# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0001752724-23-014672
**Filing Date:** 2023-1
**Character Count:** 211983
**Document Hash:** 3075833f32465cc0ca69294cf2a8a217
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014672.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014672

**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 SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0430

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02105
- **FILM NUMBER:** 23556515

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FIXED INCOME TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY FLEXIBLE BOND FUND
- **DATE OF NAME CHANGE:** 19860904

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY CORPORATE BOND FUND INC
- **DATE OF NAME CHANGE:** 19851225

## Series and Classes Contracts Data

### Fidelity SAI Sustainable Core Plus Bond Fund (Series ID: S000075889)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000235214 | Fidelity SAI Sustainable Core Plus Bond Fund | FIABX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **SAI Sustainable Core Plus Bond Fund**

**November 30, 2022**

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

SSU-NPRT1-0123

1.9904896.100 ---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Corporate Bonds - 46.5%** | &nbsp;&nbsp;**Corporate Bonds - 46.5%** | &nbsp;&nbsp;**Corporate Bonds - 46.5%** | &nbsp;&nbsp;**Corporate Bonds - 46.5%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Convertible Bonds - 0.1%  |  |  |  |
| COMMUNICATION SERVICES - 0.1% |  |  |  |
| Media - 0.1% |  |  |  |
| DISH Network Corp. 3.375% 8/15/26  |  | 32000 | 20720 |
| CONSUMER DISCRETIONARY - 0.0% |  |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |  |
| DraftKings, Inc. 0% 3/15/28  |  | 4000 | 2552 |
| HEALTH CARE - 0.0% |  |  |  |
| Health Care Providers & Services - 0.0% |  |  |  |
| Oak Street Health, Inc. 0% 3/15/26  |  | 2000 | 1535 |
| REAL ESTATE - 0.0% |  |  |  |
| Real Estate Management & Development - 0.0% |  |  |  |
| Redfin Corp. 0.5% 4/1/27  |  | 16000 | 6560 |
| TOTAL CONVERTIBLE BONDS |  |  | 31367 |
| Nonconvertible Bonds - 46.4%  |  |  |  |
| COMMUNICATION SERVICES - 4.1% |  |  |  |
| Diversified Telecommunication Services - 1.8% |  |  |  |
| Altice France SA 5.125% 7/15/29 (b) |  | 10000 | 7757 |
| Frontier Communications Holdings LLC 8.75% 5/15/30 (b) |  | 10000 | 10345 |
| Level 3 Financing, Inc. 3.75% 7/15/29 (b) |  | 46000 | 33266 |
| TELUS Corp. 3.4% 5/13/32  |  | 130000 | 112227 |
| Verizon Communications, Inc.: |  |  |  |
|  2.355% 3/15/32 |  | 70000 | 56191 |
|  3.875% 3/1/52 |  | 270000 | 209599 |
| Virgin Media Finance PLC 5% 7/15/30 (b) |  | 8000 | 6522 |
| Zayo Group Holdings, Inc. 6.125% 3/1/28 (b) |  | 18000 | 9765 |
|  |  |  | 445672 |
| Entertainment - 0.5% |  |  |  |
| The Walt Disney Co. 2.65% 1/13/31  |  | 140000 | 120460 |
| Media - 1.3% |  |  |  |
| Altice Financing SA 5.75% 8/15/29 (b) |  | 29000 | 23715 |
| Altice France Holding SA 6% 2/15/28 (b) |  | 32000 | 21480 |
| CCO Holdings LLC/CCO Holdings Capital Corp.: |  |  |  |
|  4.25% 1/15/34(b) |  | 10000 | 7790 |
|  4.75% 2/1/32(b) |  | 42000 | 35123 |
| DIRECTV Financing LLC / DIRECTV Financing Co-Obligor, Inc. 5.875% 8/15/27 (b) |  | 10000 | 9176 |
| DISH DBS Corp. 5.75% 12/1/28 (b) |  | 2000 | 1622 |
| DISH Network Corp. 11.75% 11/15/27 (b) |  | 5000 | 5139 |
| Magallanes, Inc.: |  |  |  |
|  4.279% 3/15/32(b) |  | 135000 | 114615 |
|  5.141% 3/15/52(b) |  | 141000 | 109255 |
| TEGNA, Inc. 4.75% 3/15/26 (b) |  | 8000 | 7820 |
| UPC Broadband Finco BV 4.875% 7/15/31 (b) |  | 8000 | 6741 |
|  |  |  | 342476 |
| Wireless Telecommunication Services - 0.5% |  |  |  |
| Millicom International Cellular SA 4.5% 4/27/31 (b) |  | 13000 | 10632 |
| Rogers Communications, Inc.: |  |  |  |
|  3.2% 3/15/27(b) |  | 60000 | 55988 |
|  4.55% 3/15/52(b) |  | 70000 | 56976 |
|  |  |  | 123596 |
| TOTAL COMMUNICATION SERVICES |  |  | 1032204 |
| CONSUMER DISCRETIONARY - 4.3% |  |  |  |
| Auto Components - 0.1% |  |  |  |
| Patrick Industries, Inc. 4.75% 5/1/29 (b) |  | 12000 | 9420 |
| Automobiles - 0.2% |  |  |  |
| General Motors Co. 5.4% 10/15/29  |  | 40000 | 38599 |
| McLaren Finance PLC 7.5% 8/1/26 (b) |  | 4000 | 3233 |
| Rivian Holdco & Rivian LLC & Rivian Automotive LLC 6 month U.S. LIBOR + 5.620% 10.1636% 10/15/26 (b)(c)(d) |  | 18000 | 17370 |
|  |  |  | 59202 |
| Diversified Consumer Services - 0.3% |  |  |  |
| Adtalem Global Education, Inc. 5.5% 3/1/28 (b) |  | 10000 | 9300 |
| GEMS MENASA Cayman Ltd. 7.125% 7/31/26 (b) |  | 11000 | 10459 |
| Sotheby's 7.375% 10/15/27 (b) |  | 10000 | 9740 |
| StoneMor, Inc. 8.5% 5/15/29 (b) |  | 6000 | 4875 |
| WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (b) |  | 42000 | 39367 |
|  |  |  | 73741 |
| Hotels, Restaurants & Leisure - 0.6% |  |  |  |
| 1011778 BC Unlimited Liability Co./New Red Finance, Inc.: |  |  |  |
|  3.5% 2/15/29(b) |  | 13000 | 11084 |
|  4% 10/15/30(b) |  | 5000 | 4211 |
| Constellation Merger Sub, Inc. 8.5% 9/15/25 (b) |  | 8000 | 7049 |
| Hilton Domestic Operating Co., Inc. 3.625% 2/15/32 (b) |  | 26000 | 21406 |
| Life Time, Inc. 8% 4/15/26 (b) |  | 10000 | 9030 |
| MajorDrive Holdings IV LLC 6.375% 6/1/29 (b) |  | 12000 | 9360 |
| Royal Caribbean Cruises Ltd. 5.5% 4/1/28 (b) |  | 24000 | 19590 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) |  | 30000 | 27483 |
| Yum! Brands, Inc. 4.625% 1/31/32  |  | 34000 | 29917 |
|  |  |  | 139130 |
| Household Durables - 0.3% |  |  |  |
| The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)  | GBP | 100000 | 80361 |
| Internet & Direct Marketing Retail - 0.3% |  |  |  |
| Match Group Holdings II LLC 4.625% 6/1/28 (b) |  | 10000 | 8944 |
| Uber Technologies, Inc.: |  |  |  |
|  4.5% 8/15/29(b) |  | 65000 | 56584 |
|  8% 11/1/26(b) |  | 2000 | 2023 |
|  |  |  | 67551 |
| Multiline Retail - 0.0% |  |  |  |
| Macy's Retail Holdings LLC 5.875% 4/1/29 (b) |  | 3000 | 2790 |
| Nordstrom, Inc. 4.375% 4/1/30  |  | 6000 | 4818 |
|  |  |  | 7608 |
| Specialty Retail - 2.0% |  |  |  |
| At Home Group, Inc. 4.875% 7/15/28 (b) |  | 8000 | 5820 |
| Bath & Body Works, Inc. 6.95% 3/1/33  |  | 8000 | 6938 |
| Carvana Co. 4.875% 9/1/29 (b) |  | 30000 | 10025 |
| LBM Acquisition LLC 6.25% 1/15/29 (b) |  | 10000 | 6888 |
| Lowe's Companies, Inc.: |  |  |  |
|  3.75% 4/1/32 |  | 130000 | 118418 |
|  4.25% 4/1/52 |  | 130000 | 106113 |
| Michaels Companies, Inc. 5.25% 5/1/28 (b) |  | 24000 | 17578 |
| Rent-A-Center, Inc. 6.375% 2/15/29 (b) |  | 8000 | 6580 |
| The Home Depot, Inc. 3.25% 4/15/32  |  | 130000 | 117330 |
| TJX Companies, Inc. 3.875% 4/15/30  |  | 120000 | 113314 |
| Victoria's Secret & Co. 4.625% 7/15/29 (b) |  | 8000 | 6752 |
|  |  |  | 515756 |
| Textiles, Apparel & Luxury Goods - 0.5% |  |  |  |
| Crocs, Inc. 4.125% 8/15/31 (b) |  | 18000 | 14383 |
| Hanesbrands, Inc. 4.625% 5/15/24 (b) |  | 10000 | 9700 |
| Tapestry, Inc. 3.05% 3/15/32  |  | 140000 | 108330 |
|  |  |  | 132413 |
| TOTAL CONSUMER DISCRETIONARY |  |  | 1085182 |
| CONSUMER STAPLES - 1.5% |  |  |  |
| Beverages - 0.0% |  |  |  |
| Triton Water Holdings, Inc. 6.25% 4/1/29 (b) |  | 12000 | 9339 |
| Food & Staples Retailing - 0.5% |  |  |  |
| Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: |  |  |  |
|  3.25% 3/15/26(b) |  | 12000 | 10894 |
|  4.875% 2/15/30(b) |  | 6000 | 5353 |
| Alimentation Couche-Tard, Inc. 3.625% 5/13/51 (b) |  | 150000 | 102808 |
| U.S. Foods, Inc. 4.625% 6/1/30 (b) |  | 8000 | 7099 |
|  |  |  | 126154 |
| Food Products - 1.0% |  |  |  |
| Darling Ingredients, Inc.: |  |  |  |
|  5.25% 4/15/27(b) |  | 3000 | 2904 |
|  6% 6/15/30(b) |  | 5000 | 4876 |
| General Mills, Inc. 2.25% 10/14/31  |  | 290000 | 236349 |
| Post Holdings, Inc. 4.5% 9/15/31 (b) |  | 10000 | 8522 |
| TreeHouse Foods, Inc. 4% 9/1/28  |  | 8000 | 6816 |
|  |  |  | 259467 |
| TOTAL CONSUMER STAPLES |  |  | 394960 |
| ENERGY - 1.2% |  |  |  |
| Energy Equipment & Services - 0.2% |  |  |  |
| Archrock Partners LP / Archrock Partners Finance Corp. 6.25% 4/1/28 (b) |  | 12000 | 11130 |
| CGG SA 8.75% 4/1/27 (b) |  | 18000 | 15139 |
| Oceaneering International, Inc. 6% 2/1/28  |  | 12000 | 10871 |
| Transocean Guardian Ltd. 5.875% 1/15/24 (b) |  | 11941 | 11632 |
| Transocean Sentry Ltd. 5.375% 5/15/23 (b) |  | 7938 | 7861 |
| Weatherford International Ltd. 8.625% 4/30/30 (b) |  | 8000 | 7672 |
|  |  |  | 64305 |
| Oil, Gas & Consumable Fuels - 1.0% |  |  |  |
| California Resources Corp. 7.125% 2/1/26 (b) |  | 26000 | 25285 |
| CNX Resources Corp.: |  |  |  |
|  6% 1/15/29(b) |  | 4000 | 3781 |
|  7.375% 1/15/31(b) |  | 5000 | 5003 |
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6% 2/1/29 (b) |  | 25000 | 23063 |
| CVR Energy, Inc. 5.25% 2/15/25 (b) |  | 37000 | 35465 |
| Energean PLC 6.5% 4/30/27 (b) |  | 10000 | 9200 |
| Global Partners LP/GLP Finance Corp. 6.875% 1/15/29  |  | 6000 | 5448 |
| Holly Energy Partners LP/Holly Energy Finance Corp. 5% 2/1/28 (b) |  | 10000 | 9112 |
| MEG Energy Corp. 5.875% 2/1/29 (b) |  | 30000 | 28470 |
| New Fortress Energy, Inc. 6.5% 9/30/26 (b) |  | 56000 | 54121 |
| Northern Oil & Gas, Inc. 8.125% 3/1/28 (b) |  | 8000 | 7811 |
| SM Energy Co. 6.5% 7/15/28  |  | 8000 | 7740 |
| Sunoco LP/Sunoco Finance Corp. 4.5% 5/15/29  |  | 14000 | 12122 |
| Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6% 3/1/27 (b) |  | 5000 | 4753 |
| Teine Energy Ltd. 6.875% 4/15/29 (b) |  | 18000 | 16290 |
|  |  |  | 247664 |
| TOTAL ENERGY |  |  | 311969 |
| FINANCIALS - 13.3% |  |  |  |
| Banks - 7.8% |  |  |  |
| AIB Group PLC 2.875% 5/30/31 (Reg. S) (c) | EUR | 100000 | 92919 |
| Banco Bilbao Vizcaya Argentaria SA 1% 1/16/30 (Reg. S) (c) | EUR | 100000 | 94060 |
| Bank of America Corp.: |  |  |  |
|  2.456% 10/22/25(c) |  | 260000 | 244636 |
|  2.687% 4/22/32(c) |  | 70000 | 56710 |
|  5.015% 7/22/33(c) |  | 148000 | 142882 |
|  6.204% 11/10/28(c) |  | 25000 | 25858 |
| Citigroup, Inc.: |  |  |  |
|  2.014% 1/25/26(c) |  | 260000 | 241396 |
|  4.91% 5/24/33(c) |  | 79000 | 75217 |
| ING Groep NV 1.4% 7/1/26 (b)(c) |  | 200000 | 178559 |
| Intesa Sanpaolo SpA 4% 9/23/29 (b) |  | 210000 | 182043 |
| JPMorgan Chase & Co.: |  |  |  |
|  0.768% 8/9/25(c) |  | 260000 | 239873 |
|  2.963% 1/25/33(c) |  | 70000 | 57713 |
|  4.586% 4/26/33(c) |  | 124000 | 116479 |
|  4.912% 7/25/33(c) |  | 26000 | 25072 |
| KBC Group NV 0.5% 12/3/29 (c) | EUR | 100000 | 93847 |
| NatWest Group PLC 2.057% 11/9/28 (Reg. S) (c) | GBP | 100000 | 99967 |
| Santander Holdings U.S.A., Inc. 5.807% 9/9/26 (c) |  | 31000 | 30865 |
|  |  |  | 1998096 |
| Capital Markets - 2.7% |  |  |  |
| Coinbase Global, Inc.: |  |  |  |
|  3.375% 10/1/28(b) |  | 8000 | 4676 |
|  3.625% 10/1/31(b) |  | 5000 | 2700 |
| Goldman Sachs Group, Inc.: |  |  |  |
|  3.102% 2/24/33(c) |  | 97000 | 80560 |
|  3.615% 3/15/28(c) |  | 130000 | 120904 |
| Hightower Holding LLC 6.75% 4/15/29 (b) |  | 10000 | 8295 |
| Morgan Stanley: |  |  |  |
|  0.864% 10/21/25(c) |  | 270000 | 246399 |
|  2.943% 1/21/33(c) |  | 70000 | 57323 |
|  4.889% 7/20/33(c) |  | 63000 | 60096 |
| State Street Corp. 3.031% 11/1/34 (c) |  | 130000 | 110093 |
| StoneX Group, Inc. 8.625% 6/15/25 (b) |  | 6000 | 6083 |
|  |  |  | 697129 |
| Consumer Finance - 0.6% |  |  |  |
| Ally Financial, Inc. 2.2% 11/2/28  |  | 140000 | 111806 |
| OneMain Finance Corp. 3.875% 9/15/28  |  | 46000 | 36496 |
|  |  |  | 148302 |
| Diversified Financial Services - 0.1% |  |  |  |
| Altus Midstream LP 5.875% 6/15/30 (b) |  | 10000 | 9397 |
| Enviva Partners LP / Enviva Partners Finance Corp. 6.5% 1/15/26 (b) |  | 6000 | 5720 |
|  |  |  | 15117 |
| Insurance - 2.1% |  |  |  |
| AIA Group Ltd. 3.375% 4/7/30 (b) |  | 200000 | 176561 |
| Equitable Financial Life Global Funding 1.3% 7/12/26 (b) |  | 200000 | 174844 |
| Marsh & McLennan Companies, Inc. 2.375% 12/15/31  |  | 210000 | 170514 |
|  |  |  | 521919 |
| Mortgage Real Estate Investment Trusts - 0.0% |  |  |  |
| Rithm Capital Corp. 6.25% 10/15/25 (b) |  | 8000 | 7223 |
| Thrifts & Mortgage Finance - 0.0% |  |  |  |
| Radian Group, Inc. 6.625% 3/15/25  |  | 8000 | 7921 |
| TOTAL FINANCIALS |  |  | 3395707 |
| HEALTH CARE - 3.9% |  |  |  |
| Biotechnology - 1.0% |  |  |  |
| Amgen, Inc. 3% 2/22/29  |  | 260000 | 235168 |
| Emergent BioSolutions, Inc. 3.875% 8/15/28 (b) |  | 10000 | 4500 |
|  |  |  | 239668 |
| Health Care Providers & Services - 1.6% |  |  |  |
| Akumin Escrow, Inc. 7.5% 8/1/28 (b) |  | 8000 | 5460 |
| Cano Health, Inc. 6.25% 10/1/28 (b) |  | 24000 | 12120 |
| Cigna Corp. 3.4% 3/15/51  |  | 150000 | 109323 |
| Community Health Systems, Inc.: |  |  |  |
|  4.75% 2/15/31(b) |  | 29000 | 21248 |
|  5.25% 5/15/30(b) |  | 15000 | 11439 |
|  6.875% 4/15/29(b) |  | 10000 | 5350 |
| DaVita HealthCare Partners, Inc. 3.75% 2/15/31 (b) |  | 11000 | 8085 |
| Encompass Health Corp. 4.625% 4/1/31  |  | 10000 | 8630 |
| HealthEquity, Inc. 4.5% 10/1/29 (b) |  | 18000 | 15770 |
| Horizon Pharma U.S.A., Inc. 5.5% 8/1/27 (b) |  | 8000 | 7940 |
| Humana, Inc. 3.7% 3/23/29  |  | 130000 | 119713 |
| Pediatrix Medical Group, Inc. 5.375% 2/15/30 (b) |  | 20000 | 16876 |
| RegionalCare Hospital Partners Holdings, Inc. 5.375% 1/15/29 (b) |  | 12000 | 7040 |
| Tenet Healthcare Corp.: |  |  |  |
|  4.375% 1/15/30(b) |  | 8000 | 6969 |
|  6.125% 10/1/28(b) |  | 40000 | 35300 |
|  6.125% 6/15/30(b) |  | 5000 | 4738 |
|  |  |  | 396001 |
| Health Care Technology - 0.0% |  |  |  |
| Athenahealth Group, Inc. 6.5% 2/15/30 (b) |  | 10000 | 7489 |
| Life Sciences Tools & Services - 0.1% |  |  |  |
| Charles River Laboratories International, Inc. 3.75% 3/15/29 (b) |  | 18000 | 15662 |
| Syneos Health, Inc. 3.625% 1/15/29 (b) |  | 12000 | 9487 |
|  |  |  | 25149 |
| Pharmaceuticals - 1.2% |  |  |  |
| AstraZeneca Finance LLC 1.75% 5/28/28  |  | 140000 | 121731 |
| Bristol-Myers Squibb Co. 2.95% 3/15/32  |  | 70000 | 61777 |
| Catalent Pharma Solutions 3.5% 4/1/30 (b) |  | 18000 | 14670 |
| HLF Financing SARL LLC / Herbalife International, Inc. 4.875% 6/1/29 (b) |  | 2000 | 1429 |
| Zoetis, Inc. 2% 5/15/30  |  | 140000 | 115343 |
|  |  |  | 314950 |
| TOTAL HEALTH CARE |  |  | 983257 |
| INDUSTRIALS - 2.6% |  |  |  |
| Aerospace & Defense - 0.2% |  |  |  |
| Bombardier, Inc. 6% 2/15/28 (b) |  | 27000 | 25318 |
| Howmet Aerospace, Inc. 3% 1/15/29  |  | 8000 | 6761 |
| Triumph Group, Inc. 8.875% 6/1/24 (b) |  | 10000 | 10225 |
|  |  |  | 42304 |
| Building Products - 0.5% |  |  |  |
| Carrier Global Corp. 2.493% 2/15/27  |  | 130000 | 118052 |
| Cornerstone Building Brands, Inc. 6.125% 1/15/29 (b) |  | 8000 | 5397 |
|  |  |  | 123449 |
| Commercial Services & Supplies - 0.3% |  |  |  |
| APX Group, Inc. 5.75% 7/15/29 (b) |  | 12000 | 10216 |
| Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) |  | 14000 | 11077 |
| Covanta Holding Corp. 4.875% 12/1/29 (b) |  | 27000 | 22815 |
| KAR Auction Services, Inc. 5.125% 6/1/25 (b) |  | 2000 | 1944 |
| Neptune BidCo U.S., Inc. 9.29% 4/15/29 (b) |  | 5000 | 4815 |
| Stericycle, Inc.: |  |  |  |
|  3.875% 1/15/29(b) |  | 24000 | 20880 |
|  5.375% 7/15/24(b) |  | 15000 | 14826 |
|  |  |  | 86573 |
| Construction & Engineering - 0.1% |  |  |  |
| AECOM 5.125% 3/15/27  |  | 12000 | 11675 |
| Pike Corp. 5.5% 9/1/28 (b) |  | 4000 | 3573 |
|  |  |  | 15248 |
| Electrical Equipment - 0.1% |  |  |  |
| Atkore, Inc. 4.25% 6/1/31 (b) |  | 8000 | 6740 |
| Sensata Technologies BV 4% 4/15/29 (b) |  | 8000 | 6957 |
|  |  |  | 13697 |
| Industrial Conglomerates - 0.4% |  |  |  |
| Honeywell International, Inc. 1.75% 9/1/31  |  | 140000 | 112296 |
| Machinery - 1.0% |  |  |  |
| Ingersoll-Rand Luxembourg Finance SA 3.8% 3/21/29  |  | 130000 | 120531 |
| Otis Worldwide Corp. 2.565% 2/15/30  |  | 140000 | 119300 |
|  |  |  | 239831 |
| Marine - 0.0% |  |  |  |
| Seaspan Corp. 5.5% 8/1/29 (b) |  | 10000 | 7699 |
| Professional Services - 0.0% |  |  |  |
| Dun & Bradstreet Corp. 5% 12/15/29 (b) |  | 8000 | 6883 |
| Road & Rail - 0.0% |  |  |  |
| Hertz Corp. 4.625% 12/1/26 (b) |  | 12000 | 10410 |
| Trading Companies & Distributors - 0.0% |  |  |  |
| Fortress Transportation & Infrastructure Investors LLC 5.5% 5/1/28 (b) |  | 12000 | 10440 |
| TOTAL INDUSTRIALS |  |  | 668830 |
| INFORMATION TECHNOLOGY - 2.2% |  |  |  |
| Communications Equipment - 0.1% |  |  |  |
| CommScope, Inc. 4.75% 9/1/29 (b) |  | 16000 | 13475 |
| HTA Group Ltd. 7% 12/18/25 (b) |  | 8000 | 7360 |
|  |  |  | 20835 |
| Electronic Equipment & Components - 0.5% |  |  |  |
| Coherent Corp. 5% 12/15/29 (b) |  | 10000 | 8825 |
| Dell International LLC/EMC Corp. 6.2% 7/15/30  |  | 110000 | 113116 |
|  |  |  | 121941 |
| IT Services - 0.2% |  |  |  |
| Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.5% 3/1/29 (b) |  | 28000 | 23662 |
| Tempo Acquisition LLC 5.75% 6/1/25 (b) |  | 6000 | 5924 |
| Twilio, Inc. 3.625% 3/15/29  |  | 18000 | 14850 |
| Virtusa Corp. 7.125% 12/15/28 (b) |  | 12000 | 9000 |
|  |  |  | 53436 |
| Semiconductors & Semiconductor Equipment - 1.1% |  |  |  |
| Broadcom, Inc. 2.6% 2/15/33 (b) |  | 10000 | 7556 |
| Entegris Escrow Corp. 5.95% 6/15/30 (b) |  | 20000 | 18681 |
| Entegris, Inc. 3.625% 5/1/29 (b) |  | 28000 | 23240 |
| Micron Technology, Inc. 2.703% 4/15/32  |  | 140000 | 108226 |
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc. 2.5% 5/11/31  |  | 140000 | 110889 |
| onsemi 3.875% 9/1/28 (b) |  | 12000 | 10640 |
|  |  |  | 279232 |
| Software - 0.3% |  |  |  |
| Black Knight InfoServ LLC 3.625% 9/1/28 (b) |  | 8000 | 7190 |
| Elastic NV 4.125% 7/15/29 (b) |  | 28000 | 22762 |
| NCR Corp. 6.125% 9/1/29 (b) |  | 15000 | 14550 |
| NortonLifeLock, Inc. 5% 4/15/25 (b) |  | 14000 | 13580 |
| Open Text Corp. 3.875% 12/1/29 (b) |  | 14000 | 11177 |
| Open Text Holdings, Inc.: |  |  |  |
|  4.125% 2/15/30(b) |  | 5000 | 4049 |
|  4.125% 12/1/31(b) |  | 1000 | 776 |
|  |  |  | 74084 |
| TOTAL INFORMATION TECHNOLOGY |  |  | 549528 |
| MATERIALS - 1.6% |  |  |  |
| Chemicals - 0.9% |  |  |  |
| International Flavors & Fragrances, Inc. 2.3% 11/1/30 (b) |  | 150000 | 117905 |
| Methanex Corp.: |  |  |  |
|  5.125% 10/15/27 |  | 10000 | 9175 |
|  5.65% 12/1/44 |  | 30000 | 22500 |
| NOVA Chemicals Corp.: |  |  |  |
|  4.875% 6/1/24(b) |  | 10000 | 9731 |
|  5.25% 6/1/27(b) |  | 10000 | 8976 |
| Nufarm Australia Ltd. 5% 1/27/30 (b) |  | 10000 | 8563 |
| Olympus Water U.S. Holding Corp. 6.25% 10/1/29 (b) |  | 14000 | 10102 |
| The Chemours Co. LLC 4.625% 11/15/29 (b) |  | 43000 | 34615 |
|  |  |  | 221567 |
| Construction Materials - 0.1% |  |  |  |
| Eco Material Technologies, Inc. 7.875% 1/31/27 (b) |  | 2000 | 1902 |
| VM Consolidated, Inc. 5.5% 4/15/29 (b) |  | 28000 | 24637 |
|  |  |  | 26539 |
| Containers & Packaging - 0.2% |  |  |  |
| Berry Global, Inc. 5.625% 7/15/27 (b) |  | 30000 | 29400 |
| Clydesdale Acquisition Holdings, Inc. 6.625% 4/15/29 (b) |  | 10000 | 9635 |
| Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26  |  | 10000 | 9684 |
|  |  |  | 48719 |
| Metals & Mining - 0.4% |  |  |  |
| ATI, Inc. 4.875% 10/1/29  |  | 12000 | 10229 |
| Coeur d'Alene Mines Corp. 5.125% 2/15/29 (b) |  | 6000 | 4672 |
| Eldorado Gold Corp. 6.25% 9/1/29 (b) |  | 10000 | 8313 |
| ERO Copper Corp. 6.5% 2/15/30 (b) |  | 22000 | 16954 |
| FMG Resources Pty Ltd. 6.125% 4/15/32 (b) |  | 20000 | 18298 |
| IAMGOLD Corp. 5.75% 10/15/28 (b) |  | 6000 | 4196 |
| Infrabuild Australia Pty Ltd. 12% 10/1/24 (b) |  | 8000 | 7768 |
| Mineral Resources Ltd. 8.5% 5/1/30 (b) |  | 24000 | 24322 |
|  |  |  | 94752 |
| Paper & Forest Products - 0.0% |  |  |  |
| Domtar Corp. 6.75% 10/1/28 (b) |  | 8000 | 6972 |
| Mercer International, Inc. 5.125% 2/1/29  |  | 10000 | 8585 |
|  |  |  | 15557 |
| TOTAL MATERIALS |  |  | 407134 |
| REAL ESTATE - 4.7% |  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 3.9% |  |  |  |
| Alexandria Real Estate Equities, Inc. 2% 5/18/32  |  | 220000 | 167747 |
| Boston Properties, Inc.: |  |  |  |
|  2.45% 10/1/33 |  | 220000 | 161606 |
|  6.75% 12/1/27 |  | 17000 | 17778 |
| Corporate Office Properties LP 2% 1/15/29  |  | 150000 | 116087 |
| Hudson Pacific Properties LP 5.95% 2/15/28  |  | 108000 | 102536 |
| MPT Operating Partnership LP/MPT Finance Corp.: |  |  |  |
|  4.625% 8/1/29 |  | 5000 | 3932 |
|  5% 10/15/27 |  | 48000 | 40982 |
| Prologis LP 2.875% 11/15/29  |  | 200000 | 174868 |
| SBA Communications Corp. 3.125% 2/1/29  |  | 12000 | 10018 |
| Uniti Group, Inc. 6% 1/15/30 (b) |  | 34000 | 24532 |
| WP Carey, Inc. 2.45% 2/1/32  |  | 220000 | 170403 |
|  |  |  | 990489 |
| Real Estate Management & Development - 0.8% |  |  |  |
| CBRE Group, Inc. 2.5% 4/1/31  |  | 140000 | 109984 |
| Howard Hughes Corp. 4.375% 2/1/31 (b) |  | 15000 | 12319 |
| Realogy Group LLC/Realogy Co.-Issuer Corp. 5.25% 4/15/30 (b) |  | 6000 | 4410 |
| Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.125% 8/1/30 (b) |  | 14000 | 12222 |
| Vonovia SE 0.625% 3/24/31 (Reg. S)  | EUR | 100000 | 75858 |
|  |  |  | 214793 |
| TOTAL REAL ESTATE |  |  | 1205282 |
| UTILITIES - 7.0% |  |  |  |
| Electric Utilities - 2.8% |  |  |  |
| Duke Energy Carolinas LLC 3.95% 11/15/28  |  | 170000 | 163678 |
| NextEra Energy Capital Holdings, Inc. 1.9% 6/15/28  |  | 130000 | 111492 |
| Northern States Power Co. 2.25% 4/1/31  |  | 210000 | 175859 |
| Oncor Electric Delivery Co. LLC 4.15% 6/1/32 (b) |  | 130000 | 124449 |
| PG&E Corp. 5% 7/1/28  |  | 10000 | 9226 |
| Wisconsin Electric Power Co. 4.75% 9/30/32  |  | 125000 | 123830 |
|  |  |  | 708534 |
| Independent Power and Renewable Electricity Producers - 1.5% |  |  |  |
| Atlantica Sustainable Infrastructure PLC 4.125% 6/15/28 (b) |  | 24000 | 21157 |
| Sunnova Energy Corp. 5.875% 9/1/26 (b) |  | 20000 | 17894 |
| TerraForm Global, Inc. 6.125% 3/1/26 (b) |  | 36000 | 33686 |
| TerraForm Power Operating LLC 4.75% 1/15/30 (b) |  | 8000 | 7200 |
| The AES Corp.: |  |  |  |
|  1.375% 1/15/26 |  | 140000 | 124369 |
|  2.45% 1/15/31 |  | 227000 | 180378 |
|  |  |  | 384684 |
| Multi-Utilities - 2.7% |  |  |  |
| Consolidated Edison Co. of New York, Inc. 3.35% 4/1/30  |  | 190000 | 171617 |
| Dominion Energy, Inc. 2.25% 8/15/31  |  | 220000 | 176129 |
| NiSource, Inc. 1.7% 2/15/31  |  | 230000 | 177255 |
| Puget Energy, Inc. 4.224% 3/15/32  |  | 190000 | 169520 |
|  |  |  | 694521 |
| TOTAL UTILITIES |  |  | 1787739 |
| TOTAL NONCONVERTIBLE BONDS |  |  | 11821792 |
| <br> **TOTAL CORPORATE BONDS**<br> (Cost $12,932,855) |  |  | <br> **11853159** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 21.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 21.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 21.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| U.S. Treasury Bills, yield at date of purchase 1.91% 4/20/23  | 2400000 | 2359312 |
| U.S. Treasury Bonds: |  |  |
|  2.25% 2/15/52  | 2410000 | 1740378 |
|  3.25% 5/15/42  | 100000 | 89828 |
|  3.375% 8/15/42  | 600000 | 548906 |
| U.S. Treasury Notes: |  |  |
|  2.5% 4/30/24  | 200000 | 194234 |
|  2.5% 3/31/27  | 50000 | 47217 |
|  4.125% 10/31/27  | 500000 | 506367 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $5,929,046) |  | **5486242** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 27.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 27.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 27.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Fannie Mae - 0.5%  |  |  |
| 2% 10/1/35  | 48061 | 43383 |
| 3% 5/1/52  | 48711 | 43173 |
| 4.5% 7/1/52  | 48987 | 48248 |
| TOTAL FANNIE MAE |  | 134804 |
| Freddie Mac - 0.5%  |  |  |
| 2.5% 12/1/51  | 98571 | 84487 |
| 5% 12/1/52  | 49990 | 50386 |
| TOTAL FREDDIE MAC |  | 134873 |
| Ginnie Mae - 6.2%  |  |  |
| 2% 2/20/51  | 24254 | 20720 |
| 2% 12/1/52 (e) | 50000 | 42455 |
| 2% 12/1/52 (e) | 25000 | 21228 |
| 2% 12/1/52 (e) | 50000 | 42455 |
| 2% 12/1/52 (e) | 100000 | 84911 |
| 2% 12/1/52 (e) | 75000 | 63683 |
| 2% 12/1/52 (e) | 50000 | 42455 |
| 2% 1/1/53 (e) | 50000 | 42494 |
| 2% 1/1/53 (e) | 50000 | 42494 |
| 2% 1/1/53 (e) | 50000 | 42494 |
| 2% 1/1/53 (e) | 100000 | 84989 |
| 2.5% 12/1/52 (e) | 50000 | 43869 |
| 2.5% 12/1/52 (e) | 100000 | 87738 |
| 2.5% 12/1/52 (e) | 50000 | 43869 |
| 2.5% 12/1/52 (e) | 150000 | 131606 |
| 2.5% 12/1/52 (e) | 50000 | 43869 |
| 2.5% 12/1/52 (e) | 50000 | 43869 |
| 2.5% 1/1/53 (e) | 100000 | 87812 |
| 2.5% 1/1/53 (e) | 50000 | 43906 |
| 2.5% 1/1/53 (e) | 50000 | 43906 |
| 2.5% 1/1/53 (e) | 50000 | 43906 |
| 2.5% 1/1/53 (e) | 25000 | 21953 |
| 2.5% 1/1/53 (e) | 50000 | 43906 |
| 3% 12/1/52 (e) | 50000 | 45097 |
| 3% 12/1/52 (e) | 50000 | 45097 |
| 3% 12/1/52 (e) | 50000 | 45097 |
| 3% 1/1/53 (e) | 50000 | 45128 |
| 3% 1/1/53 (e) | 50000 | 45128 |
| 3.5% 12/1/52 (e) | 50000 | 46386 |
| 3.5% 12/1/52 (e) | 50000 | 46386 |
| 3.5% 1/1/53 (e) | 50000 | 46409 |
| TOTAL GINNIE MAE |  | 1575315 |
| Uniform Mortgage Backed Securities - 19.9%  |  |  |
| 1.5% 12/1/52 (e) | 100000 | 77680 |
| 1.5% 12/1/52 (e) | 25000 | 19420 |
| 1.5% 1/1/53 (e) | 100000 | 77254 |
| 2% 12/1/37 (e) | 100000 | 89831 |
| 2% 12/1/37 (e) | 150000 | 134747 |
| 2% 12/1/37 (e) | 50000 | 44916 |
| 2% 12/1/37 (e) | 50000 | 44916 |
| 2% 1/1/38 (e) | 50000 | 44972 |
| 2% 1/1/38 (e) | 50000 | 44972 |
| 2% 1/1/38 (e) | 150000 | 134917 |
| 2% 12/1/52 (e) | 250000 | 205609 |
| 2% 12/1/52 (e) | 175000 | 143927 |
| 2% 12/1/52 (e) | 75000 | 61683 |
| 2% 12/1/52 (e) | 200000 | 164488 |
| 2% 12/1/52 (e) | 200000 | 164488 |
| 2% 12/1/52 (e) | 100000 | 82244 |
| 2% 12/1/52 (e) | 100000 | 82244 |
| 2% 12/1/52 (e) | 100000 | 82244 |
| 2% 12/1/52 (e) | 150000 | 123366 |
| 2% 12/1/52 (e) | 50000 | 41122 |
| 2% 12/1/52 (e) | 100000 | 82244 |
| 2% 12/1/52 (e) | 75000 | 61683 |
| 2% 1/1/53 (e) | 50000 | 41165 |
| 2% 1/1/53 (e) | 250000 | 205824 |
| 2% 1/1/53 (e) | 100000 | 82330 |
| 2% 1/1/53 (e) | 100000 | 82330 |
| 2% 1/1/53 (e) | 250000 | 205824 |
| 2% 1/1/53 (e) | 50000 | 41165 |
| 2% 1/1/53 (e) | 50000 | 41165 |
| 2.5% 12/1/52 (e) | 50000 | 42727 |
| 2.5% 12/1/52 (e) | 50000 | 42727 |
| 2.5% 12/1/52 (e) | 200000 | 170906 |
| 2.5% 12/1/52 (e) | 100000 | 85453 |
| 2.5% 12/1/52 (e) | 100000 | 85453 |
| 2.5% 12/1/52 (e) | 50000 | 42727 |
| 2.5% 12/1/52 (e) | 50000 | 42727 |
| 2.5% 12/1/52 (e) | 50000 | 42727 |
| 2.5% 12/1/52 (e) | 50000 | 42727 |
| 2.5% 1/1/53 (e) | 150000 | 128303 |
| 2.5% 1/1/53 (e) | 50000 | 42768 |
| 3% 12/1/37 (e) | 100000 | 94109 |
| 3% 12/1/52 (e) | 200000 | 177047 |
| 3% 12/1/52 (e) | 150000 | 132785 |
| 3% 12/1/52 (e) | 150000 | 132785 |
| 3% 1/1/53 (e) | 50000 | 44291 |
| 3% 1/1/53 (e) | 50000 | 44291 |
| 3.5% 12/1/52 (e) | 100000 | 91625 |
| 3.5% 12/1/52 (e) | 50000 | 45813 |
| 3.5% 12/1/52 (e) | 50000 | 45813 |
| 3.5% 1/1/53 (e) | 50000 | 45836 |
| 4% 12/1/52 (e) | 150000 | 141938 |
| 4% 12/1/52 (e) | 100000 | 94625 |
| 4% 12/1/52 (e) | 50000 | 47313 |
| 4.5% 12/1/52 (e) | 100000 | 97344 |
| 4.5% 12/1/52 (e) | 100000 | 97344 |
| 4.5% 1/1/53 (e) | 100000 | 97344 |
| 5% 12/1/52 (e) | 50000 | 49781 |
| 5% 12/1/52 (e) | 50000 | 49781 |
| 5% 12/1/52 (e) | 50000 | 49781 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 5057661 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $6,737,689) |  | <br> **6902653** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 7.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 7.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 7.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| Allegro CLO XV, Ltd. / Allegro CLO VX LLC Series 2022-1A Class A, CME TERM SOFR 3 MONTH INDEX + 1.500% 3.1807% 7/20/35 (b)(c)(d) | 250000 | 242349 |
| Ares LIX CLO Ltd. Series 2021-59A Class A, 3 month U.S. LIBOR + 1.030% 5.3884% 4/25/34 (b)(c)(d) | 250000 | 241708 |
| Cedar Funding Ltd. Series 2021-14A Class A, 3 month U.S. LIBOR + 1.100% 5.1791% 7/15/33 (b)(c)(d) | 260000 | 253371 |
| CEDF Series 2021-6A Class ARR, 3 month U.S. LIBOR + 1.050% 5.2926% 4/20/34 (b)(c)(d) | 200000 | 192512 |
| Dryden CLO, Ltd. Series 2021-76A Class A1R, 3 month U.S. LIBOR + 1.150% 5.3926% 10/20/34 (b)(c)(d) | 310000 | 300043 |
| Eaton Vance CLO, Ltd. Series 2021-1A Class AR, 3 month U.S. LIBOR + 1.100% 5.1791% 4/15/31 (b)(c)(d) | 250000 | 244560 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/51 (b) | 99500 | 86300 |
| Symphony CLO XXVI Ltd. / Symphony CLO XXVI LLC Series 2021-26A Class AR, 3 month U.S. LIBOR + 1.080% 5.3226% 4/20/33 (b)(c)(d) | 310000 | 300577 |
| Verizon Master Trust Series 2021-2 Class A, 0.99% 4/20/28  | 107000 | 99094 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $2,008,439) |  | **1960514** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 1.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BXHPP Trust floater Series 2021-FILM Class A, 1 month U.S. LIBOR + 0.650% 4.525% 8/15/36 (b)(c)(d) | 250000 | 233958 |
| SLG Office Trust sequential payer Series 2021-OVA Class A, 2.5854% 7/15/41 (b) | 150000 | 120586 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $380,924) |  | **354544** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.6%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.6%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.6%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.6%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| German Federal Republic 0% 8/15/31  | EUR | 44000 | 38987 |
| United Kingdom, Great Britain and Northern Ireland: |  |  |  |
|  1% 4/22/24(Reg. S)  | GBP | 3000 | 3505 |
|  2.25% 9/7/23  | GBP | 25000 | 29857 |
|  4.25% 6/7/32 (f) | GBP | 39000 | 51146 |
|  4.5% 9/7/34  | GBP | 16000 | 21527 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $131,207) |  |  | **145022** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 0.1%** | &nbsp;&nbsp;**Common Stocks - 0.1%** | &nbsp;&nbsp;**Common Stocks - 0.1%** |
|  | Shares | Value ($)<br>|
| ENERGY - 0.1%  |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Denbury, Inc. (g) | 38 | 3411 |
| EQT Corp.  | 60 | 2545 |
| New Fortress Energy, Inc.  | 114 | 5803 |
|  |  | 11759 |
| INFORMATION TECHNOLOGY - 0.0%  |  |  |
| Electronic Equipment & Components - 0.0% |  |  |
| Coherent Corp. (g) | 65 | 2384 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $13,117) |  | <br> **14143** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** | &nbsp;&nbsp;**Bank Loan Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| INDUSTRIALS - 0.0%  |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 8.493% 6/21/24 (c)(d)(h) <br>(Cost $5,738) <br>| 5969 | **5250** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Preferred Securities - 1.2%** | &nbsp;&nbsp;**Preferred Securities - 1.2%** | &nbsp;&nbsp;**Preferred Securities - 1.2%** | &nbsp;&nbsp;**Preferred Securities - 1.2%** |
|  |  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COMMUNICATION SERVICES - 0.4%  |  |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |  |
| Telefonica Europe BV 2.502% (Reg. S) (c)(i) | EUR | 100000 | 88451 |
| CONSUMER STAPLES - 0.3%  |  |  |  |
| Food Products - 0.3% |  |  |  |
| Danone SA 1% (Reg. S) (c)(i) | EUR | 100000 | 87071 |
| FINANCIALS - 0.1%  |  |  |  |
| Consumer Finance - 0.1% |  |  |  |
| Ally Financial, Inc. 4.7% (c)(i) |  | 20000 | 14488 |
| UTILITIES - 0.4%  |  |  |  |
| Electric Utilities - 0.4% |  |  |  |
| TenneT Holding BV 2.995% (Reg. S) (c)(i) | EUR | 100000 | 100938 |
| <br> **TOTAL PREFERRED SECURITIES**<br> (Cost $329,210) |  |  | <br> **290948** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 18.6%** | &nbsp;&nbsp;**Money Market Funds - 18.6%** | &nbsp;&nbsp;**Money Market Funds - 18.6%** |
|  | Shares | Value ($)<br>|
| Fidelity Cash Central Fund 3.86% (j) <br>(Cost $4,737,943) <br>| 4736996 | **4737943** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 124.7%**<br> (Cost $33,206,168)<br>| <br>**31750418** |
| **NET OTHER ASSETS (LIABILITIES) - (24.7)%**  | **(6281892)** |
| **NET ASSETS - 100.0%** | **25468526** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| Ginnie Mae |  |  |
| 2% 12/1/52 | (25000) | (21228) |
| 2% 12/1/52 | (50000) | (42455) |
| 2% 12/1/52 | (50000) | (42455) |
| 2% 12/1/52 | (50000) | (42455) |
| 2% 12/1/52 | (50000) | (42455) |
| 2% 12/1/52 | (100000) | (84911) |
| 2.5% 12/1/52 | (100000) | (87738) |
| 2.5% 12/1/52 | (100000) | (87738) |
| 2.5% 12/1/52 | (50000) | (43869) |
| 2.5% 12/1/52 | (50000) | (43869) |
| 2.5% 12/1/52 | (50000) | (43869) |
| 2.5% 12/1/52 | (50000) | (43869) |
| 2.5% 12/1/52 | (50000) | (43869) |
| 3% 12/1/52 | (50000) | (45097) |
| 3% 12/1/52 | (50000) | (45097) |
| 3.5% 12/1/52 | (50000) | (46386) |
| TOTAL GINNIE MAE  |  | (807360) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/52 | (100000) | (77680) |
| 2% 12/1/37 | (50000) | (44916) |
| 2% 12/1/37 | (50000) | (44916) |
| 2% 12/1/37 | (150000) | (134747) |
| 2% 12/1/52 | (50000) | (41122) |
| 2% 12/1/52 | (250000) | (205609) |
| 2% 12/1/52 | (250000) | (205609) |
| 2% 12/1/52 | (175000) | (143927) |
| 2% 12/1/52 | (100000) | (82244) |
| 2% 12/1/52 | (75000) | (61683) |
| 2% 12/1/52 | (100000) | (82244) |
| 2% 12/1/52 | (250000) | (205609) |
| 2% 12/1/52 | (50000) | (41122) |
| 2% 12/1/52 | (50000) | (41122) |
| 2.5% 12/1/52 | (50000) | (42727) |
| 2.5% 12/1/52 | (50000) | (42727) |
| 2.5% 12/1/52 | (150000) | (128180) |
| 2.5% 12/1/52 | (50000) | (42727) |
| 3% 12/1/52 | (50000) | (44262) |
| 3% 12/1/52 | (50000) | (44262) |
| 3.5% 12/1/52 | (50000) | (45813) |
| 4.5% 12/1/52 | (100000) | (97344) |
| 5% 12/1/52 | (50000) | (49781) |
| 5% 12/1/52 | (50000) | (49781) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (2000154) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $2,771,960) |  | <br> **(2807514)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1 | Mar 2023 | 205359 | 521 | 521 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 1 | Mar 2023 | 108570 | 654 | 654 |
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 2 | Mar 2023 | 239313 | 2386 | 2386 |
| TOTAL PURCHASED |  |  |  |  | 3561 |
| Sold |  |  |  |  |  |
| Bond Index Contracts |  |  |  |  |  |
| ICE Long Gilt Contracts (United Kingdom) | 1 | Mar 2023 | 126539 | 937 | 937 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **4498** |
| The notional amount of futures purchased as a percentage of Net Assets is 2.1% | The notional amount of futures purchased as a percentage of Net Assets is 2.1% | The notional amount of futures purchased as a percentage of Net Assets is 2.1% | The notional amount of futures purchased as a percentage of Net Assets is 2.1% | The notional amount of futures purchased as a percentage of Net Assets is 2.1% | The notional amount of futures purchased as a percentage of Net Assets is 2.1% |
| The notional amount of futures sold as a percentage of Net Assets is 0.5% | The notional amount of futures sold as a percentage of Net Assets is 0.5% | The notional amount of futures sold as a percentage of Net Assets is 0.5% | The notional amount of futures sold as a percentage of Net Assets is 0.5% | The notional amount of futures sold as a percentage of Net Assets is 0.5% | The notional amount of futures sold as a percentage of Net Assets is 0.5% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| EUR | 10192 | USD | 10512 | HSBC Bank | 12/02/22 | 94 |
| EUR | 2000 | USD | 2071 | JPMorgan Chase Bank, N.A. | 12/08/22 | 11 |
| USD | 656542 | EUR | 633000 | BNP Paribas S.A. | 12/08/22 | (2531) |
| USD | 2078 | EUR | 2000 | Bank of America, N.A. | 12/08/22 | (5) |
| USD | 20635 | EUR | 20000 | HSBC Bank | 12/08/22 | (189) |
| USD | 2367 | GBP | 2000 | Bank of America, N.A. | 12/08/22 | (44) |
| USD | 3579 | GBP | 3000 | Bank of America, N.A. | 12/08/22 | (38) |
| USD | 2385 | GBP | 2000 | JPMorgan Chase Bank, N.A. | 12/08/22 | (26) |
| USD | 288948 | GBP | 243000 | Royal Bank of Canada | 12/08/22 | (4002) |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(6730)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 105 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (6835) |

---

**Currency Abbreviations**

EUR - European Monetary Unit <br> GBP - British pound sterling <br> USD - U.S. dollar

**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 $5,493,483 or 21.6% of net assets.

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

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

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

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $26,231.

(g) Non-income producing

(h) Remaining maturities of bank loan obligations may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty.

(i) Security is perpetual in nature with no stated maturity date.

(j) 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% | 3283645 | 2908324 | 1454026 | 35273 | - | - | 4737943 | 0.0% |
| Total | 3283645 | 2908324 | 1454026 | 35273 | - | - | 4737943 |  |

---

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:

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities.Corporate Bonds, U.S. Treasury Obligations, Foreign Government and Government Agency Obligations, Bank Loan Obligations and Preferred Securities 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. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

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

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

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

**Derivative Instruments**

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

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

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

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

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

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

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

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

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

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

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

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

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent 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 Salem Street Trust

- **b. Investment Company Act file number:** 811-02105

- **c. CIK number of Registrant:** 0000035315

- **d. LEI of Registrant:** S4W85DGKOEJ24DPRB829

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity SAI Sustainable Core Plus Bond Fund

- **b. EDGAR series identifier (if any):** S000075889

- **c. LEI of Series:** 5493007GSSCVA7KCRU29

**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:** $34251908.37

**Total Liabilities:** $8917130.88

**Net Assets:** $25334777.49

**Delayed Delivery Securities:** $6185885.30

**Cash Not Reported:** $57754.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 447.06879240 | **1-Year:** 1951.79462459 | **5-Year:** 3695.72114669 | **10-Year:** 3194.16469046 | **30-Year:** 3477.32442362

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

- **3-Month:** 130.33249225 | **1-Year:** 491.69135941 | **5-Year:** 662.89488688 | **10-Year:** 74.21852330 | **30-Year:** 7.62290820

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000235214 | -4.29%               | -1.05%               | 3.56%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-205914.03              | $-940704.97                                |
| Month 2  | $-142065.72              | $-161950.10                                |
| Month 3  | $-104692.50              | $875337.76                                 |

**Designated Index Information**

- **Index Name:** Bloomberg MSCI US Aggregate ESG Choice Bond Index

- **Index Identifier:** 56048177

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CHARLES RIVER LABORATORIES INTERNATIONAL INC                           | CHARLES RIVER LABS INTL INC 3.75% 03/15/2029 144A                                             | CUSIP: 159864AG2<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     18000 | PA      | $15662.18     | 0.06%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRTUSA CORP                                                           | VIRTUSA CORP 7.125% 12/15/2028 144A                                                           | CUSIP: 92837TAA0<br>LEI: C77OMXDER63WLJCSKT03 | Long             | DBT              | CORP              | US        |     12000 | PA      | $9000.00      | 0.04%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                         | MORGAN STANLEY 0.864%/VAR 10/21/2025                                                          | CUSIP: 6174468R3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    270000 | PA      | $246399.15    | 0.97%             | 2025-10-21      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORPORATION                                            | ENTEGRIS ESCROW CORPORATION 5.95% 06/15/2030 144A                                             | CUSIP: 29365BAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $18680.98     | 0.07%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                          | COHERENT CORP                                                                                 | CUSIP: 19247G107<br>LEI: 549300O5C25A0MMHHU33 | Long             | EC               | CORP              | US        |        65 | NS      | $2383.55      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CNX RESOURCES CORP                                                     | CNX RESOURCES CORP 7.375% 01/15/2031 144A                                                     | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5002.70      | 0.02%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                         | MAGALLANES INC 4.279% 03/15/2032 144A                                                         | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    135000 | PA      | $114614.89    | 0.45%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                | NEW FORTRESS ENERGY INC 6.5% 09/30/2026 144A                                                  | CUSIP: 644393AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     56000 | PA      | $54121.48     | 0.21%             | 2026-09-30      | Fixed         | 0.07%                 | 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        |   -275000 | PA      | $-233504.62   | -0.92%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LT                                                       | CEDAR FUNDING LT 3ML+110 07/15/2033 144A                                                      | CUSIP: 15034AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    260000 | PA      | $253371.04    | 1.00%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MICHAELS COS INC                                                       | MICHAELS COS INC 5.25% 05/01/2028 144A                                                        | CUSIP: 55916AAA2<br>LEI: 549300H9LWMBP7HYLR98 | Long             | DBT              | CORP              | US        |     24000 | PA      | $17578.44     | 0.07%             | 2028-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                  | FX Forward: USD/GBP settle 2022-12-08                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-37.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| US FOODS INC                                                           | US FOODS INC 4.625% 06/01/2030 144A                                                           | CUSIP: 90290MAE1<br>LEI: 5493000JOOFAOUY1JZ87 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7099.28      | 0.03%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PIKE CORP                                                              | PIKE CORP 5.5% 09/01/2028 144A                                                                | CUSIP: 721283AA7<br>LEI: 549300P4EKEP6HK0NC58 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3573.36      | 0.01%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                            | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS                                                | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     32000 | PA      | $28354.04     | 0.11%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                | DARLING INGREDIENTS INC 5.25% 04/15/2027 144A                                                 | CUSIP: 237266AH4<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2903.55      | 0.01%             | 2027-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STERICYCLE INC                                                         | STERICYCLE INC 3.875% 01/15/2029 144A                                                         | CUSIP: 858912AG3<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | DBT              | CORP              | US        |     24000 | PA      | $20880.00     | 0.08%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                    | CARRIER GLOBAL CORP 2.493% 02/15/2027                                                         | CUSIP: 14448CAP9<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    130000 | PA      | $118051.60    | 0.47%             | 2027-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WISCONSIN ELEC PWR CO                                                  | WISCONSIN ELEC PWR CO 4.75% 09/30/2032                                                        | CUSIP: 976656CN6<br>LEI: AENKIFMULUAWOUU8Q584 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123829.74    | 0.49%             | 2032-09-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CATALENT PHARMA SOLUTIONS                                              | CATALENT PHARMA SOLUTIONS 3.5% 04/01/2030 144A                                                | CUSIP: 14879EAK4<br>LEI: 549300HALRZ339MSTH85 | Long             | DBT              | CORP              | US        |     18000 | PA      | $14670.00     | 0.06%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                        | NXP B V/NXP FDG LLC/NXP USA INC 2.5% 05/11/2031                                               | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |    140000 | PA      | $110888.75    | 0.44%             | 2031-05-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                             | FNMA 30YR 4.5% 07/01/2052#                                                                    | CUSIP: 3140QPQS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48987 | PA      | $48248.25     | 0.19%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOTHEBYS                                                               | SOTHEBYS 7.375% 10/15/2027 144A                                                               | CUSIP: 835898AH0<br>LEI: 549300P5BAAMQQ7VL735 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9739.95      | 0.04%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTEGRIS INC                                                           | ENTEGRIS INC 3.625% 05/01/2029 144A                                                           | CUSIP: 29362UAD6<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     28000 | PA      | $23240.00     | 0.09%             | 2029-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                      | UNITED KINGDOM G.B. and N.IRELAND 4.5% 09/07/2034 REGS                                        | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     16000 | PA      | $21527.21     | 0.08%             | 2034-09-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ERO COPPER CORP                                                        | ERO COPPER CORP 6.5% 02/15/2030 144A                                                          | CUSIP: 296006AA7<br>LEI: 549300KL8A21SEIO8I47 | Long             | DBT              | CORP              | CA        |     22000 | PA      | $16953.75     | 0.07%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WASH MULTIFAMILY ACQUISITION INC                                       | WASH MULTIFAMILY ACQUISITION INC 5.75% 04/15/2026 144A                                        | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Long             | DBT              | CORP              | US        |     42000 | PA      | $39367.44     | 0.16%             | 2026-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMSCOPE INC                                                          | COMMSCOPE INC 4.75% 09/01/2029 144A                                                           | CUSIP: 203372AX5<br>LEI: 549300Z6K4JXMFE8QY54 | Long             | DBT              | CORP              | US        |     16000 | PA      | $13474.56     | 0.05%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TRIUMPH GROUP INC                                                      | TRIUMPH GROUP INC(NEW) 8.875% 06/01/2024 144A                                                 | CUSIP: 896818AS0<br>LEI: 5493007L6S47Q14SL582 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10225.00     | 0.04%             | 2024-06-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                             | FNMA 30YR 3% 05/01/2052#CB3584                                                                | CUSIP: 3140QN6W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48711 | PA      | $43173.00     | 0.17%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                      | UNITED KINGDOM G.B. and N.IRELAND 2.25% 09/07/2023 REGS                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     25000 | PA      | $29857.01     | 0.12%             | 2023-09-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SUNOCO LP / SUNOCO FIN CORP                                            | SUNOCO LP / SUNOCO FIN CORP 4.5% 05/15/2029                                                   | CUSIP: 86765LAT4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14000 | PA      | $12122.42     | 0.05%             | 2029-05-15      | 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        |   2410000 | PA      | $1740377.74   | 6.87%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                  | JPMORGAN CHASE and CO 4.912%/VAR 07/25/2033                                                   | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     26000 | PA      | $25072.18     | 0.10%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGEAN PLC                                                           | ENERGEAN PLC 6.5% 04/30/2027 144A                                                             | CUSIP: 29280EAA7<br>LEI: 549300RVMKU0CYUZBB05 | Long             | DBT              | CORP              | GB        |     10000 | PA      | $9200.00      | 0.04%             | 2027-04-30      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                             | VERIZON COMMUNICATIONS INC 2.355% 03/15/2032                                                  | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56191.09     | 0.22%             | 2032-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                           | CHS/CMNTY HEALTH SYSTEMS INC 6.875% 04/15/2029 144A                                           | CUSIP: 12543DBJ8<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     10000 | PA      | $5350.00      | 0.02%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE TIME INC                                                          | LIFE TIME INC 8% 04/15/2026 144A                                                              | CUSIP: 53190FAC9<br>LEI: 549300PALKE96VYH4X17 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9030.47      | 0.04%             | 2026-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| PATRICK INDUSTRIES INC                                                 | PATRICK INDUSTRIES INC 4.75% 05/01/2029 144A                                                  | CUSIP: 703343AD5<br>LEI: 549300FZ5ZTCCJ3Z5W14 | Long             | DBT              | CORP              | US        |     12000 | PA      | $9420.00      | 0.04%             | 2029-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TEINE ENERGY LTD                                                       | TEINE ENERGY LTD 6.875% 04/15/2029 144A                                                       | CUSIP: 879068AB0<br>LEI: 5493002EE80G6ER7SM91 | Long             | DBT              | CORP              | CA        |     18000 | PA      | $16290.00     | 0.06%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                                           | TAPESTRY INC 3.05% 03/15/2032                                                                 | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    140000 | PA      | $108330.44    | 0.43%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                                    | BANCO BILBAO VIZ ARGENTARIA SA 1%/VAR 01/16/2030 REGS                                         | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | DBT              | CORP              | ES        |    100000 | PA      | $94060.25     | 0.37%             | 2030-01-16      | Variable      | 0.01%                 | 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        |    140000 | PA      | $109984.03    | 0.43%             | 2031-04-01      | 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    | -0.18%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KAR AUCTION SVCS INC                                                   | KAR AUCTION SVCS INC 5.125% 06/01/2025 144A                                                   | CUSIP: 48238TAA7<br>LEI: 5493004HKD20LBSG7D03 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1944.44      | 0.01%             | 2025-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FMG RESOURCES AUG'06 PTY LTD                                           | FMG RES AUGUST 2006 PTY LTD 6.125% 04/15/2032 144A                                            | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |     20000 | PA      | $18298.00     | 0.07%             | 2032-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STONEX GROUP INC                                                       | STONEX GROUP INC 8.625% 06/15/2025 144A                                                       | CUSIP: 46116VAE5<br>LEI: 549300JUF07L8VF02M60 | Long             | DBT              | CORP              | US        |      6000 | PA      | $6082.50      | 0.02%             | 2025-06-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| TEGNA INC                                                              | TEGNA INC 4.75% 03/15/2026 144A                                                               | CUSIP: 87901JAF2<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7819.56      | 0.03%             | 2026-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                  | TENET HEALTHCARE CORP 6.125% 10/01/2028 144A                                                  | CUSIP: 88033GDJ6<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     40000 | PA      | $35300.00     | 0.14%             | 2028-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANSN and INFRASTRUCTURE INVS LLC                            | FORTRESS TRANSN and INFRASTRUCTURE INVS LLC 5.5% 05/01/2028 144A                              | CUSIP: 34960PAD3<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10440.36     | 0.04%             | 2028-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TJX COMPANIES INC                                                      | TJX COMPANIES INC NEW 3.875% 04/15/2030                                                       | CUSIP: 872540AT6<br>LEI: V167QI9I69W364E2DY52 | Long             | DBT              | CORP              | US        |    120000 | PA      | $113314.38    | 0.45%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUN and BRADSTREET CORP/THE                                            | DUN and BRADSTREET CORP/THE 5% 12/15/2029 144A                                                | CUSIP: 26483EAL4<br>LEI: RI37BMPWE56BCJ747E14 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6882.80      | 0.03%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PEDIATRIX MEDICAL GROUP INC                                            | PEDIATRIX MEDICAL GROUP INC 5.375% 02/15/2030 144A                                            | CUSIP: 58502BAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $16876.20     | 0.07%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL INC                                            | HONEYWELL INTL INC 1.75% 09/01/2031                                                           | CUSIP: 438516CF1<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |    140000 | PA      | $112296.11    | 0.44%             | 2031-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STONEMOR INC                                                           | STONEMOR INC 8.5% 05/15/2029 144A                                                             | CUSIP: 86184WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $4875.00      | 0.02%             | 2029-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| NEPTUNE BIDCO US INC                                                   | NEPTUNE BIDCO US INC 9.29% 04/15/2029 144A                                                    | CUSIP: 640695AA0<br>LEI: 549300VG15T3VCYZ4531 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4815.15      | 0.02%             | 2029-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                       | BERRY GLOBAL INC 5.625% 07/15/2027 144A                                                       | CUSIP: 085770AB1<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29400.00     | 0.12%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -50000 | PA      | $-45812.50    | -0.18%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ECO MATERIAL TECHNOLOGIES INC                                          | ECO MATERIAL TECHNOLOGIES INC 7.875% 01/31/2027 144A                                          | CUSIP: 27900QAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000 | PA      | $1902.00      | 0.01%             | 2027-01-31      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                               | EQT CORPORATION                                                                               | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |        60 | NS      | $2544.60      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| OAK STREET HEALTH INC                                                  | OAK STREET HEALTH INC CONV 0% 03/15/2026                                                      | CUSIP: 67181AAB3<br>LEI: 2549007CJE6GSEURLA30 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1534.50      | 0.01%             | 2026-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                  | FX Forward: USD/GBP settle 2022-12-08                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-44.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                    | COINBASE GLOBAL INC 3.375% 10/01/2028 144A                                                    | CUSIP: 19260QAC1<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      8000 | PA      | $4675.84      | 0.02%             | 2028-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                          | FHLG 30YR 2.5% 12/01/2051#RA6359                                                              | CUSIP: 3133KNB44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98571 | PA      | $84487.41     | 0.33%             | 2051-12-01      | Fixed         | 0.03%                 | 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        |  -1350000 | PA      | $-1110290.63  | -4.38%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC                             | NUFARM AUSTRALIA LTD / NUFARM AMERICAS INC 5% 01/27/2030 144A                                 | CUSIP: 67052NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | AU        |     10000 | PA      | $8562.50      | 0.03%             | 2030-01-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CNX RESOURCES CORP                                                     | CNX RESOURCES CORP 6% 01/15/2029 144A                                                         | CUSIP: 12653CAJ7<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      4000 | PA      | $3780.92      | 0.01%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                          | METHANEX CORP 5.125% 10/15/2027                                                               | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $9175.00      | 0.04%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP           | TALLGRASS ENERGY PARTNERS LP / TALLGRASS ENERGY FINANCE CORP 6% 03/01/2027 144A               | CUSIP: 87470LAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4753.18      | 0.02%             | 2027-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALTUS MIDSTREAM LP                                                     | ALTUS MIDSTREAM LP 5.875% 06/15/2030 144A                                                     | CUSIP: 49461MAA8<br>LEI: 549300RD6AJIMYC0HY12 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9397.10      | 0.04%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                         | BOMBARDIER INC 6% 02/15/2028 144A                                                             | CUSIP: 097751BX8<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     27000 | PA      | $25317.63     | 0.10%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RADIAN GROUP INC                                                       | RADIAN GROUP INC 6.625% 03/15/2025                                                            | CUSIP: 750236AX9<br>LEI: 54930005OUP720S5U385 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7920.96      | 0.03%             | 2025-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                           | ING GROEP NV 1.4/VAR 07/01/2026 144A                                                          | CUSIP: 456837AU7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $178558.98    | 0.70%             | 2026-07-01      | Variable      | 0.01%                 | 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        |    350000 | PA      | $297187.70    | 1.17%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| DOMTAR CORP                                                            | DOMTAR CORP 6.75% 10/01/2028 144A                                                             | CUSIP: 70478JAA2<br>LEI: XYSIJOU3HNVROZWNA008 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6972.08      | 0.03%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                                   | ONEMAIN FINANCE CORP 3.875% 09/15/2028                                                        | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |     46000 | PA      | $36496.40     | 0.14%             | 2028-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VONOVIA SE                                                             | VONOVIA SE 0.625% 03/24/2031 REGS                                                             | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |    100000 | PA      | $75857.66     | 0.30%             | 2031-03-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MILLICOM INTL CELLULAR SA                                              | MILLICOM INTL CELLULAR SA 4.5% 04/27/2031 144A                                                | CUSIP: 600814AR8<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     13000 | PA      | $10632.38     | 0.04%             | 2031-04-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HTA GROUP LTD/MAURITIUS                                                | HTA GROUP LTD/MAURITIUS 7% 12/18/2025 144A                                                    | CUSIP: 40435WAB6<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |      8000 | PA      | $7360.48      | 0.03%             | 2025-12-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | US 10YR ULTRA FUT MAR23 UXYH3                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         2 | NC      | $2386.20      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 3.25% 03/15/2026 144A  | CUSIP: 013092AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000 | PA      | $10894.32     | 0.04%             | 2026-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                          | BRAND ENERGY TERM B 1LN 06/21/2024                                                            | CUSIP: 10524MAN7<br>LEI: 549300B658W2BPDQMW42 | Long             | LON              | CORP              | US        |      5969 | PA      | $5250.13      | 0.02%             | 2024-06-21      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| SEASPAN CORPORATION                                                    | SEASPAN CORPORATION 5.5% 08/01/2029 144A                                                      | CUSIP: 81254UAK2<br>LEI: 5493007Z8Q1H45KT7W98 | Long             | DBT              | CORP              | MH        |     10000 | PA      | $7698.60      | 0.03%             | 2029-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                    | INTESA SANPAOLO SPA 4% 09/23/2029 144A                                                        | CUSIP: 46115HBL0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    210000 | PA      | $182043.42    | 0.72%             | 2029-09-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                           | BROADCOM INC 2.6% 02/15/2033 144A                                                             | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7556.11      | 0.03%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERCER INTERNATIONAL INC                                               | MERCER INTERNATIONAL INC 5.125% 02/01/2029                                                    | CUSIP: 588056BB6<br>LEI: 549300Z5IAG39VRTY874 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8585.00      | 0.03%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACK KNIGHT INFOSERV LLC                                              | BLACK KNIGHT INFOSERV LLC 3.625% 09/01/2028 144A                                              | CUSIP: 092174AA9<br>LEI: 549300H5PS5C68DAUX66 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7190.00      | 0.03%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RENT-A-CENTER INC/TX                                                   | RENT-A-CENTER INC/TX 6.375% 02/15/2029 144A                                                   | CUSIP: 76009NAL4<br>LEI: 529900QUHE15UQNCCJ63 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6580.00      | 0.03%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STERICYCLE INC                                                         | STERICYCLE INC 5.375% 07/15/2024 144A                                                         | CUSIP: 858912AF5<br>LEI: B8PTJH2P0AXSWSMP2136 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14826.00     | 0.06%             | 2024-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CEDF 2016-6A                                                           | CEDF 2016-6A ARR 3ML+105 04/20/2034 144A                                                      | CUSIP: 15032DAR2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    200000 | PA      | $192511.80    | 0.76%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                         | HOME DEPOT INC 3.25% 04/15/2032                                                               | CUSIP: 437076CP5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    130000 | PA      | $117329.70    | 0.46%             | 2032-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HORIZON THERAPEUTICS USA INC                                           | HORIZON THERAPEUTICS USA INC 5.5% 08/01/2027 144A                                             | CUSIP: 44055PAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8000 | PA      | $7940.00      | 0.03%             | 2027-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                  | JPMORGAN CHASE and CO 2.963%/VAR 01/25/2033                                                   | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57713.06     | 0.23%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC | ALBERTSONS COS LLC / SAFEWAY INC / NEW ALBERTSONS INC / ALBERTSONS LLC 4.875% 02/15/2030 144A | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $5353.44      | 0.02%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SLG OFFICE TR 2021-OVA                                                 | SLG OFFICE TR 2021-OVA 2.5854% 07/15/2041 144A                                                | CUSIP: 78449RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $120585.50    | 0.48%             | 2041-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                             | VERIZON COMMUNICATIONS INC 3.875% 03/01/2052                                                  | CUSIP: 92343VGP3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    270000 | PA      | $209599.30    | 0.83%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                          | LONG GILT FUTURE MAR23 G H3                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        -1 | NC      | $935.48       | 0.00%             |  |  |  | No            |                  1 | 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        |    850000 | PA      | $699802.37    | 2.76%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                  | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                   | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    124000 | PA      | $116478.59    | 0.46%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUNNOVA ENERGY CORP                                                    | SUNNOVA ENERGY CORP 5.875% 09/01/2026 144A                                                    | CUSIP: 86745GAF0<br>LEI: 549300TH3GCD8YQUDR46 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17894.20     | 0.07%             | 2026-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REDFIN CORPORATION                                                     | REDFIN CORP CONV 0.5% 04/01/2027                                                              | CUSIP: 75737FAE8<br>LEI: 549300HXWD3JEMZU3O57 | Long             | DBT              | CORP              | US        |     16000 | PA      | $6560.00      | 0.03%             | 2027-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HANESBRANDS INC                                                        | HANESBRANDS INC 4.625% 05/15/2024 144A                                                        | CUSIP: 410345AJ1<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9700.00      | 0.04%             | 2024-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS LLC                                              | DUKE ENERGY CAROLINAS LLC 3.95% 11/15/2028                                                    | CUSIP: 26442CAX2<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    170000 | PA      | $163677.51    | 0.65%             | 2028-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                      | DISH NETWORK CORP 11.75% 11/15/2027 144A                                                      | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5139.15      | 0.02%             | 2027-11-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| STATE STREET CORP                                                      | STATE STREET CORP 3.031%/VAR 11/01/2034                                                       | CUSIP: 857477BF9<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |    130000 | PA      | $110093.35    | 0.43%             | 2034-11-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GO DADDY OPERATING CO LLC / GD FINANCE CO INC                          | GO DADDY OPERATING CO LLC / GD FINANCE CO INC 3.5% 03/01/2029 144A                            | CUSIP: 38016LAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $23662.20     | 0.09%             | 2029-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                             | CARVANA CO 4.875% 09/01/2029 144A                                                             | CUSIP: 146869AH5<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |     30000 | PA      | $10025.08     | 0.04%             | 2029-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 3.5% 12/01/2052 #TBA                                                                | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $183250.00    | 0.72%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALTICE FING SA                                                         | ALTICE FING SA 5.75% 08/15/2029 144A                                                          | CUSIP: 02154CAH6<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |     29000 | PA      | $23715.04     | 0.09%             | 2029-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TELUS CORPORATION                                                      | TELUS CORPORATION 3.4% 05/13/2032                                                             | CUSIP: 87971MBW2<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |    130000 | PA      | $112227.40    | 0.44%             | 2032-05-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                           | CHS/CMNTY HEALTH SYSTEMS INC 5.25% 05/15/2030 144A                                            | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11439.00     | 0.05%             | 2030-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC                 | RIVIAN HOLDCO and RIVIAN LLC and RIVIAN AUTOMOTIVE LLC FRN 6ML+562.5 10/15/2026 144A          | CUSIP: 76954LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18000 | PA      | $17370.00     | 0.07%             | 2026-10-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                            | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                 | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $548906.25    | 2.17%             | 2042-08-15      | Fixed         | 0.03%                 | 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        |    450000 | PA      | $394819.47    | 1.56%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 15YR 3% 12/01/2037 #TBA                                                                  | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $94109.38     | 0.37%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                      | UNITED KINGDOM G.B. and N.IRELAND 1% 04/22/2024 REGS                                          | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |      3000 | PA      | $3504.52      | 0.01%             | 2024-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| IAMGOLD CORP                                                           | IAMGOLD CORP 5.75% 10/15/2028 144A                                                            | CUSIP: 450913AF5<br>LEI: 5493003RWIRGFJUNQG48 | Long             | DBT              | CORP              | CA        |      6000 | PA      | $4195.80      | 0.02%             | 2028-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                   | FX Forward: USD/GBP settle 2022-12-08                                                         | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-4002.11     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                    | NOVA CHEMICALS CORP 5.25% 06/01/2027 144A                                                     | CUSIP: 66977WAR0<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $8975.77      | 0.04%             | 2027-06-01      | Fixed         | 0.05%                 | 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        |    100000 | PA      | $92771.47     | 0.37%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                            | BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027                                                 | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |     17000 | PA      | $17777.88     | 0.07%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DANONE SA                                                              | DANONE SA 1%/VAR PERP REGS                                                                    | CUSIP: N/A<br>LEI: 969500KMUQ2B6CBAF162       | Long             | EP               | CORP              | FR        |    100000 | PA      | $87071.06     | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| DARLING INGREDIENTS INC                                                | DARLING INGREDIENTS INC 6% 06/15/2030 144A                                                    | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4875.95      | 0.02%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                  | FX Forward: USD/EUR settle 2022-12-08                                                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.64        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                    | DOMINION ENERGY INC 2.25% 08/15/2031                                                          | CUSIP: 25746UDL0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    220000 | PA      | $176129.18    | 0.70%             | 2031-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING INC                                                  | LEVEL 3 FINANCING INC 3.75% 07/15/2029 144A                                                   | CUSIP: 527298BT9<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |     46000 | PA      | $33266.01     | 0.13%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                          | AIA GROUP LTD 3.375% 04/07/2030 144A                                                          | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |    200000 | PA      | $176560.97    | 0.70%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AT HOME GROUP INC                                                      | AT HOME GROUP INC 4.875% 07/15/2028 144A                                                      | CUSIP: 04650YAA8<br>LEI: 549300LGPR0P05O30I24 | Long             | DBT              | CORP              | US        |      8000 | PA      | $5820.00      | 0.02%             | 2028-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES LTD                                            | ROYAL CARIBBEAN CRUISES LTD 5.5% 04/01/2028 144A                                              | CUSIP: 780153BG6<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     24000 | PA      | $19590.00     | 0.08%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                           | ALIMENTATION COUCHE-TARD INC 3.625% 05/13/2051 144A                                           | CUSIP: 01626PAQ9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |    150000 | PA      | $102808.19    | 0.41%             | 2051-05-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                       | CCO HLDGS LLC/CAP CORP 4.75% 02/01/2032 144A                                                  | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     42000 | PA      | $35122.50     | 0.14%             | 2032-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                              | GNII II 3% 12/01/2052 #TBA                                                                    | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150000 | PA      | $135290.34    | 0.53%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO                                                         | WALT DISNEY CO 2.65% 01/13/2031                                                               | CUSIP: 254687FX9<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |    140000 | PA      | $120459.97    | 0.48%             | 2031-01-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COVANTA HLDG CORP                                                      | COVANTA HLDG CORP 4.875% 12/01/2029 144A                                                      | CUSIP: 22303XAA3<br>LEI: 40XIFLS8XDQGGHGPGC04 | Long             | DBT              | CORP              | US        |     27000 | PA      | $22815.00     | 0.09%             | 2029-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NORDSTROM INC                                                          | NORDSTROM INC 4.375% 04/01/2030                                                               | CUSIP: 655664AT7<br>LEI: 549300S3IZB5P35KNV16 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4817.67      | 0.02%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OLYMPUS WATER US HOLDING CORPORATION                                   | OLYMPUS WATER US HOLDING CORPORATION 6.25% 10/01/2029 144A                                    | CUSIP: 681639AB6<br>LEI: 549300YU2GGVCBN3MY89 | Long             | DBT              | CORP              | US        |     14000 | PA      | $10101.56     | 0.04%             | 2029-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HOLLY EN PART LP/ HOL FIN CORP                                         | HOLLY EN PART LP/ HOL FIN CORP 5% 02/01/2028 144A                                             | CUSIP: 435765AH5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9111.62      | 0.04%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                              | GNII II 2% 02/20/2051#MA7192                                                                  | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24254 | PA      | $20720.23     | 0.08%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HLF FING SARL LLC / HERBALIFE INTL INC                                 | HLF FING SARL LLC / HERBALIFE INTL INC 4.875% 06/01/2029 144A                                 | CUSIP: 40390DAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000 | PA      | $1429.34      | 0.01%             | 2029-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HERTZ CORP                                                             | HERTZ CORP 4.625% 12/01/2026 144A                                                             | CUSIP: 428040DA4<br>LEI: 549300PD0C69OJ0NLB27 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10409.66     | 0.04%             | 2026-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                 | CGG SA 8.75% 04/01/2027 144A                                                                  | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     18000 | PA      | $15138.99     | 0.06%             | 2027-04-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| DRYDEN 76 CLO LTD                                                      | DRYDEN 76 CLO LTD 3ML+115 10/20/2034 144A                                                     | CUSIP: 26252WAU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    310000 | PA      | $300043.11    | 1.18%             | 2034-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                  | AECOM 5.125% 03/15/2027                                                                       | CUSIP: 00774CAB3<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11674.56     | 0.05%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WEATHERFORD INTL LTD                                                   | WEATHERFORD INTL LTD 8.625% 04/30/2030 144A                                                   | CUSIP: 947075AU1<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |      8000 | PA      | $7672.00      | 0.03%             | 2030-04-30      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                  | UBER TECHNOLOGIES INC 4.5% 08/15/2029 144A                                                    | CUSIP: 90353TAK6<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     65000 | PA      | $56584.13     | 0.22%             | 2029-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRITON WATER HOLDINGS                                                  | TRITON WATER HOLDINGS 6.25% 04/01/2029 144A                                                   | CUSIP: 89680EAA7<br>LEI: 5493005IYCEL7QJFZZ63 | Long             | DBT              | CORP              | US        |     12000 | PA      | $9339.42      | 0.04%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HIGHTOWER HOLDING LLC                                                  | HIGHTOWER HOLDING LLC 6.75% 04/15/2029 144A                                                   | CUSIP: 43118DAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $8294.55      | 0.03%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE HOLDING SA                                               | ALTICE FRANCE HOLDING SA 6% 02/15/2028 144A                                                   | CUSIP: 02156TAA2<br>LEI: 5299000JVHXKJPOE6H40 | Long             | DBT              | CORP              | LU        |     32000 | PA      | $21480.00     | 0.08%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MIDSTREAM PARTNERS LP/CRESTWOOD MIDSTREAM FIN CORP           | CRESTWOOD MIDSTRM PTN/FIN CORP 6% 02/01/2029 144A                                             | CUSIP: 226373AR9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     25000 | PA      | $23062.50     | 0.09%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 2.5% 01/01/2053 #TBA                                                                | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $171070.32    | 0.68%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                            | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                             | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    148000 | PA      | $142881.96    | 0.56%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                           | HUDSON PAC PPTYS LP 5.95% 02/15/2028                                                          | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    108000 | PA      | $102535.91    | 0.40%             | 2028-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TERRAFORM POWER OPERATING LLC                                          | TERRAFORM POWER OPERATING LLC 4.75% 01/15/2030 144A                                           | CUSIP: 88104LAG8<br>LEI: 5493000S2OLR3UT5BE13 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7200.00      | 0.03%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                            | BANK OF AMERICA CORPORATION 6.204%/VAR 11/10/2028                                             | CUSIP: 06051GLC1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25857.88     | 0.10%             | 2028-11-10      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                              | NATWEST GRP PLC(UNGTD) 2.057%/VAR 11/09/2028 REGS                                             | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    100000 | PA      | $99966.57     | 0.39%             | 2028-11-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                                   | TELEFONICA EUROPE BV 2.502%/VAR PERP REGS                                                     | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | EP               | CORP              | NL        |    100000 | PA      | $88451.00     | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| TEMPO ACQUISITION LLC / TEMPO ACQUISITION FIN CORP                     | TEMPO ACQUISITION LLC / TEMPO ACQUISITION FIN CORP 5.75% 06/01/2025 144A                      | CUSIP: 88023JAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $5924.13      | 0.02%             | 2025-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SENSATA TECHNOLOGIES BV                                                | SENSATA TECHNOLOGIES BV 4% 04/15/2029 144A                                                    | CUSIP: 81725WAK9<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |      8000 | PA      | $6957.04      | 0.03%             | 2029-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                  | MICRON TECHNOLOGY INC 2.703% 04/15/2032                                                       | CUSIP: 595112BS1<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    140000 | PA      | $108226.44    | 0.43%             | 2032-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                              | GNII II 2.5% 01/01/2053 #TBA                                                                  | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    275000 | PA      | $241482.67    | 0.95%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PPTY LTD PARTNERSHIP                                            | BOSTON PPTYS LTD PARTNERSHIP 2.45% 10/01/2033                                                 | CUSIP: 10112RBF0<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |    220000 | PA      | $161606.08    | 0.64%             | 2033-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                              | ROGERS COMMUNICATIONS INC 3.2% 03/15/2027 144A                                                | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     60000 | PA      | $55987.95     | 0.22%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NOVA CHEMICALS CORP                                                    | NOVA CHEMICALS CORP 4.875% 06/01/2024 144A                                                    | CUSIP: 66977WAQ2<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $9731.25      | 0.04%             | 2024-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                 | OPEN TEXT HOLDINGS INC 4.125% 02/15/2030 144A                                                 | CUSIP: 683720AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $4048.95      | 0.02%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DISH NETWORK CORP                                                      | DISH NETWORK CORP CONV 3.375% 08/15/2026                                                      | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |     32000 | PA      | $20720.00     | 0.08%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC                               | ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 4.125% 06/15/2028 144A                               | CUSIP: 04916WAA2<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |     24000 | PA      | $21156.60     | 0.08%             | 2028-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                  | TENET HEALTHCARE CORP 6.125% 06/15/2030 144A                                                  | CUSIP: 88033GDP2<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4737.90      | 0.02%             | 2030-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $521.48       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                   | 1011778 BC ULC/NEW RED FIN INC 4% 10/15/2030 144A                                             | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      5000 | PA      | $4210.80      | 0.02%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELASTIC NV                                                             | ELASTIC NV 4.125% 07/15/2029 144A                                                             | CUSIP: 28415LAA1<br>LEI: 2549003I48WHHH937I59 | Long             | DBT              | CORP              | NL        |     28000 | PA      | $22762.08     | 0.09%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 3% 12/01/2052 #TBA                                                                  | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    500000 | PA      | $442617.20    | 1.75%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TENET HEALTHCARE CORP                                                  | TENET HEALTHCARE CORP 4.375% 01/15/2030 144A                                                  | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6968.56      | 0.03%             | 2030-01-15      | 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        |    130000 | PA      | $118418.48    | 0.47%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAJORDRIVE HOLDINGS IV LLC                                             | MAJORDRIVE HOLDINGS IV LLC 6.375% 06/01/2029 144A                                             | CUSIP: 56085RAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000 | PA      | $9360.00      | 0.04%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ADTALEM GLOBAL EDUCATION INC                                           | ADTALEM GLOBAL EDUCATION INC 5.5% 03/01/2028 144A                                             | CUSIP: 00737WAA7<br>LEI: 549300Z467EZLMODV621 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9300.00      | 0.04%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COHERENT CORP                                                          | COHERENT CORP 5% 12/15/2029 144A                                                              | CUSIP: 902104AC2<br>LEI: 549300O5C25A0MMHHU33 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8825.00      | 0.03%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/ WYNN LAS V                                         | WYNN LAS VEGAS LLC/ WYNN LAS V 5.25% 05/15/2027 144A                                          | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     30000 | PA      | $27483.00     | 0.11%             | 2027-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DENBURY INC                                                            | DENBURY INC                                                                                   | CUSIP: 24790A101<br>LEI: 549300KCWA5W52MS5559 | Long             | EC               | CORP              | US        |        38 | NS      | $3410.88      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INFRABUILD AUSTRALIA PTY LTD                                           | INFRABUILD AUSTRALIA PTY LTD 12% 10/01/2024 144A                                              | CUSIP: 45682RAA8<br>LEI: 549300W2CPB5W6GFH859 | Long             | DBT              | CORP              | AU        |      8000 | PA      | $7767.72      | 0.03%             | 2024-10-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HEALTHEQUITY INC                                                       | HEALTHEQUITY INC 4.5% 10/01/2029 144A                                                         | CUSIP: 42226AAA5<br>LEI: 529900LRJU1RAFQHM467 | Long             | DBT              | CORP              | US        |     18000 | PA      | $15769.80     | 0.06%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RITHM CAPITAL CORP                                                     | RITHM CAPITAL CORP 6.25% 10/15/2025 144A                                                      | CUSIP: 64828TAA0<br>LEI: 549300WNTHGEO5LP2G31 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7222.79      | 0.03%             | 2025-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                              | UST NOTES 2.5% 03/31/2027                                                                     | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     50000 | PA      | $47216.80     | 0.19%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                                                    | COINBASE GLOBAL INC 3.625% 10/01/2031 144A                                                    | CUSIP: 19260QAD9<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      5000 | PA      | $2700.00      | 0.01%             | 2031-10-01      | Fixed         | 0.04%                 | 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        |    110000 | PA      | $113115.71    | 0.45%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 4.5% 01/01/2053 #TBA                                                                | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $97343.80     | 0.38%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                  | JPMORGAN CHASE and CO 0.768%/VAR 08/09/2025                                                   | CUSIP: 46647PCM6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    260000 | PA      | $239872.66    | 0.95%             | 2025-08-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| NCR CORPORATION NEW                                                    | NCR CORPORATION NEW 6.125% 09/01/2029 144A                                                    | CUSIP: 62886EAV0<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14550.00     | 0.06%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ELDORADO GOLD CORP NEW                                                 | ELDORADO GOLD CORP NEW 6.25% 09/01/2029 144A                                                  | CUSIP: 284902AF0<br>LEI: 5493004PWQ01YDD1IH62 | Long             | DBT              | CORP              | CA        |     10000 | PA      | $8312.50      | 0.03%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION MERGER SUB INC                                           | CONSTELLATION MERGER SUB INC 8.5% 09/15/2025 144A                                             | CUSIP: 210374AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8000 | PA      | $7049.30      | 0.03%             | 2025-09-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                                        | GEN DIGITAL INC 5% 04/15/2025 144A                                                            | CUSIP: 871503AU2<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |     14000 | PA      | $13580.00     | 0.05%             | 2025-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                  | UBER TECHNOLOGIES INC 8% 11/01/2026 144A                                                      | CUSIP: 90353TAC4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |      2000 | PA      | $2022.77      | 0.01%             | 2026-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| OCEANEERING INTERNATIONAL INC                                          | OCEANEERING INTERNATIONAL INC 6% 02/01/2028                                                   | CUSIP: 675232AB8<br>LEI: 549300L6PH74701W0R30 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10871.34     | 0.04%             | 2028-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                                             | CIGNA CORP 3.4% 03/15/2051                                                                    | CUSIP: 125523CQ1<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |    150000 | PA      | $109323.49    | 0.43%             | 2051-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BATH and BODY WORKS INC                                                | BATH and BODY WORKS INC 6.95% 03/01/2033                                                      | CUSIP: 532716AK3<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6938.30      | 0.03%             | 2033-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| POST HOLDINGS INC                                                      | POST HLDGS INC 4.5% 09/15/2031 144A                                                           | CUSIP: 737446AR5<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8522.20      | 0.03%             | 2031-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                              | AMGEN INC 3% 02/22/2029                                                                       | CUSIP: 031162DD9<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |    260000 | PA      | $235167.71    | 0.93%             | 2029-02-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 15YR 2% 12/01/2037 #TBA                                                                  | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    350000 | PA      | $314409.41    | 1.24%             | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                               | INTERNATIONAL FLAVS and FRAG INC 2.3% 11/01/2030 144A                                         | CUSIP: 459506AQ4<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    150000 | PA      | $117905.40    | 0.47%             | 2030-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ARCHROCK PARTNERS L P / ARCHROCK PARTNERS FIN CORP                     | ARCHROCK PARTNERS LP / FIN CORP 6.25% 04/01/2028 144A                                         | CUSIP: 03959KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000 | PA      | $11130.00     | 0.04%             | 2028-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC TSFR3M+150 07/20/2035 144A                            | CUSIP: 01749WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | XX        |    250000 | PA      | $242349.00    | 0.96%             | 2035-07-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                                                  | ON SEMICONDUCTOR CORP 3.875% 09/01/2028 144A                                                  | CUSIP: 682189AQ8<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10640.28     | 0.04%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VM CONSOLIDATED INC                                                    | VM CONSOLIDATED INC 5.5% 04/15/2029 144A                                                      | CUSIP: 91835HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28000 | PA      | $24636.83     | 0.10%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST BILLS                                                              | UST BILLS 0% 04/20/2023                                                                       | CUSIP: 912796V48<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2400000 | PA      | $2359315.99   | 9.31%             | 2023-04-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MEG ENERGY CORP                                                        | MEG ENERGY CORP 5.875% 02/01/2029 144A                                                        | CUSIP: 552704AF5<br>LEI: 5493002WXPTG5ZC1T326 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $28470.00     | 0.11%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PG and E CORP                                                          | PG and E CORP 5% 07/01/2028                                                                   | CUSIP: 69331CAH1<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9226.10      | 0.04%             | 2028-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MACYS RETAIL HOLDINGS LLC                                              | MACYS RETAIL HOLDINGS LLC 5.875% 04/01/2029 144A                                              | CUSIP: 55617LAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3000 | PA      | $2790.45      | 0.01%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                                      | GENERAL MOTORS CO 5.4% 10/15/2029                                                             | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     40000 | PA      | $38599.36     | 0.15%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FRONTIER COMMUNICATIONS HOLDINGS LLC                                   | FRONTIER COMMUNICATIONS HOLDINGS LLC 8.75% 05/15/2030 144A                                    | CUSIP: 35908MAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $10345.00     | 0.04%             | 2030-05-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| 1011778 B C UNLIMITED LIABILITY CO / NEW RED FIN INC                   | 1011778 BC ULC/NEW RED FIN INC 3.5% 02/15/2029 144A                                           | CUSIP: 68245XAP4<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     13000 | PA      | $11084.36     | 0.04%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALOGY GROUP LLC / REALOGY CO-ISSUER CORP                             | REALOGY GROUP LLC / REALOGY CO-ISSUER CORP 5.25% 04/15/2030 144A                              | CUSIP: 75606DAQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $4410.00      | 0.02%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHEMOURS CO                                                            | CHEMOURS CO 4.625% 11/15/2029 144A                                                            | CUSIP: 163851AH1<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     43000 | PA      | $34615.00     | 0.14%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                           | Fidelity Cash Central Fund                                                                    | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   4736996 | NS      | $4737942.91   | 18.70%            |  |  |  | No            |                  1 | On Loan: No      |
| DAVITA INC                                                             | DAVITA INC 3.75% 02/15/2031 144A                                                              | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     11000 | PA      | $8085.00      | 0.03%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 15YR 2% 01/01/2038 #TBA                                                                  | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    250000 | PA      | $224861.35    | 0.89%             | 2038-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| COEUR MINING INC                                                       | COEUR MINING INC 5.125% 02/15/2029 144A                                                       | CUSIP: 192108BC1<br>LEI: 5493003AVK173D48DR70 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4672.38      | 0.02%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VICTORIA'S SECRET and CO                                               | VICTORIA'S SECRET and CO 4.625% 07/15/2029 144A                                               | CUSIP: 926400AA0<br>LEI: 5493006T3O70U3UWVF17 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6752.00      | 0.03%             | 2029-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAND INDUSTRIAL SERVICES INC                                          | BRAND INDUSTRIAL SERVICES INC 8.5% 07/15/2025 144A                                            | CUSIP: 10524PAB6<br>LEI: 549300B658W2BPDQMW42 | Long             | DBT              | CORP              | US        |     14000 | PA      | $11077.22     | 0.04%             | 2025-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CROCS INC                                                              | CROCS INC 4.125% 08/15/2031 144A                                                              | CUSIP: 227046AB5<br>LEI: 549300B0J6YCXD63OG72 | Long             | DBT              | CORP              | US        |     18000 | PA      | $14383.08     | 0.06%             | 2031-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANO HEALTH LLC                                                        | CANO HEALTH LLC 6.25% 10/01/2028 144A                                                         | CUSIP: 13782CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24000 | PA      | $12120.00     | 0.05%             | 2028-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLYDESDALE ACQUISITION HOLDINGS INC                                    | CLYDESDALE ACQUISITION HOLDINGS INC 6.625% 04/15/2029 144A                                    | CUSIP: 18972EAA3<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9634.59      | 0.04%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                | BRISTOL-MYERS SQUIBB CO 2.95% 03/15/2032                                                      | CUSIP: 110122DU9<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     70000 | PA      | $61776.55     | 0.24%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                                       | ALTICE FRANCE SA 5.125% 07/15/2029 144A                                                       | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     10000 | PA      | $7757.30      | 0.03%             | 2029-07-15      | Fixed         | 0.05%                 | 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 | Short            | ABS-MBS          | USGA              | US        |   -400000 | PA      | $-350950.64   | -1.39%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORPORATION                                                  | OPEN TEXT CORPORATION 3.875% 12/01/2029 144A                                                  | CUSIP: 683715AD8<br>LEI: 549300UQROQS42RKHM85 | Long             | DBT              | CORP              | CA        |     14000 | PA      | $11176.67     | 0.04%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                            | FX Forward: USD/EUR settle 2022-12-08                                                         | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $-2531.37     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AES CORP                                                               | AES CORP 1.375% 01/15/2026                                                                    | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    140000 | PA      | $124369.25    | 0.49%             | 2026-01-15      | Fixed         | 0.01%                 | 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        |    125000 | PA      | $97100.15     | 0.38%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA FINANCE PLC                                               | VIRGIN MEDIA FINANCE PLC 5% 07/15/2030 144A                                                   | CUSIP: 92769VAJ8<br>LEI: 2138001LVYC87DDHT482 | Long             | DBT              | CORP              | GB        |      8000 | PA      | $6521.96      | 0.03%             | 2030-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                         | CVR ENERGY INC 5.25% 02/15/2025 144A                                                          | CUSIP: 12662PAB4<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |     37000 | PA      | $35465.24     | 0.14%             | 2025-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNEOS HEALTH INC                                                      | SYNEOS HEALTH INC 3.625% 01/15/2029 144A                                                      | CUSIP: 87166BAA0<br>LEI: 549300F1ZGKDS8P6GU13 | Long             | DBT              | CORP              | US        |     12000 | PA      | $9487.44      | 0.04%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                             | FNMA 15YR 2% 10/01/2035#BK5705                                                                | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48061 | PA      | $43383.43     | 0.17%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| KBC GROUPE SA/NV                                                       | KBC GROUPE SA/NV 0.5/VAR 12/03/2029 REGS                                                      | CUSIP: N/A<br>LEI: 213800X3Q9LSAKRUWY91       | Long             | DBT              | CORP              | BE        |    100000 | PA      | $93846.51     | 0.37%             | 2029-12-03      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                         | MAGALLANES INC 5.141% 03/15/2052 144A                                                         | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    141000 | PA      | $109255.40    | 0.43%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                 | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         1 | NC      | $654.24       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                                              | UST NOTES 4.125% 10/31/2027                                                                   | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $506367.19    | 2.00%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                  | MINERAL RES LTD 8.5% 05/01/2030 144A                                                          | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     24000 | PA      | $24321.96     | 0.10%             | 2030-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                          | CITIGROUP INC 4.91%/VAR 05/24/2033                                                            | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     79000 | PA      | $75217.00     | 0.30%             | 2033-05-24      | 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                  | Long             | ABS-MBS          | USGA              | US        |   1575000 | PA      | $1295339.06   | 5.11%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    200000 | PA      | $194687.60    | 0.77%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                          | GOLDMAN SACHS GROUP INC (THE) 3.615/VAR 03/15/2028                                            | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    130000 | PA      | $120904.28    | 0.48%             | 2028-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN GUARDIAN LTD                                                | TRANSOCEAN GUARDIAN LTD 5.875% 01/15/2024 144A                                                | CUSIP: 893800AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     11941 | PA      | $11632.08     | 0.05%             | 2024-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT HOLDINGS INC                                                 | OPEN TEXT HOLDINGS INC 4.125% 12/01/2031 144A                                                 | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1000 | PA      | $776.10       | 0.00%             | 2031-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                          | CITIGROUP INC SOFR 2.014%/VAR 01/25/2026                                                      | CUSIP: 17327CAN3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    260000 | PA      | $241396.17    | 0.95%             | 2026-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AKUMIN ESCROW INC                                                      | AKUMIN ESCROW INC 7.5% 08/01/2028 144A                                                        | CUSIP: 01021FAB5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      8000 | PA      | $5460.00      | 0.02%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFEPOINT HEALTH INC                                                   | LIFEPOINT HEALTH INC 5.375% 01/15/2029 144A                                                   | CUSIP: 53219LAU3<br>LEI: 549300G8ZVHRTBBBSZ90 | Long             | DBT              | CORP              | US        |     12000 | PA      | $7039.56      | 0.03%             | 2029-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAP HLDGS INC                                           | NEXTERA ENERGY CAP HLDGS INC 1.9% 06/15/2028                                                  | CUSIP: 65339KBW9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    130000 | PA      | $111491.58    | 0.44%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TENNET HOLDING BV                                                      | TENNET HOLDING BV 2.993%/VAR PERP REGS                                                        | CUSIP: N/A<br>LEI: 724500LTUWK3JQG63903       | Long             | EP               | CORP              | NL        |    100000 | PA      | $100938.20    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| ONCOR ELEC DELIVERY CO LLC                                             | ONCOR ELEC DELIVERY CO LLC 4.15% 06/01/2032 144A                                              | CUSIP: 68233JCE2<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    130000 | PA      | $124448.97    | 0.49%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 5% 12/01/2052 #TBA                                                                  | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    150000 | PA      | $149343.68    | 0.59%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST 2021-FILM                                                  | BXHPP TRUST 2021-FILM 1ML+65 08/15/2036 144A                                                  | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $233957.73    | 0.92%             | 2036-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CCO HLDGS CAP CORP                                       | CCO HLDGS LLC/CAP CORP 4.25% 01/15/2034 144A                                                  | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $7790.00      | 0.03%             | 2034-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HOWMET AEROSPACE INC                                                   | HOWMET AEROSPACE INC 3% 01/15/2029                                                            | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6760.80      | 0.03%             | 2029-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| YUM BRANDS INC                                                         | YUM BRANDS INC 4.625% 01/31/2032                                                              | CUSIP: 988498AP6<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |     34000 | PA      | $29917.40     | 0.12%             | 2032-01-31      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 5% 12/01/2052 #TBA                                                                  | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -100000 | PA      | $-99562.45    | -0.39%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS INC                                              | ROGERS COMMUNICATIONS INC 4.55% 03/15/2052 144A                                               | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     70000 | PA      | $56976.05     | 0.22%             | 2052-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DIRECTV FINANCING LLC / DIRECTV FINANCING CO-OBLIGOR INC               | DIRECTV FINANCING LLC / CO-OBLIGOR INC 5.875% 08/15/2027 144A                                 | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9175.80      | 0.04%             | 2027-08-15      | Fixed         | 0.06%                 | 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        |    300000 | PA      | $283875.00    | 1.12%             | 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        |    220000 | PA      | $174815.87    | 0.69%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CORPOARATE OFFICE PPTYS LP                                             | CORPORATE OFFICE PPTYS LP 2% 01/15/2029                                                       | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    150000 | PA      | $116087.23    | 0.46%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA RESOURCES CORPORATION                                       | CALIFORNIA RES CORP 7.125% 02/01/2026 144A                                                    | CUSIP: 13057QAH0<br>LEI: 5493003Q8F0T4F4YMR48 | Long             | DBT              | CORP              | US        |     26000 | PA      | $25285.00     | 0.10%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ATKORE INC                                                             | ATKORE INC 4.25% 06/01/2031 144A                                                              | CUSIP: 047649AA6<br>LEI: 52990002TI38AM4RPV48 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6740.00      | 0.03%             | 2031-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                             | EATON 2019-1A AR 3ML+108 04/15/2031 144A                                                      | CUSIP: 27830XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $244560.25    | 0.97%             | 2031-04-15      | Variable      | 0.05%                 | 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        |    700000 | PA      | $598171.84    | 2.36%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TWILIO INC                                                             | TWILIO INC 3.625% 03/15/2029                                                                  | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |     18000 | PA      | $14850.00     | 0.06%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP HOLDINGS II LLC                                            | MATCH GROUP HLD II LLC 4.625% 06/01/2028 144A                                                 | CUSIP: 57665RAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $8943.99      | 0.04%             | 2028-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                 | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                 | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    190000 | PA      | $171617.25    | 0.68%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                       | PUGET ENERGY INC 4.224% 03/15/2032                                                            | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    190000 | PA      | $169519.78    | 0.67%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE GLOBAL FUNDING                                | EQUITABLE FINANCIAL LIFE GLOBAL FUNDING 1.3% 07/12/2026 144A                                  | CUSIP: 29449W7M3<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    200000 | PA      | $174843.90    | 0.69%             | 2026-07-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                         | MORGAN STANLEY 4.889%/VAR 07/20/2033                                                          | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     63000 | PA      | $60095.60     | 0.24%             | 2033-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HOWARD HUGHES CORP                                                     | HOWARD HUGHES CORP 4.375% 02/01/2031 144A                                                     | CUSIP: 44267DAF4<br>LEI: 549300BVHY25JZC1KI49 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12318.75     | 0.05%             | 2031-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                             | HUMANA INC 3.7% 03/23/2029                                                                    | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    130000 | PA      | $119713.33    | 0.47%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CROWN AMERS LLC / CROWN AMERS CAP CORP VI                              | CROWN AMERS LLC / CROWN AMERS CAP CORP VI 4.75% 02/01/2026                                    | CUSIP: 228187AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10000 | PA      | $9684.10      | 0.04%             | 2026-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCLAREN FINANCE PLC                                                    | MCLAREN FINANCE PLC 7.5% 08/01/2026 144A                                                      | CUSIP: 58175LAA8<br>LEI: 213800BKPDWMWX3GSG36 | Long             | DBT              | CORP              | GB        |      4000 | PA      | $3233.20      | 0.01%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TRANSOCEAN SENTRY LTD                                                  | TRANSOCEAN SENTRY LTD 5.375% 05/15/2023 144A                                                  | CUSIP: 89385AAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      7938 | PA      | $7861.47      | 0.03%             | 2023-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                                          | DISH DBS CORP 5.75% 12/01/2028 144A                                                           | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2000 | PA      | $1622.10      | 0.01%             | 2028-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD                                                       | ARES LIX CLO LTD 2021-59A A 3ML+103 04/25/2034 144A                                           | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $241707.75    | 0.95%             | 2034-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                                                    | OTIS WORLDWIDE CORP 2.565% 02/15/2030                                                         | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    140000 | PA      | $119299.64    | 0.47%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                     | FX Forward: EUR/USD settle 2022-12-08                                                         | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.23        | 0.00%             |  |  |  | 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        |    200000 | PA      | $169977.78    | 0.67%             | 2053-01-01      | 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                  | Short            | ABS-MBS          | USGA              | US        |   -300000 | PA      | $-256359.36   | -1.01%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                      | GENERAL MILLS INC 2.25% 10/14/2031                                                            | CUSIP: 370334CQ5<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    290000 | PA      | $236348.62    | 0.93%             | 2031-10-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                 | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.251% 12/05/2051 144A                                 | CUSIP: 72703PAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     99500 | PA      | $86300.43     | 0.34%             | 2051-12-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 15YR 2% 12/01/2037 #TBA                                                                  | CUSIP: 01F0204C0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -250000 | PA      | $-224578.15   | -0.89%            | 2037-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                          | FHLG 30YR 5% 12/01/2052#SD1924                                                                | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     49990 | PA      | $50386.09     | 0.20%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                                 | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                                   | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |    100000 | PA      | $80360.53     | 0.32%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SBA COMMUNICATIONS CORP                                                | SBA COMMUNICATIONS CORP 3.125% 02/01/2029                                                     | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10018.28     | 0.04%             | 2029-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHERN OIL AND GAS INC                                               | NORTHERN OIL AND GAS INC 8.125% 03/01/2028 144A                                               | CUSIP: 665531AG4<br>LEI: OKFF0PIZDDMNH4UCYE51 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7811.12      | 0.03%             | 2028-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| ZAYO GROUP HLDGS INC                                                   | ZAYO GROUP HLDGS INC 6.125% 03/01/2028 144A                                                   | CUSIP: 98919VAB1<br>LEI: 529900Z6OTS7RT0V0I47 | Long             | DBT              | CORP              | US        |     18000 | PA      | $9765.00      | 0.04%             | 2028-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 4.5% 12/01/2052 #TBA                                                                | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -100000 | PA      | $-97343.80    | -0.38%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                             | MARSH and MCLENNAN COS INC 2.375% 12/15/2031                                                  | CUSIP: 571748BP6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    210000 | PA      | $170514.24    | 0.67%             | 2031-12-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TREEHOUSE FOODS INC                                                    | TREEHOUSE FOODS INC 4% 09/01/2028                                                             | CUSIP: 89469AAD6<br>LEI: 5493007M7EVHE470Q576 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6815.76      | 0.03%             | 2028-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                           | NISOURCE INC 1.7% 02/15/2031                                                                  | CUSIP: 65473PAL9<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    230000 | PA      | $177255.38    | 0.70%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HILTON DOMESTIC OPERATING CO INC                                       | HILTON DOMESTIC OPERATING CO INC 3.625% 02/15/2032 144A                                       | CUSIP: 432833AN1<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     26000 | PA      | $21406.06     | 0.08%             | 2032-02-15      | 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        |    130000 | PA      | $106113.23    | 0.42%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                 | MPT OPER PARTNERSHIP LP/CORP 4.625% 08/01/2029                                                | CUSIP: 55342UAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5000 | PA      | $3932.40      | 0.02%             | 2029-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                           | WP CAREY INC 2.45% 02/01/2032                                                                 | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    220000 | PA      | $170403.26    | 0.67%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                    | ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032                                                  | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |    220000 | PA      | $167746.74    | 0.66%             | 2032-05-18      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                     | ALLY FINANCIAL 4.7/VAR INC PERP                                                               | CUSIP: 02005NBM1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | EP               | CORP              | US        |     20000 | PA      | $14487.50     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                              | GNII II 3% 12/01/2052 #TBA                                                                    | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -100000 | PA      | $-90193.56    | -0.36%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATI INC                                                                | ATI INC 4.875% 10/01/2029                                                                     | CUSIP: 01741RAL6<br>LEI: ZW1LRE7C3H17O2ZN9B45 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10229.15     | 0.04%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PROLOGIS LP                                                            | PROLOGIS LP 2.875% 11/15/2029                                                                 | CUSIP: 74340XBY6<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |    200000 | PA      | $174868.11    | 0.69%             | 2029-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| METHANEX CORP                                                          | METHANEX CORP 5.65% 12/01/2044                                                                | CUSIP: 59151KAJ7<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $22500.00     | 0.09%             | 2044-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                          | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                           | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     97000 | PA      | $80559.85     | 0.32%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                            | BANK OF AMERICA CORPORATION 2.456%/VAR 10/22/2025                                             | CUSIP: 06051GHW2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    260000 | PA      | $244636.37    | 0.97%             | 2025-10-22      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMMUNITIES INC                                        | TAYLOR MORRISON COMMUNITIES INC 5.125% 08/01/2030 144A                                        | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |     14000 | PA      | $12221.72     | 0.05%             | 2030-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERIZON MASTER TRUST                                                   | VERIZON MASTER TRUST 2021-1 A 0.99% 04/20/2028                                                | CUSIP: 92348KAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    107000 | PA      | $99094.31     | 0.39%             | 2028-04-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC            | UNITI GRP/UNITI HLD/CSL 6% 01/15/2030 144A                                                    | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34000 | PA      | $24532.36     | 0.10%             | 2030-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GEMS MENASA KY LTD/GEMS                                                | GEMS MENASA KY LTD/GEMS 7.125% 07/31/2026 144A                                                | CUSIP: 36166LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | AE        |     11000 | PA      | $10458.94     | 0.04%             | 2026-07-31      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                              | UST NOTES 2.5% 04/30/2024                                                                     | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $194234.38    | 0.77%             | 2024-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHERN STATES POWER CO (MN)                                          | NORTHERN STATES POWER CO (MN) 2.25% 04/01/2031                                                | CUSIP: 665772CT4<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |    210000 | PA      | $175858.51    | 0.69%             | 2031-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                            | UNITED STATES TREASURY BOND 3.25% 05/15/2042                                                  | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $89828.13     | 0.35%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                          | SYMPHONY CLO XXVI LTD 2021-26A AR 3ML+108 04/20/2033 144A                                     | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    310000 | PA      | $300576.62    | 1.19%             | 2033-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UPC BROADBAND FINCO BV                                                 | UPC BROADBAND FINCO BV 4.875% 07/15/2031 144A                                                 | CUSIP: 90320BAA7<br>LEI: 213800MNFBDEQRS6HZ22 | Long             | DBT              | CORP              | NL        |      8000 | PA      | $6741.08      | 0.03%             | 2031-07-15      | Fixed         | 0.05%                 | 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     | 0.18%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EMERGENT BIOSOLUTIONS INC                                              | EMERGENT BIOSOLUTIONS INC 3.875% 08/15/2028 144A                                              | CUSIP: 29089QAC9<br>LEI: 549300YW6TUOX8BE5103 | Long             | DBT              | CORP              | US        |     10000 | PA      | $4500.00      | 0.02%             | 2028-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP                      | ENVIVA PARTNERS LP / ENVIVA PARTNERS FINANCE CORP 6.5% 01/15/2026 144A                        | CUSIP: 29413XAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $5720.41      | 0.02%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                                 | MPT OPER PARTNERSHIP LP/CORP 5% 10/15/2027                                                    | CUSIP: 55342UAH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     48000 | PA      | $40982.40     | 0.16%             | 2027-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENCOMPASS HEALTH CORP                                                  | ENCOMPASS HEALTH CORP 4.625% 04/01/2031                                                       | CUSIP: 29261AAE0<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8630.25      | 0.03%             | 2031-04-01      | 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        |    140000 | PA      | $111806.14    | 0.44%             | 2028-11-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ATHENAHEALTH GROUP INC                                                 | ATHENAHEALTH GROUP INC 6.5% 02/15/2030 144A                                                   | CUSIP: 60337JAA4<br>LEI: 254900AA3KZN4Q7A5Z33 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7489.02      | 0.03%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GLOBAL PARTNERS LP / GLP FIN CORP                                      | GLOBAL PARTNERS LP / GLP FIN CORP 6.875% 01/15/2029                                           | CUSIP: 37954FAJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      6000 | PA      | $5448.00      | 0.02%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                                | ASTRAZENECA FINANCE LLC 1.75% 05/28/2028                                                      | CUSIP: 04636NAE3<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    140000 | PA      | $121731.01    | 0.48%             | 2028-05-28      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                         | MORGAN STANLEY 2.943%/VAR 01/21/2033                                                          | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     70000 | PA      | $57322.98     | 0.23%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                | SANTANDER HLDGS USA INC SOFR 5.807%/VAR 09/09/2026                                            | CUSIP: 80282KBE5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     31000 | PA      | $30865.48     | 0.12%             | 2026-09-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHS/CMNTY HEALTH SYSTEMS INC                                           | CHS/CMNTY HEALTH SYSTEMS INC 4.75% 02/15/2031 144A                                            | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     29000 | PA      | $21248.01     | 0.08%             | 2031-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                                                    | LBM ACQUISITION LLC 6.25% 01/15/2029 144A                                                     | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6888.14      | 0.03%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW FORTRESS ENERGY INC                                                | NEW FORTRESS ENERGY INC                                                                       | CUSIP: 644393100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       114 | NS      | $5802.60      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CORNERSTONE BUILDING BRANDS INC                                        | CORNERSTONE BUILDING BRANDS INC 6.125% 01/15/2029 144A                                        | CUSIP: 21925DAA7<br>LEI: 549300IW41QEWQ6T0H29 | Long             | DBT              | CORP              | US        |      8000 | PA      | $5397.20      | 0.02%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                              | GNII II 3% 01/01/2053 #TBA                                                                    | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100000 | PA      | $90256.06     | 0.36%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATING                                             | TERRAFORM GLOBAL OPERATING 6.125% 03/01/2026 144A                                             | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |     36000 | PA      | $33686.28     | 0.13%             | 2026-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| APX GROUP INC                                                          | APX GROUP INC 5.75% 07/15/2029 144A                                                           | CUSIP: 00213MAW4<br>LEI: 549300OMQVKPRU98OE64 | Long             | DBT              | CORP              | US        |     12000 | PA      | $10215.72     | 0.04%             | 2029-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                                          | AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS                                                      | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |    100000 | PA      | $92919.34     | 0.37%             | 2031-05-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| DRAFTKINGS INC/NEVADA                                                  | DRAFTKINGS INC/NEVADA CONV 0% 03/15/2028                                                      | CUSIP: 26142RAB0<br>LEI: 5493008P45UYYL683Z97 | Long             | DBT              | CORP              | US        |      4000 | PA      | $2552.00      | 0.01%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                             | ZOETIS INC 2% 05/15/2030                                                                      | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    140000 | PA      | $115342.51    | 0.46%             | 2030-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES LUXEMBOURG FINANCE SA                               | TRANE TECHNOLOGIES LUXEMBOURG FINANCE SA 3.8% 03/21/2029                                      | CUSIP: 456873AD0<br>LEI: 549300GHBOWCVY92IS29 | Long             | DBT              | CORP              | LU        |    130000 | PA      | $120530.79    | 0.48%             | 2029-03-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                                      | UNITED KINGDOM G.B. and N.IRELAND 4.25% 06/07/2032 REGS                                       | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     39000 | PA      | $51146.15     | 0.20%             | 2032-06-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                            | BANK OF AMERICA CORP 2.687%/VAR 04/22/2032                                                    | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     70000 | PA      | $56709.76     | 0.22%             | 2032-04-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                   | UMBS 30YR 3.5% 01/01/2053 #TBA                                                                | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     50000 | PA      | $45835.94     | 0.18%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SM ENERGY CO                                                           | SM ENERGY CO 6.5% 07/15/2028                                                                  | CUSIP: 78454LAW0<br>LEI: 84BUTVXV5ODI6BXNMH43 | Long             | DBT              | CORP              | US        |      8000 | PA      | $7740.00      | 0.03%             | 2028-07-15      | Fixed         | 0.07%                 | 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