfolio Investments

| Name                                                                            | Title                                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UST NOTES                                                                       | UST NOTES 1.5% 01/31/2027                                                                       | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    270000 | PA      | $245025.00    | 2.87%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 4.279% 03/15/2032 144A                                                           | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4245.00      | 0.05%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                          | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3919.89      | 0.05%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/01/2052 #TBA                                                                      | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -75000 | PA      | $-63683.08    | -0.75%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                               | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                              | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1428.69      | 0.02%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                  | MORGAN STANLEY 4.431/VAR 01/23/2030                                                             | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    114000 | PA      | $107815.86    | 1.26%             | 2030-01-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                         | MPLX LP 4.8% 02/15/2029                                                                         | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38497.39     | 0.45%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 5.3% 08/15/2052                                                                | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1837.12      | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.75% 04/01/2033 144A                        | CUSIP: 46590XAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9687.30      | 0.11%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 3% 02/01/2050#SD0265                                                                  | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68526 | PA      | $61656.08     | 0.72%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 2.359/VAR 07/29/2032                                                 | CUSIP: 14040HCG8<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     16000 | PA      | $11658.55     | 0.14%             | 2032-07-29      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 5.6% 02/15/2041                                                                       | CUSIP: 42809HAD9<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1927.48      | 0.02%             | 2041-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                      | VERIZON COMMUNICATIONS INC 3.15% 03/22/2030                                                     | CUSIP: 92343VFE9<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     36000 | PA      | $31952.46     | 0.37%             | 2030-03-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029 144A                                                  | CUSIP: 21871XAE9<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2730.95      | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 02/15/2052                                                    | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     44000 | PA      | $31774.53     | 0.37%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                           | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                           | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $34050.21     | 0.40%             | 2041-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 4% 11/15/2052                                                       | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     95000 | PA      | $98800.00     | 1.16%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                         | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                          | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     50000 | PA      | $44383.37     | 0.52%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                              | VORNADO REALTY LP 2.15% 06/01/2026                                                              | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |      1000 | PA      | $845.20       | 0.01%             | 2026-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                            | LIFE 2021-BMR MTG TR 21-BMR E 1ML+185.6 03/15/2036 144A                                         | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     98297 | PA      | $92133.73     | 1.08%             | 2038-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.5% 01/15/2030 144A                         | CUSIP: 46590XAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     45000 | PA      | $43162.20     | 0.51%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                                    | TAPESTRY INC 3.05% 03/15/2032                                                                   | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     18000 | PA      | $13928.20     | 0.16%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                               | CBRE SERVICES INC 2.5% 04/01/2031                                                               | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6284.80      | 0.07%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 2.75% 09/01/2031                                                           | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4291.27      | 0.05%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/01/2052 #TBA                                                                    | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -50000 | PA      | $-46385.74    | -0.54%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                | WILLIAMS COS INC 4.65% 08/15/2032                                                               | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5683.44      | 0.07%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                   | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    170000 | PA      | $161962.20    | 1.90%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                       | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                     | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |     40000 | PA      | $37721.15     | 0.44%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                      | VMWARE INC 1.4% 08/15/2026                                                                      | CUSIP: 928563AJ4<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6156.28      | 0.07%             | 2026-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042 144A                                                  | CUSIP: 21871XAJ8<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1637.46      | 0.02%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                   | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     80000 | PA      | $72712.61     | 0.85%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                           | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B 1ML+92.21 10/15/2036 144A                               | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93905.88     | 1.10%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 12/01/2052 #TBA                                                                    | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -50000 | PA      | $-41121.88    | -0.48%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                               | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |     36000 | PA      | $31461.63     | 0.37%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                      | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2541.89      | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 12/01/2052 #TBA                                                                      | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $84910.77     | 0.99%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.75% 08/15/2032                                                                      | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    440000 | PA      | $407550.00    | 4.77%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                           | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                          | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5700.32      | 0.07%             | 2032-06-08      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                      | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      1000 | PA      | $777.29       | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.638% 03/15/2025 144A                                                           | CUSIP: 55903VAE3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2864.52      | 0.03%             | 2025-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                              | VORNADO REALTY LP 3.4% 06/01/2031                                                               | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2286.91      | 0.03%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                    | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1645.35      | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.25% 05/15/2041                                                    | CUSIP: 912810SY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     22600 | PA      | $17365.80     | 0.20%             | 2041-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.375% 05/15/2025                                                            | CUSIP: 925650AA1<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1924.82      | 0.02%             | 2025-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 01/01/2053 #TBA                                                                    | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $41164.85     | 0.48%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 5.247%/VAR 07/26/2030                                                | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8578.47      | 0.10%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.25% 12/31/2026                                                                      | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $269859.38    | 3.16%             | 2026-12-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0288                                                                  | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14324 | PA      | $11819.07     | 0.14%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 7.1% 11/15/2027                                                                   | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10283.96     | 0.12%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                  | CUSIP: 01F0124C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -50000 | PA      | $-43699.39    | -0.51%            | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 11/15/2032                                                                     | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    127000 | PA      | $131960.94    | 1.55%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                       | INVITATION HOMES OPERATING PARTNERSHIP LP 2% 08/15/2031                                         | CUSIP: 46188BAA0<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     14000 | PA      | $10363.89     | 0.12%             | 2031-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2.5% 12/01/2052 #TBA                                                                    | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $43868.83     | 0.51%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                         | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                   | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95807 | PA      | $82534.96     | 0.97%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 12/01/2052 #TBA                                                                    | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $46385.74     | 0.54%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                            | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                            | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |     12000 | PA      | $8998.09      | 0.11%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.428% 03/15/2024 144A                                                           | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4854.79      | 0.06%             | 2024-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2302 | PA      | $2116.40      | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                | T-MOBILE USA INC 4.5% 04/15/2050                                                                | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     82000 | PA      | $69263.92     | 0.81%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                 | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |     50000 | PA      | $39543.06     | 0.46%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 4.054% 03/15/2029 144A                                                           | CUSIP: 55903VAJ2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1751.46      | 0.02%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                              | ENERGY TRANSFER LP 4.95% 06/15/2028                                                             | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38693.47     | 0.45%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 3.95% 07/15/2030 144A                                                                  | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43775.00     | 0.51%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                             | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                            | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    101000 | PA      | $68750.70     | 0.81%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                                      | CORPORATE OFFICE PPTYS LP 2.75% 04/15/2031                                                      | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1511.16      | 0.02%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 04/01/2051#MA4305                                                                  | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45629 | PA      | $37677.29     | 0.44%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                       | BOEING CO 5.15% 05/01/2030                                                                      | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $78050.48     | 0.91%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                     | AVOLON HOLDINGS FUNDING LTD 3.95% 07/01/2024 144A                                               | CUSIP: 05401AAF8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     68000 | PA      | $64759.51     | 0.76%             | 2024-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.375% 05/15/2051                                                   | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    913000 | PA      | $678972.43    | 7.95%             | 2051-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMER TR 2021-ESH                                                  | EXTENDED STAY AMER TR 2021-ESH D 1ML+225 07/15/2038 144A                                        | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97619 | PA      | $92480.05     | 1.08%             | 2038-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 8% 11/01/2031                                                                     | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     31000 | PA      | $33255.69     | 0.39%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                        | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                 | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4705.79      | 0.06%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BPR TRUST 2021-TY                                                               | BPR TRUST 2021-TY TSFR1M+174.77 04/15/2024 144A                                                 | CUSIP: 05592DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000 | PA      | $14595.82     | 0.17%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.25% 04/30/2028                                                                      | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    110100 | PA      | $96350.40     | 1.13%             | 2028-04-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                              | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                 | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81789.74     | 0.96%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                                      | CIGNA CORP 4.8% 08/15/2038                                                                      | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |     80000 | PA      | $75479.14     | 0.88%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                                                          | DISCOVER FINANCIAL SVS 6.7% 11/29/2032                                                          | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |      2000 | PA      | $2034.60      | 0.02%             | 2032-11-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.45% 07/15/2028                                                                   | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     13000 | PA      | $10932.72     | 0.13%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                        | GENERAL MTRS FINL CO INC 4% 01/15/2025                                                          | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     36000 | PA      | $35032.51     | 0.41%             | 2025-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                     | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                   | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    113000 | PA      | $93931.25     | 1.10%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 3.5% 11/01/2045#AS6262                                                                | CUSIP: 3138WF5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78025 | PA      | $73389.54     | 0.86%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.75% 04/01/2032                                                                  | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1821.82      | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                          | CEDAR FUNDING LTD 2022 TSFR3M+132 04/20/2035 144A                                               | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    100000 | PA      | $96069.30     | 1.12%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 1.875% 02/28/2027                                                                     | CUSIP: 91282CEC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     37600 | PA      | $34627.25     | 0.41%             | 2027-02-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                                       | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.073/VAR 05/22/2028                                            | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $177057.04    | 2.07%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                      | EATON VANCE CLO 2020-2 LTD 3ML+114 01/15/2035 144A                                              | CUSIP: 27829PAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97034.00     | 1.14%             | 2035-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                               | DELL INTL/EMC CORP 6.2% 07/15/2030                                                              | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $30849.74     | 0.36%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.8% 04/01/2031 | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     99000 | PA      | $78335.04     | 0.92%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 4.3% 04/15/2052                                                        | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1483.71      | 0.02%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                    | BROADCOM INC 2.45% 02/15/2031 144A                                                              | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     48000 | PA      | $37870.29     | 0.44%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                            | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                            | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |     42000 | PA      | $33607.66     | 0.39%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP SOFR 4.985%/VAR 07/24/2026                                           | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5947.61      | 0.07%             | 2026-07-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 01/01/2038 #TBA                                                                  | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $43767.75     | 0.51%             | 2038-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                           | JPMORGAN CHASE and CO 4.493%/VAR 03/24/2031                                                     | CUSIP: 46647PBJ4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     72000 | PA      | $68264.27     | 0.80%             | 2031-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-SOAR                                                                    | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9495 | PA      | $9224.04      | 0.11%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 5.05% 03/15/2042 144A                                                            | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2401.64      | 0.03%             | 2042-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                      | CAPITAL ONE FINANCIAL CORP 3.8% 01/31/2028                                                      | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     68000 | PA      | $63534.25     | 0.74%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                               | SREIT TR 2021-MFP D 1ML+157.82 11/15/2038 144A                                                  | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $93985.54     | 1.10%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.75% 02/15/2028                                                             | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6598.62      | 0.08%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                   | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                             | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3159.55      | 0.04%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                    | Fidelity Cash Central Fund                                                                      | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |    959267 | NS      | $959458.79    | 11.23%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP INC                                                                   | CITIGROUP INC 4.45% 09/29/2027                                                                  | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    152000 | PA      | $146397.38    | 1.71%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 3.35% 04/01/2027                                                                  | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1897.93      | 0.02%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                     | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                               | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3917.62      | 0.05%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 1.5% 12/01/2052 #TBA                                                                  | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25000 | PA      | $19420.03     | 0.23%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 4.4% 04/05/2052 144A                                                   | CUSIP: 21871XAL3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1607.54      | 0.02%             | 2052-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                               | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                  | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9495 | PA      | $9076.90      | 0.11%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41428.07     | 0.49%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 5.141% 03/15/2052 144A                                                           | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1549.72      | 0.02%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2% 12/01/2052 #TBA                                                                    | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $82243.75     | 0.96%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                            | TANGER PROPERTIES LP 3.875% 07/15/2027                                                          | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45446.06     | 0.53%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                  | DEUTSCHE BANK AG NEW YORK BNCH 4.1% 01/13/2026                                                  | CUSIP: 251526BZ1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95395.40     | 1.12%             | 2026-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                      | UNUM GROUP 4% 06/15/2029                                                                        | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |     36000 | PA      | $32659.02     | 0.38%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                        | AMERICAN HOMES 4 RENT LP 3.375% 07/15/2051                                                      | CUSIP: 02666TAD9<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1278.45      | 0.01%             | 2051-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 2.625% 08/01/2031                                                                  | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3931.10      | 0.05%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VIATRIS INC                                                                     | VIATRIS INC 2.7% 06/22/2030                                                                     | CUSIP: 92556VAD8<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     36000 | PA      | $28715.34     | 0.34%             | 2030-06-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                    | AT and T INC 4.3% 02/15/2030                                                                    | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     90000 | PA      | $85508.68     | 1.00%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 4% 12/01/2052 #TBA                                                                    | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     25000 | PA      | $23656.25     | 0.28%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                        | AES CORP 2.45% 01/15/2031                                                                       | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2383.85      | 0.03%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                  | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                        | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    179939 | PA      | $135967.57    | 1.59%             | 2038-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                      | FNMA 30YR 2% 01/01/2052#FS0286                                                                  | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33068 | PA      | $27357.56     | 0.32%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 30YR 2.5% 12/01/2052 #TBA                                                                  | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     75000 | PA      | $64089.84     | 0.75%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                          | MARVELL TECHNOLOGY INC 2.95% 04/15/2031                                                         | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38000 | PA      | $31050.35     | 0.36%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                    | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                    | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6224.45      | 0.07%             | 2031-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                        | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032 144A                                                   | CUSIP: 21871XAG4<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2645.42      | 0.03%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                  | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                 | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3666.21      | 0.04%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                      | HUMANA INC 3.7% 03/23/2029                                                                      | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2762.62      | 0.03%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 2% 01/01/2053 #TBA                                                                      | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $42494.45     | 0.50%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.5% 02/28/2026                                                                       | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    172000 | PA      | $153570.47    | 1.80%             | 2026-02-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                      | SYSCO CORP 6.6% 04/01/2050                                                                      | CUSIP: 871829BN6<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |     38000 | PA      | $42392.75     | 0.50%             | 2050-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                | CENTENE CORP 4.625% 12/15/2029                                                                  | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     90000 | PA      | $83685.15     | 0.98%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                               | ARES CAPITAL CORP 3.875% 01/15/2026                                                             | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     88000 | PA      | $80920.81     | 0.95%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                   | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40648 | PA      | $35240.85     | 0.41%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.45% 04/01/2062                                                                  | CUSIP: 548661EF0<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8083.21      | 0.09%             | 2062-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                   | LOWES COS INC 4.25% 04/01/2052                                                                  | CUSIP: 548661EJ2<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8162.56      | 0.10%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                            | UMBS 15YR 1.5% 12/01/2037 #TBA                                                                  | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $87398.78     | 1.02%             | 2037-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LENNAR CORP                                                                     | LENNAR CORP 4.75% 11/29/2027                                                                    | CUSIP: 526057CD4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     88000 | PA      | $84236.93     | 0.99%             | 2027-11-29      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                     | ORACLE CORP 3.6% 04/01/2040                                                                     | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37549.15     | 0.44%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 2.875% 05/15/2032                                                                     | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    537000 | PA      | $503353.59    | 5.89%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 0.125% 02/28/2023                                                                     | CUSIP: 91282CBN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $49476.08     | 0.58%             | 2023-02-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                       | UST NOTES 4.125% 09/30/2027                                                                     | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    540000 | PA      | $546581.25    | 6.40%             | 2027-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                                  | MAGALLANES INC 3.755% 03/15/2027 144A                                                           | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      6000 | PA      | $5467.70      | 0.06%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                  | BLACKSTONE PRIVATE CREDIT FUND 7.05% 09/29/2025 144A                                            | CUSIP: 09261HAY3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |      8000 | PA      | $8015.94      | 0.09%             | 2025-09-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 01/01/2053 #TBA                                                                    | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $46409.18     | 0.54%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                       | FLATIRON CLO 20 LTD / LLC 3ML+130 11/20/2033 144A                                               | CUSIP: 33883MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000 | PA      | $97321.40     | 1.14%             | 2033-11-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC                              | JBS USA LUX SA / JBS FOOD CO / JBS USA FINANCE INC 5.125% 02/01/2028 144A                       | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4767.91      | 0.06%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                              | ALLY FINL INC 2.2% 11/02/2028                                                                   | CUSIP: 02005NBP4<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     11000 | PA      | $8784.77      | 0.10%             | 2028-11-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3% 11/20/2050#MA6996                                                                    | CUSIP: 36179VXZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26501 | PA      | $24101.12     | 0.28%             | 2050-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                                     | GSMS 2021-IP B 1ML+170 10/15/2036 144A                                                          | CUSIP: 36262MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $91646.14     | 1.07%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                              | VICI PROPERTIES LP 4.95% 02/15/2030                                                             | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |      7000 | PA      | $6617.47      | 0.08%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                       | GNII II 3.5% 11/20/2050#MA6997                                                                  | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30869 | PA      | $28923.93     | 0.34%             | 2050-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                       | HESS CORP 4.3% 04/01/2027                                                                       | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |     47000 | PA      | $45177.09     | 0.53%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer