# EDGAR Filing Document

**Accession Number:** 0001562565
**File Stem:** 0000035402-26-002545
**Filing Date:** 2026-4
**Character Count:** 29525
**Document Hash:** 16916e9cbad1ebcc81fc19b7bc001c76
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-002545.hdr.sgml**: 20260424

**ACCESSION NUMBER**: 0000035402-26-002545

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260228

**FILED AS OF DATE**: 20260424

**DATE AS OF CHANGE**: 20260424

**PERIOD START**: 20260831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Merrimack Street Trust
- **CENTRAL INDEX KEY:** 0001562565

**ORGANIZATION NAME:**
- **EIN:** 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:** 26895327

**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 AAA CLO ETF (Series ID: S000099377)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000269153 | Fidelity AAA CLO ETF | FAAA            |

## 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 AAA CLO ETF

- **b. EDGAR series identifier (if any):** S000099377

- **c. LEI of Series:** 254900SOB5NOSDO1LK02

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

- **a. Date of fiscal year-end:** 2026-08-31

- **b. Date as of which information is reported:** 2026-02-28

**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:** $20290283.81

**Total Liabilities:** $296800.00

**Net Assets:** $19993483.81

**Cash Not Reported:** $118.10

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 23.31274076 | **1-Year:** 686.94183312 | **5-Year:** 6348.09076694 | **10-Year:** 1063.14956015 | **30-Year:** 0.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000269153 |  |  |  |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  |  |  |
| Month 2  |  |  |
| Month 3  | $0.00                    | $-2893.98                                  |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                    | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   2599442 | NS      | $2599961.98   | 13.00%            |  |  |  | No            |                  1 | On Loan: No      |
| VOYA CLO 2019-3 LTD                                         | VOYA CLO 2019-3 LTD AR TSFR3M+134.161 10/17/2032 144A                         | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    294563 | PA      | $295428.09    | 1.48%             | 2032-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-3 LTD                                   | INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A                        | CUSIP: 46148HAB4<br>LEI: 254900GU4U8LUX3GA959 | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $501398.00    | 2.51%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO III LTD                                         | ELMWOOD CLO III LTD A1RR TSFR3M+138 07/18/2037 144A                           | CUSIP: 29002HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250553.75    | 1.25%             | 2037-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2017-2 LTD                                   | CARLYLE US CLO 2017-2 LTD AR2 TSFR3M+149 07/20/2037 144A                      | CUSIP: 14315JBA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250175.00    | 1.25%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                    | OAK HILL CREDIT PARTNERS AR TSFR3M+135 07/20/2037 144A                        | CUSIP: 67116CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    500000 | PA      | $500513.00    | 2.50%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                            | AIMCO CLO 11 LTD A1R2 TSFR3M+134 07/17/2037 144A                              | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250788.00    | 1.25%             | 2037-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-18 LTD / OCP CLO 2020-18 LLC                   | OCP CLO 2020-18 LTD / OCP CLO 2020-18 LLC A1R2 TSFR3M+137 07/20/2037 144A     | CUSIP: 671078AW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250819.25    | 1.25%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RR 32 LTD / RR 32 LLC                                       | RR 32 LTD / RR 32 LLC A1R TSFR3M+136 10/15/2039 144A                          | CUSIP: 74988CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250797.50    | 1.25%             | 2039-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2018-II LTD                                    | CIFC FUNDING 2018-II LTD A1R TSFR3M+137 10/20/2037 144A                       | CUSIP: 17180WAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250829.50    | 1.25%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGL CORE CLO 4 LTD / AGL CORE CLO 4 LLC                     | AGL CORE CLO 4 LTD / AGL CORE CLO 4 LLC AR2 TSFR3M+138 10/20/2037 144A        | CUSIP: 001199AQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250838.50    | 1.25%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A               | HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A    | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250854.75    | 1.25%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC                   | FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A        | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $251045.25    | 1.26%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RRAM 2022-24A                                               | RRAM 2022-24A A1A2 TSFR3M+131 01/15/2037 144A                                 | CUSIP: 75000HBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    250000 | PA      | $250722.75    | 1.25%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 59 LTD                   | NEUBERGER BERMAN LOAN ADVISERS CLO 59 LTD A1 TSFR3M+129 01/23/2039 144A       | CUSIP: 640962AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250869.75    | 1.25%             | 2039-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-A / AIMCO CLO SER 2018-A LLC             | AIMCO CLO SER 2018-A / AIMCO CLO SER 2018-A LLC AR TSFR3M+131 10/17/2037 144A | CUSIP: 00900GAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250785.25    | 1.25%             | 2037-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO LTD                                             | OAKTREE CLO LTD A1R TSFR3M+135 01/15/2038 144A                                | CUSIP: 67402JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501984.00    | 2.51%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLII LTD                                          | MAGNETITE XLII LTD A1 TSFR3M+131 01/25/2038 144A                              | CUSIP: 55955XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250814.75    | 1.25%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVI LTD / MAGNETITE XXVI LLC                     | MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A        | CUSIP: 55954YAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500527.50    | 2.50%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 23 LTD                                            | AIMCO CLO 23 LTD A TSFR3M+113 04/20/2038 144A                                 | CUSIP: 00901JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    542350 | PA      | $542212.79    | 2.71%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2018-15 LTD                                         | OCP CLO 2018-15 LTD AR TSFR3M+125 01/20/2038 144A                             | CUSIP: 67112KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250794.00    | 1.25%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RR 36 LTD / RR 36 LLC                                       | RR 36 LTD / RR 36 LLC A1R TSFR3M+129 01/15/2040 144A                          | CUSIP: 74989AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $501981.00    | 2.51%             | 2040-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLATIRON RR CLO 22 LLC                                      | FLATIRON RR CLO 22 LLC AR TSFR3M+91 10/15/2034 144A                           | CUSIP: 33883QAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    250000 | PA      | $249875.00    | 1.25%             | 2034-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BBAM US CLO I LTD                                           | BBAM US CLO I LTD AR TSFR3M+120 03/30/2038 144A                               | CUSIP: 054978AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249621.25    | 1.25%             | 2038-03-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2021-21 LTD                                         | OCP CLO 2021-21 LTD AR TSFR3M+118 01/20/2038 144A                             | CUSIP: 671000AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250174.00    | 1.25%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES LOAN FUNDING VIII LTD                                  | ARES LOAN FUNDING VIII LTD A1 TSFR3M+125 01/24/2038 144A                      | CUSIP: 04021MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $752111.25    | 3.76%             | 2038-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                   | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                        | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 1.25%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OAKTREE CLO 2020-1 LTD                                      | OAKTREE CLO 2020-1 LTD ARR TSFR3M+119 01/15/2038 144A                         | CUSIP: 67402FAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500426.00    | 2.50%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FLAT 2025-30A                                               | FLAT 2025-30A A1 TSFR3M+116 04/15/2038 144A                                   | CUSIP: 33882MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 1.25%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCTAGON 75 LTD                                              | OCTAGON 75 LTD A1 TSFR3M+120 01/22/2038 144A                                  | CUSIP: 67579EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250000.00    | 1.25%             | 2038-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-19 LTD / OCP CLO 2020-19 LLC                   | OCP CLO 2020-19 LTD / OCP CLO 2020-19 LLC A1R2 TSFR3M+118 04/20/2038 144A     | CUSIP: 670881AU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250173.50    | 1.25%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2021-2 LTD                                         | VOYA CLO 2021-2 LTD A1R TSFR3M+117 04/20/2038 144A                            | CUSIP: 92919AAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250247.50    | 1.25%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BRYANT PARK FUNDING 2023-19 LTD                             | BRYANT PARK FUNDING 2023-19 LTD A1R TSFR3M+120 04/15/2038 144A                | CUSIP: 11765AAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    320000 | PA      | $319358.08    | 1.60%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGATTA 31 FUNDING LTD 25-1A                                | REGATTA 31 FUNDING LTD 25-1A A1 TSFR3M+117 03/25/2038 144A                    | CUSIP: 758962AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250102.50    | 1.25%             | 2038-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLINGTON MANAGEMENT CLO 4 LTD                             | WELLINGTON MANAGEMENT CLO 4 LTD A TSFR3M+ 04/18/2038 144A                     | CUSIP: 94957LAA7<br>LEI: 213800VJVBC3KZIDZU56 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249973.00    | 1.25%             | 2038-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD                                    | MADISON PARK FUNDING LTD A1R TSFR3M+140 07/21/2038 144A                       | CUSIP: 55817GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251341.50    | 1.26%             | 2038-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS LTD                                | OAK HILL CREDIT PARTNERS 15RA A TSFR3M+129 07/20/2038 144A                    | CUSIP: 67121NAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $502434.00    | 2.51%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WONDER LAKE PARK CLO LTD                                    | WONDER LAKE PARK CLO LTD 2025-1A A TSFR3M+129 07/24/2038 144A                 | CUSIP: 97816WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250811.25    | 1.25%             | 2038-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| TEXAS DEBT CAPITAL CLO 2023-I LTD                           | TEXAS DEBT CAPITAL CLO 2023-1A A1R TSFR3M+130 07/20/2038 144A                 | CUSIP: 88238CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    387000 | PA      | $387554.96    | 1.94%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGL CLO 19 LTD                                              | AGL CLO 19 LTD 22-19A A1R TSFR3M+130 07/21/2038 144A                          | CUSIP: 001210AQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250911.50    | 1.25%             | 2038-07-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGATTA 34 FUNDING LTD                                      | REGATTA 34 FUNDING LTD A1 TSFR3M+ 07/20/2038 144A                             | CUSIP: 75904BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251429.50    | 1.26%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XX LTD                          | BENEFIT STREET PARTNERS CLO XX LTD ARR TSFR3M+129 07/15/2037 144A             | CUSIP: 08182FAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $499999.00    | 2.50%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2021-3 LTD                                | PALMER SQUARE CLO 2021-3 LTD A1R TSFR3M+ 10/15/2038 144A                      | CUSIP: 69688FAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $251099.50    | 1.26%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BSP 2025-41A                                                | BENEFIT STREET PARTNERS CLO 41 LTD A TSFR3M+ 07/25/2038 144A                  | CUSIP: 08186GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250635.50    | 1.25%             | 2038-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO 2025-3 LTD / PALMER SQUARE CLO 2025-3 LLC | PALMER SQUARE CLO 2025-3A A TSFR3M+130 07/20/2037 144A                        | CUSIP: 69704GAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250974.50    | 1.26%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO LTD                                       | PALMER SQUARE CLO LTD A1R TSFR3M+ 10/20/2038 144A                             | CUSIP: 69689QAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250858.00    | 1.25%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES                            | CARLYLE GLOBAL MARKET STRATEGIES A1R TSFR3M+ 10/15/2038 144A                  | CUSIP: 14318FAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250498.50    | 1.25%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AGL CLO 44 LTD                                              | AGL CLO 44 LTD A TSFR3M+115 10/22/2037 144A                                   | CUSIP: 00121RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250313.50    | 1.25%             | 2037-10-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WARWICK CAPITAL CLO 7 LTD                                   | WARWICK CAPITAL CLO 7 LTD A1 TSFR3M+130 10/21/2038 144A                       | CUSIP: 93656JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250655.75    | 1.25%             | 2038-10-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO                                                  | APIDOS CLO A1R TSFR3M+120 10/24/2038 144A                                     | CUSIP: 03770RAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250499.00    | 1.25%             | 2038-10-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAP CLO 5 LTD / LLC                                | DIAMETER CAP CLO 5 LTD / LLC A1R TSFR3M+ 01/15/2039 144A                      | CUSIP: 25255RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249823.25    | 1.25%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2025-VIII LTD                                  | CIFC FUNDING 2025-VIII LTD A1 TSFR3M+ 01/24/2039 144A                         | CUSIP: 12576CAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250409.50    | 1.25%             | 2039-01-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 4 LTD                                  | DIAMETER CAPITAL CLO 22-4A ARR TSFR3M+123 01/15/2039 144A                     | CUSIP: 25255NBC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $249850.00    | 1.25%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                         | MAGNETITE XXIII LTD AR2 TSFR3M+99 01/25/2035 144A                             | CUSIP: 55954NAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250215.50    | 1.25%             | 2035-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING LTD                                    | MADISON PARK FUNDING LTD AR TSFR3M+122 01/20/2039 144A                        | CUSIP: 55822NAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    250000 | PA      | $250437.00    | 1.25%             | 2039-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REGATTA XXII FUNDING LTD                                    | REGATTA XXII FUNDING LTD A1R2 TSFR3M+126 01/15/2039 144A                      | CUSIP: 758968AY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250749.25    | 1.25%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 25-55A                                           | APIDOS CLO 2025-55A A1 TSFR3M+121 01/20/2039 144A                             | CUSIP: 03771VAA0<br>LEI: 254900Z4DQDC7AU0J989 | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250732.25    | 1.25%             | 2039-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PSTAT 2024-1A                                               | PSTAT 2024-1A A2RTSFR3M+ 01/15/2035 144A                                      | CUSIP: 69703NAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $250044.50    | 1.25%             | 2032-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| RR 25 LTD                                                   | RR LTD 2023-25A A1A2 TSFR3M+118 04/15/2041 144A                               | CUSIP: 75000KAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    250000 | PA      | $249998.75    | 1.25%             | 2041-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer