# EDGAR Filing Document

**Accession Number:** 0000215829
**File Stem:** 0001752724-23-034876
**Filing Date:** 2023-2
**Character Count:** 91136
**Document Hash:** 3d4714e84df8de315da636d2cb1ab857
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-034876.hdr.sgml**: 20230223

**ACCESSION NUMBER**: 0001752724-23-034876

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230223

**DATE AS OF CHANGE**: 20230223

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SCHOOL STREET TRUST
- **CENTRAL INDEX KEY:** 0000215829
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02676
- **FILM NUMBER:** 23656945

**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 SCHOOL STREET TRUST/
- **DATE OF NAME CHANGE:** 19940526

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY LIMITED TERM MUNICIPALS
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Fidelity Series International Credit Fund (Series ID: S000058189)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000190811 | Fidelity Series International Credit Fund | FCDSX           |

## 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 School Street Trust

- **b. Investment Company Act file number:** 811-02676

- **c. CIK number of Registrant:** 0000215829

- **d. LEI of Registrant:** WX9R9SUUXPO900BH1D05

- **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 Series International Credit Fund

- **b. EDGAR series identifier (if any):** S000058189

- **c. LEI of Series:** 549300Z58RLCX0URKA18

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $101964614.73

**Total Liabilities:** $1157057.26

**Net Assets:** $100807557.47

**Cash Not Reported:** $701532.35

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1232.80127393 | **1-Year:** 7908.85154898 | **5-Year:** 14130.87246104 | **10-Year:** 6623.03522419 | **30-Year:** 2908.05257962

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

- **3-Month:** 375.18912800 | **1-Year:** 2453.36106184 | **5-Year:** 2654.87953715 | **10-Year:** 654.06169328 | **30-Year:** 209.50821961

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000190811 | -0.64%               | 3.48%                | -0.78%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $9.90                    | $-277310.44                                |
| Month 2  | $-913470.57              | $1989988.46                                |
| Month 3  | $-644300.31              | $-831189.97                                |

**Designated Index Information**

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

- **Index Identifier:** 77906588

### Schedule of Portfolio Investments

| Name                                                        | Title                                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANK OF IRELAND GROUP PLC                                   | BANK OF IRELAND (UNGTD) 1.375%/VAR 08/11/2031 REGS                                 | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    800000 | PA      | $720859.87    | 0.72%             | 2031-08-11      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                              | ADLER GROUP SA 2.25% 04/27/2027 REGS                                               | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |    200000 | PA      | $73861.05     | 0.07%             | 2027-04-27      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 2/VAR 02/07/2028 REGS                                         | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    500000 | PA      | $530953.90    | 0.53%             | 2028-02-07      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                             | FX Forward: USD/GBP settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2034.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 5.262%/VAR 01/29/2034 REGS                                    | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    190000 | PA      | $200811.86    | 0.20%             | 2034-01-29      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                               | AIB GROUP PLC 2.25%/VAR 04/04/2028 REGS                                            | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |   1200000 | PA      | $1146053.74   | 1.14%             | 2028-04-04      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CEZ AS                                                      | CEZ AS 2.375% 04/06/2027 REGS                                                      | CUSIP: N/A<br>LEI: 529900S5R9YHJHYKKG94       | Long             | DBT              | CORP              | CZ        |    150000 | PA      | $144836.70    | 0.14%             | 2027-04-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                     | BANK NOVA SCOTIA BC 6.567140%/VAR PERP                                             | CUSIP: 064159KJ4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    800000 | PA      | $743615.25    | 0.74%             |  |  |  | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                          | STICHTING AK RABOBANK CERTIFICATEN 6.5% PERP REGS                                  | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | EP               | CORP              | NL        |    379300 | PA      | $389216.44    | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOSTRADE PER L'ITALIA SPA                                 | AUTOSTRADE PER LITALIA SPA 2.25% 01/25/2032 REGS                                   | CUSIP: N/A<br>LEI: 815600149448CEB9B230       | Long             | DBT              | CORP              | IT        |    300000 | PA      | $244018.92    | 0.24%             | 2032-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                  | VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS                                    | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    900000 | PA      | $797225.34    | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                               | AIB GROUP PLC 1.875%/VAR 11/19/2029 REGS                                           | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | DBT              | CORP              | IE        |   1000000 | PA      | $976250.40    | 0.97%             | 2029-11-19      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |   1050000 | PA      | $911687.81    | 0.90%             | 2031-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                         | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1% 08/12/2027 REGS                             | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |    250000 | PA      | $184652.62    | 0.18%             | 2027-08-12      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                  | VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS                                    | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    300000 | PA      | $272402.63    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                  | VOLKSWAGEN INTL FINANCE NV 0 PERP REGS                                             | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |   1900000 | PA      | $1927077.61   | 1.91%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: USD/CAD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-113.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 8.407%/VAR 11/14/2032 REGS                                    | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |    300000 | PA      | $374073.31    | 0.37%             | 2032-11-14      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                           | UNITED KINGDOM G.B. and N.IRELAND 2.25% 09/07/2023 REGS                            | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |   3407000 | PA      | $4080254.13   | 4.05%             | 2023-09-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ORSTED A/S                                                  | ORSTED A/S 5.125% 09/13/2034 REGS                                                  | CUSIP: N/A<br>LEI: W9NG6WMZIYEU8VEDOG48       | Long             | DBT              | CORP              | DK        |    300000 | PA      | $356831.99    | 0.35%             | 2034-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                                      | SIRIUS REAL ESTATE LTD 1.125% 06/22/2026 REGS                                      | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |    300000 | PA      | $249652.92    | 0.25%             | 2026-06-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                           | HSBC HOLDINGS PLC 6.375%/VAR PERP                                                  | CUSIP: 404280AT6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | EP               | CORP              | GB        |    750000 | PA      | $726807.92    | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                        | HEATHROW FUNDING LTD 7.125% 02/14/2024 REGS                                        | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |    750000 | PA      | $907414.29    | 0.90%             | 2024-02-14      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A                         | BANCO BILBAO VIZ ARGENTARIA SA 5.875/VAR PERP REGS                                 | CUSIP: N/A<br>LEI: K8MS7FD7N5Z2WQ51AZ71       | Long             | EP               | CORP              | ES        |    400000 | PA      | $410837.85    | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                     | ARGENTUM NETHERLANDS BV 5.75%/VAR 08/15/2050 REGS                                  | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |   1300000 | PA      | $1238250.00   | 1.23%             | 2050-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTILITY FINANCE PLC                            | THAMES WATER UTILITY FIN PLC 1.875% 01/24/2024 REGS                                | CUSIP: N/A<br>LEI: 213800ESMPQ4RQ7G8351       | Long             | DBT              | CORP              | GB        |    130000 | PA      | $151568.95    | 0.15%             | 2024-01-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                                        | HEATHROW FUNDING LTD 2.625% 03/16/2028 REGS                                        | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |    650000 | PA      | $630242.92    | 0.63%             | 2028-03-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | BNP PARIBAS 2.159/VAR 09/15/2029 144A                                              | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    225000 | PA      | $183424.80    | 0.18%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | FX Forward: GBP/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8058.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                               | AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS                                            | CUSIP: N/A<br>LEI: ZP5ILWVSYE4LJGMMVD57       | Long             | DBT              | CORP              | HK        |    300000 | PA      | $248634.92    | 0.25%             | 2033-09-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                           | EURO-BUND FUTURE MAR23 RXH3                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        22 | NC      | $-196872.44   | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                             | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $325.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM ITXEX538 PAY 525 01/18/23                                                     | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |   3950000 | NC      | $14804.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                          | WELLS FARGO and CO NEW 2.125% 12/20/2023 REGS                                      | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |    130000 | PA      | $153163.16    | 0.15%             | 2023-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                    | LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033                                     | CUSIP: 53944YAU7<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $183638.07    | 0.18%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ILIAD SA                                                    | ILIAD SA 1.875% 02/11/2028 REGS                                                    | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |    200000 | PA      | $176020.52    | 0.17%             | 2028-02-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                           | LLOYDS BANK CORPORATE MARKETS PLC 1.75% 07/11/2024 REGS                            | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |    140000 | PA      | $161131.56    | 0.16%             | 2024-07-11      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                 | NATIONWIDE BUILDING SOC(UNGTD) 6.178%/VAR 12/07/2027 REGS                          | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |    300000 | PA      | $363461.15    | 0.36%             | 2027-12-07      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 7.437%/VAR 11/02/2033                                         | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $209560.25    | 0.21%             | 2033-11-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RWE AG                                                      | RWE AG 2.75% 05/24/2030 REGS                                                       | CUSIP: N/A<br>LEI: 529900GB7KCA94ACC940       | Long             | DBT              | CORP              | DE        |   1250000 | PA      | $1218437.44   | 1.21%             | 2030-05-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                            | VODAFONE GROUP PLC 4.875%/VAR 10/03/2078 REGS                                      | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |    250000 | PA      | $282521.94    | 0.28%             | 2078-10-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LAGARDERE SA                                                | LAGARDERE SA 1.625% 06/21/2024 REGS                                                | CUSIP: N/A<br>LEI: 969500VX2NV2AQQ65G45       | Long             | DBT              | CORP              | FR        |    100000 | PA      | $103338.67    | 0.10%             | 2024-06-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                               | CITIGROUP INC 5.875% 07/01/2024 REGS                                               | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |    200000 | PA      | $242558.89    | 0.24%             | 2024-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE CO SA                                       | CELLNEX FINANCE CO SA 1% 09/15/2027 REGS                                           | CUSIP: N/A<br>LEI: 549300OUROMFTRFA7T23       | Long             | DBT              | CORP              | ES        |    900000 | PA      | $801429.64    | 0.80%             | 2027-09-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO PLC                                | BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS                                      | CUSIP: N/A<br>LEI: 213800FKA5MF17RJKT63       | Long             | EP               | CORP              | GB        |   1900000 | PA      | $1574830.19   | 1.56%             |  |  |  | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                           | QBE INS GROUP LTD 5.875/VAR PERP 144A                                              | CUSIP: 74728GAE0<br>LEI: 549300D2FBW76FPUSG65 | Long             | EP               | CORP              | AU        |    650000 | PA      | $612740.82    | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                                         | VIRGIN MONEY UK PLC 5.125/VAR 12/11/2030 REGS                                      | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |    400000 | PA      | $447340.05    | 0.44%             | 2030-12-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL           | BLACKSTONE PROP PARTNERS EUR HOLD 2.625% 10/20/2028 REGS                           | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    250000 | PA      | $225939.46    | 0.22%             | 2028-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                           | LLOYDS BANK CORPORATE MARKETS PLC 1.5% 06/23/2023 REGS                             | CUSIP: N/A<br>LEI: 213800MBWEIJDM5CU638       | Long             | DBT              | CORP              | GB        |    130000 | PA      | $154932.41    | 0.15%             | 2023-06-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                           | HSBC HOLDINGS PLC 7.39%/VAR 11/03/2028                                             | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    350000 | PA      | $367832.63    | 0.36%             | 2028-11-03      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 02/15/2032 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |    680000 | PA      | $582205.42    | 0.58%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ILIAD SA                                                    | ILIAD SA 1.5% 10/14/2024 REGS                                                      | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |    200000 | PA      | $202741.09    | 0.20%             | 2024-10-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 0.75% 03/31/2026                                                         | CUSIP: 91282CBT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1960000 | PA      | $1756726.56   | 1.74%             | 2026-03-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                         | WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS                                         | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    250000 | PA      | $253885.54    | 0.25%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                   | ROYAL BK SCOTLND GRP PLC(UNGTD) 3.622%/VAR 08/14/2030 REGS                         | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    250000 | PA      | $277872.74    | 0.28%             | 2030-08-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                              | JOHN LEWIS PLC 6.125% 01/21/2025                                                   | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |   1474000 | PA      | $1706111.50   | 1.69%             | 2025-01-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                                     | VEOLIA ENVIRONNEMENT SA 2%/VAR PERP REGS                                           | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | EP               | CORP              | FR        |    900000 | PA      | $786379.33    | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                            | SOCIETE GENERALE FRANCE 4.75% 11/24/2025 144A                                      | CUSIP: 83367TBR9<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $191968.77    | 0.19%             | 2025-11-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AT SECURITIES BV                                            | AT SECURITIES BV 5.25%/VAR PERP REGS                                               | CUSIP: N/A<br>LEI: 894500FVP65TB5QVZL54       | Long             | EP               | CORP              | NL        |    750000 | PA      | $345060.00    | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                             | ROLLS-ROYCE PLC 3.375% 06/18/2026                                                  | CUSIP: N/A<br>LEI: X57JK1U580XATGR67572       | Long             | DBT              | CORP              | GB        |    740000 | PA      | $766978.19    | 0.76%             | 2026-06-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                         | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $330.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GRAND CITY PROPERTIES SA                                    | GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS                                        | CUSIP: N/A<br>LEI: 5299002QLUYKK2WBMB18       | Long             | EP               | CORP              | LU        |   1300000 | PA      | $575142.08    | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| VIA OUTLETS                                                 | VIA OUTLETS 1.75% 11/15/2028 REGS                                                  | CUSIP: N/A<br>LEI: 2594009AT1MND8D7E216       | Long             | DBT              | CORP              | NL        |    450000 | PA      | $362881.91    | 0.36%             | 2028-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                            | SOCIETE GENERALE FRANCE 7.875% PERP REGS                                           | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | EP               | CORP              | FR        |    200000 | PA      | $197963.72    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ENEL SPA                                                    | ENEL SPA 2.5%/VAR PERP REGS                                                        | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | EP               | CORP              | IT        |    900000 | PA      | $938317.93    | 0.93%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL HOTELS GROUP PLC NEW                       | INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS                              | CUSIP: N/A<br>LEI: 2138007ZFQYRUSLU3J98       | Long             | DBT              | CORP              | GB        |    860000 | PA      | $897501.80    | 0.89%             | 2028-10-08      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALPHA BANK SA                                               | ALPHA BANK SA 4.25%/VAR 02/13/2030 REGS                                            | CUSIP: N/A<br>LEI: 5299009N55YRQC69CN08       | Long             | DBT              | CORP              | GR        |    250000 | PA      | $216819.65    | 0.22%             | 2030-02-13      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: USD/GBP settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2152.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 1.25% 08/15/2048 REGS                                  | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |   1195000 | PA      | $994952.23    | 0.99%             | 2048-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                               | LONG GILT FUTURE MAR23 G H3                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       -22 | NC      | $161239.84    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| SSE PLC                                                     | SSE PLC 3.74%/VAR PERP REGS                                                        | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |    400000 | PA      | $438848.85    | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE ASSURANCES SA                               | CRDT AGR ASSR 4.75/VAR 9/27/48                                                     | CUSIP: N/A<br>LEI: 969500K2MUPSI57XK083       | Long             | DBT              | CORP              | FR        |    400000 | PA      | $412388.48    | 0.41%             | 2048-09-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                               | AIB GROUP PLC 6.25%/VAR PERP REGS                                                  | CUSIP: N/A<br>LEI: 635400AKJBGNS5WNQL34       | Long             | EP               | CORP              | IE        |    450000 | PA      | $449887.98    | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| VODAFONE GRP PLC                                            | VODAFONE GROUP PLC 6.25%/VAR 10/03/2078 REGS                                       | CUSIP: N/A<br>LEI: 213800TB53ELEUKM7Q61       | Long             | DBT              | CORP              | GB        |    200000 | PA      | $190560.00    | 0.19%             | 2078-10-03      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                         | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1707.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM,G.B. and N.IRELAND                           | UNITED KINGDOM G.B. and N.IRELAND 1% 04/22/2024 REGS                               | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |   1393000 | PA      | $1627600.57   | 1.61%             | 2024-04-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                             | DANSKE BANK AS (UNGTD) 2.25%/VAR 01/14/2028 REGS                                   | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |    705000 | PA      | $727485.58    | 0.72%             | 2028-01-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                        | CREDIT SUISSE GRP AG 7.75%/VAR 03/01/2029 REGS                                     | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    500000 | PA      | $531456.88    | 0.53%             | 2029-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                    | BAYER AG 2.375%/VAR 11/12/2079 REGS                                                | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | EP               | CORP              | DE        |   1100000 | PA      | $1053881.57   | 1.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                        | CREDIT SUISSE AG 7.5%/VAR PERP REGS                                                | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |   1900000 | PA      | $1653000.00   | 1.64%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL           | BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS                               | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |   1050000 | PA      | $819263.55    | 0.81%             | 2028-05-04      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                         | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-188.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                   | BANK IRELAND GROUP PLC 2.375%/VAR 10/14/2029 REGS                                  | CUSIP: N/A<br>LEI: 635400C8EK6DRI12LJ39       | Long             | DBT              | CORP              | IE        |    800000 | PA      | $794496.55    | 0.79%             | 2029-10-14      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                            | AUSNET SERVICES HOLDINGS PTY LTD 1.625%/VAR 03/11/2081 REGS                        | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |    150000 | PA      | $130862.51    | 0.13%             | 2081-03-11      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                       | MARKS and SPENCER PLC 3.75% 05/19/2026 REGS                                        | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |    400000 | PA      | $420735.88    | 0.42%             | 2026-05-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                               | UNICREDIT SPA 2.731%/VAR 01/15/2032 REGS                                           | CUSIP: N/A<br>LEI: 549300TRUWO2CD2G5692       | Long             | DBT              | CORP              | IT        |   1050000 | PA      | $944184.10    | 0.94%             | 2032-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| JDE PEETS BV                                                | JDE PEETS BV 2.25% 09/24/2031 144A                                                 | CUSIP: 47216QAC7<br>LEI: 724500EHG519SE5ZRT89 | Long             | DBT              | CORP              | NL        |    150000 | PA      | $113385.63    | 0.11%             | 2031-09-24      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                        | CREDIT SUISSE GRP AG 4.282% 01/09/2028 144A                                        | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    298000 | PA      | $246997.64    | 0.25%             | 2028-01-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                 | AUST 10Y BOND FUT MAR23 XMH3                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         8 | NC      | $-37935.38    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ENEL SPA                                                    | ENEL SOCIETA PER AZIONI 3.375%/VAR PERP REGS                                       | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |    550000 | PA      | $530613.39    | 0.53%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                                        | ZF EUROPE FINANCE BV 2% 02/23/2026 REGS                                            | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |    200000 | PA      | $184096.42    | 0.18%             | 2026-02-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                     | CAN 10YR BOND FUT MAR23 CNH3                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | CA        |        36 | NC      | $-63064.24    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE SA                                          | CREDIT AGRICOLE SA 1.25% 10/02/2024 REGS                                           | CUSIP: N/A<br>LEI: 969500TJ5KRTCJQWXH05       | Long             | DBT              | CORP              | FR        |    100000 | PA      | $113343.41    | 0.11%             | 2024-10-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN AB                                               | HEIMSTADEN AB 4.375% 03/06/2027 REGS                                               | CUSIP: N/A<br>LEI: 549300WD2QBD89VBPV88       | Long             | DBT              | CORP              | SE        |    500000 | PA      | $351692.06    | 0.35%             | 2027-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                             | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $927.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLIAN WATER (OSPREY) FINANCING PLC                        | ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS                            | CUSIP: N/A<br>LEI: 21380072JDZ74GW9ZY87       | Long             | DBT              | CORP              | GB        |    175000 | PA      | $161750.86    | 0.16%             | 2028-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: USD/GBP settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $742.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                             | FX Forward: USD/GBP settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $495858.53    | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                   | NATWEST GRP PLC(UNGTD) 3.619%/VAR 03/29/2029 REGS                                  | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    600000 | PA      | $632817.14    | 0.63%             | 2029-03-29      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                            | SOUTHERN COMPANY EUSA5 1.875/VAR 09/15/2081                                        | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |   1000000 | PA      | $832531.78    | 0.83%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                              | COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS                                          | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |    100000 | PA      | $121236.89    | 0.12%             | 2033-02-28      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                 | SEVERN TRENT WATER UTIL FIN 6.125% 02/26/2024 REGS                                 | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |     65000 | PA      | $79279.87     | 0.08%             | 2024-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                           | EURO-BUXL 30Y BND FUT MAR23 UBH3                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         6 | NC      | $-133410.14   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| BPCE SA                                                     | BPCE SA 1.5%/VAR 01/13/2042 REGS                                                   | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |    800000 | PA      | $717261.44    | 0.71%             | 2042-01-13      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| ACCENTRO REAL ESTATE AG                                     | ACCENTRO REAL ESTATE AG 3.625% 02/13/2023 REGS                                     | CUSIP: N/A<br>LEI: 391200VKLY50XNAFCM46       | Long             | DBT              | CORP              | DE        |    525000 | PA      | $268157.36    | 0.27%             | 2023-02-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN WTR SERVICES FIN LTD                               | SOUTHERN WTR SERVICES FIN LTD 1.625% 03/30/2027 REGS                               | CUSIP: N/A<br>LEI: 213800BTY35K1724Z452       | Long             | DBT              | CORP              | KY        |    208000 | PA      | $214301.11    | 0.21%             | 2027-03-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                     | BANK NOVA SCOTIA BC 4.9/VAR PERP                                                   | CUSIP: 064159VJ2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | EP               | CORP              | CA        |    350000 | PA      | $335562.50    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                                       | EDF SA 5.25/VAR PERP REGS                                                          | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | EP               | CORP              | FR        |   2300000 | PA      | $2300000.00   | 2.28%             |  |  |  | No            |                  2 | On Loan: No      |
| CIA DE SEGUROS FIDELIDADE SA                                | FIDELIDADE COMPANHIA 4.25%/VAR 09/04/2031 REGS                                     | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |    300000 | PA      | $259197.69    | 0.26%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                          | TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS                                           | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |    200000 | PA      | $213802.96    | 0.21%             | 2026-02-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 2YR NOTE (CBT) FUT MAR23 TUH3                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        53 | NC      | $12731.93     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL           | BLACKSTONE PROP PARTNERS EUR HOLD 1.75% 03/12/2029 REGS                            | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    600000 | PA      | $468259.79    | 0.46%             | 2029-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | BNP PARIBAS 2.50%/VAR 03/31/2032 REGS                                              | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |    900000 | PA      | $852170.26    | 0.85%             | 2032-03-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RENTOKIL INITIAL PLC                                        | RENTOKIL INITIAL PLC 5% 06/27/2032 REGS                                            | CUSIP: N/A<br>LEI: 549300VN4WV7Z6T14K68       | Long             | DBT              | CORP              | GB        |    300000 | PA      | $341119.02    | 0.34%             | 2032-06-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                           | HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS                                       | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    400000 | PA      | $500403.75    | 0.50%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| DANONE SA                                                   | DANONE 1.75/VAR PERP REGS                                                          | CUSIP: N/A<br>LEI: 969500KMUQ2B6CBAF162       | Long             | EP               | CORP              | FR        |    600000 | PA      | $631874.22    | 0.63%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | BNP PARIBAS 6.625%/VAR PERP REGS                                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | EP               | CORP              | FR        |    550000 | PA      | $531465.00    | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                                 | CITYCON OYJ 4.496%/VAR PERP REGS                                                   | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |    300000 | PA      | $187944.26    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                               | UNICREDIT SPA 5.861%/VAR 06/19/2032 144A                                           | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $175575.01    | 0.17%             | 2032-06-19      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                                       | AEROPORTI DI ROMA SPA 1.75% 07/30/2031 REGS                                        | CUSIP: N/A<br>LEI: 8156007259ABDEA3F444       | Long             | DBT              | CORP              | IT        |    175000 | PA      | $139189.38    | 0.14%             | 2031-07-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                        | HEIMSTADEN BOSTAD AB 3.625/VAR PERP REGS                                           | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |    150000 | PA      | $83495.10     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                            | DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS                                         | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    400000 | PA      | $395141.63    | 0.39%             | 2028-05-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                | UBS GROUP AG 7/VAR PERP RGS                                                        | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | EP               | CORP              | CH        |    200000 | PA      | $197500.00    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| GTC AURORA LUXEMBOURG SA                                    | GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS                                     | CUSIP: N/A<br>LEI: 549300UAWIR6P1PVC062       | Long             | DBT              | CORP              | LU        |    500000 | PA      | $390981.86    | 0.39%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG                                            | CREDIT SUISSE AG 6.5% 08/08/2023 REGS                                              | CUSIP: N/A<br>LEI: ANGGYXNX0JLX3X63JN86       | Long             | DBT              | CORP              | CH        |    795000 | PA      | $768765.00    | 0.76%             | 2023-08-08      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARKS and SPENCER PLC                                       | MARKS and SPENCER PLC STEP 07/10/2027 REGS                                         | CUSIP: N/A<br>LEI: 213800CN1RI3UCIZWB95       | Long             | DBT              | CORP              | GB        |    520000 | PA      | $538410.72    | 0.53%             | 2027-07-10      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                               | AROUNDTOWN SA 3.375%/VAR PERP REGS                                                 | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | EP               | CORP              | LU        |   1400000 | PA      | $693311.19    | 0.69%             |  |  |  | No            |                  2 | On Loan: No      |
| AEROPORTI DI ROMA SPA                                       | AEROPORTI DI ROMA SPA 1.625% 02/02/2029 REGS                                       | CUSIP: N/A<br>LEI: 8156007259ABDEA3F444       | Long             | DBT              | CORP              | IT        |    100000 | PA      | $87144.26     | 0.09%             | 2029-02-02      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VALEO                                                       | VALEO 1% 08/03/2028 REGS                                                           | CUSIP: N/A<br>LEI: 5493006IH2N2WMIBB742       | Long             | DBT              | CORP              | FR        |    400000 | PA      | $329057.19    | 0.33%             | 2028-08-03      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WHITBREAD GROUP PLC                                         | WHITBREAD GROUP PLC 3.375% 10/16/2025 REGS                                         | CUSIP: N/A<br>LEI: 2138006LIAYQKUCYBB20       | Long             | DBT              | CORP              | GB        |    800000 | PA      | $891237.94    | 0.88%             | 2025-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                       | CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS                                          | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | EP               | CORP              | LU        |    800000 | PA      | $437171.78    | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                             | FX Forward: USD/EUR settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1449.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM ITXEX538 PAY 487.5 01/18/23                                                   | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |   3850000 | NC      | $31170.98     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| M and G PLC                                                 | PRUDENTIAL PLC 6.5%/VAR 10/20/2048 REGS                                            | CUSIP: N/A<br>LEI: 254900TWUJUQ44TQJY84       | Long             | DBT              | CORP              | GB        |    500000 | PA      | $488750.00    | 0.48%             | 2048-10-20      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                               | BAT INTL FINANCE PLC 2.25% 06/26/2028 REGS                                         | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |    510000 | PA      | $496884.40    | 0.49%             | 2028-06-26      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| IBERDROLA FINANZAS SAU                                      | IBERDROLA FINANZAS SAU 7.375% 01/29/2024                                           | CUSIP: N/A<br>LEI: 5493004PZNZWWBOUV388       | Long             | DBT              | CORP              | ES        |    100000 | PA      | $123573.62    | 0.12%             | 2024-01-29      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                             | ZF FINANCE GMBH 2% 05/06/2027 REGS                                                 | CUSIP: N/A<br>LEI: 5493001N9T6QDCCXB426       | Long             | DBT              | CORP              | DE        |    300000 | PA      | $261789.25    | 0.26%             | 2027-05-06      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 05/15/2035 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |   1350000 | PA      | $1053691.46   | 1.05%             | 2035-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                         | FX Forward: USD/CAD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $387.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLOVERIE PLC                                                | CLOVERIE PLC 4.5/VAR 09/11/2044 REGS                                               | CUSIP: N/A<br>LEI: 5493002N598MXOKUEF55       | Long             | DBT              | CORP              | IE        |    902000 | PA      | $852390.00    | 0.85%             | 2044-09-11      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                                 | IMPERIAL BRANDS FINANCE PLC 3.5% 07/26/2026 144A                                   | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   2407000 | PA      | $2207560.70   | 2.19%             | 2026-07-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                           | QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS                                         | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    600000 | PA      | $548913.03    | 0.54%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                        | CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A                                     | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    250000 | PA      | $194073.57    | 0.19%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC BANK USA NA                                            | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 1IE8VN30JCEQV1H4R804       | N/A              | DFE              | CORP              | US        |         1 | NC      | $482.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: USD/EUR settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-373503.38   | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| TECHNIP ENERGIES NV                                         | TECHNIP ENERGIES NV 1.125% 05/28/2028 REGS                                         | CUSIP: N/A<br>LEI: 724500FLODI49NSCIP70       | Long             | DBT              | CORP              | NL        |    600000 | PA      | $519740.45    | 0.52%             | 2028-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                              | ADLER GROUP SA 1.875% 01/14/2026 REGS                                              | CUSIP: N/A<br>LEI: 391200OYYFJ3DWAMEC69       | Long             | DBT              | CORP              | LU        |   2000000 | PA      | $856360.00    | 0.85%             | 2026-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 7.125/VAR PERP                                                | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    200000 | PA      | $228188.34    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN POWER DISTRIBUTION PLC                              | WESTERN POWER DISTRIBUTION PLC 3.625% 11/06/2023 REGS                              | CUSIP: N/A<br>LEI: 549300HFCD0G1TPU4N09       | Long             | DBT              | CORP              | GB        |    130000 | PA      | $155380.95    | 0.15%             | 2023-11-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TRAVIS PERKINS PLC                                          | TRAVIS PERKINS PLC 4.5% 09/07/2023 REGS                                            | CUSIP: N/A<br>LEI: 2138001I27OUBAF22K83       | Long             | DBT              | CORP              | GB        |    350000 | PA      | $416785.51    | 0.41%             | 2023-09-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                         | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   3368284 | NS      | $3368957.59   | 3.34%             |  |  |  | No            |                  1 | On Loan: No      |
| TRITAX EUROBOX PLC                                          | TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS                                           | CUSIP: N/A<br>LEI: 213800HK59N7H979QU33       | Long             | DBT              | CORP              | GB        |    210000 | PA      | $182393.29    | 0.18%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AKELIUS RESIDENTIAL AB                                      | AKELIUS RESIDENTIAL AB 3.875/VAR 10/05/2078 REGS                                   | CUSIP: N/A<br>LEI: 213800REBFN6T3PU8L97       | Long             | DBT              | CORP              | SE        |    251000 | PA      | $257591.18    | 0.26%             | 2078-10-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP PLC                                   | BANK IRELAND GROUP PLC 2.029%/VAR 09/30/2027 144A                                  | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |    950000 | PA      | $801617.60    | 0.80%             | 2027-09-30      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1618.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRUDENTIAL PLC                                              | PRUDENTIAL PLC 2.95%/VAR 11/03/2033 REGS                                           | CUSIP: N/A<br>LEI: 5493001Z3ZE83NGK8Y12       | Long             | DBT              | CORP              | GB        |   1300000 | PA      | $1063498.80   | 1.05%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                           | QBE INS GROUP LTD 6.75%/VAR 12/02/2044 REGS                                        | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | DBT              | CORP              | AU        |    570000 | PA      | $552900.00    | 0.55%             | 2044-12-02      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MPT OPER PARTNERSHIP LP / MPT FIN CORP                      | MPT OPER PARTNERSHIP LP/CORP 2.5% 03/24/2026                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |    250000 | PA      | $239810.34    | 0.24%             | 2026-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT | HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS | CUSIP: N/A<br>LEI: 969500I3QVK40XEORU25       | Long             | DBT              | CORP              | FR        |    200000 | PA      | $166684.05    | 0.17%             | 2028-09-16      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 5YR NOTE (CBT) FUT MAR23 FVH3                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        88 | NC      | $1198.34      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| VOLKSWAGEN INTL FINANCE NV                                  | VOLKSWAGEN INTL FINANCE NV 3.375/VAR PERP REGS                                     | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | EP               | CORP              | NL        |    100000 | PA      | $101558.09    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LEIGHTON FIN USA PTY LTD                                    | LEIGHTON FIN USA PTY LTD 1.5% 05/28/2029 REGS                                      | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |    700000 | PA      | $560298.10    | 0.56%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                         | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1.75% 01/14/2025 REGS                          | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | DBT              | CORP              | SE        |    200000 | PA      | $182408.96    | 0.18%             | 2025-01-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                | UBS GROUP AG 4.988%/VAR 08/05/2033 REGS                                            | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    200000 | PA      | $185136.28    | 0.18%             | 2033-08-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                         | PETROLEOS MEXICANOS 6.5% 03/13/2027                                                | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   1980000 | PA      | $1799325.00   | 1.78%             | 2027-03-13      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NATIONAL EXPRESS GROUP PLC                                  | NATIONAL EXPRESS GROUP 4.25%/VAR PERP REGS                                         | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |    190000 | PA      | $188671.40    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTUM NETHERLANDS BV                                     | ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS                                 | CUSIP: N/A<br>LEI: 724500RPEZI5VVQQWE89       | Long             | DBT              | CORP              | NL        |    964000 | PA      | $882060.00    | 0.87%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                           | EURO-BOBL FUTURE MAR23 OEH3                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -9 | NC      | $35252.98     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN AB                         | SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624/VAR PERP REGS                            | CUSIP: N/A<br>LEI: 549300HX9MRFY47AH564       | Long             | EP               | CORP              | SE        |    650000 | PA      | $259182.71    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                   | NATWEST GRP PLC(UNGTD) 2.105/VAR 11/28/2031 REGS                                   | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    650000 | PA      | $650831.74    | 0.65%             | 2031-11-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: EUR/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $418.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALPHA TRAINS FINANCE SA                                     | ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS                                     | CUSIP: N/A<br>LEI: 529900FR0E130P05IY43       | Long             | DBT              | CORP              | LU        |    802000 | PA      | $805325.35    | 0.80%             | 2030-06-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| QBE INS GROUP LTD                                           | QBE INS GROUP LTD 5.25%/VAR PERP REGS                                              | CUSIP: N/A<br>LEI: 549300D2FBW76FPUSG65       | Long             | EP               | CORP              | AU        |   1100000 | PA      | $979049.57    | 0.97%             |  |  |  | No            |                  2 | On Loan: No      |
| LAGARDERE SA                                                | LAGARDERE SA 1.75% 10/07/2027 REGS                                                 | CUSIP: N/A<br>LEI: 969500VX2NV2AQQ65G45       | Long             | DBT              | CORP              | FR        |    200000 | PA      | $197450.50    | 0.20%             | 2027-10-07      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC (UNGTD)                                   | NATWEST GRP PLC(UNGTD) 7.416%/VAR 06/06/2033 REGS                                  | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    300000 | PA      | $365249.18    | 0.36%             | 2033-06-06      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| THE BERKELEY GROUP PLC                                      | THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS                                        | CUSIP: N/A<br>LEI: 2138001V85JLYR7AUB61       | Long             | DBT              | CORP              | GB        |    400000 | PA      | $321714.17    | 0.32%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 5.875% PERP REGS                                              | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    350000 | PA      | $386772.72    | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP HOLDINGS NV                                          | AERCAP HOLDINGS NV 5.875/VAR 10/10/2079                                            | CUSIP: 00774YAA7<br>LEI: 549300SZYINBBLJQU475 | Long             | EP               | CORP              | NL        |   1050000 | PA      | $955972.50    | 0.95%             |  |  |  | No            |                  2 | On Loan: No      |
| SSE PLC                                                     | SSE PLC 4%/VAR PERP REGS                                                           | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |    500000 | PA      | $486958.41    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US LONG BOND(CBT) FUT MAR23 USH3                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |        95 | NC      | $-28973.07    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| NGG FINANCE PLC                                             | NGG FINANCE PLC 2.125/VAR 09/05/2082 REGS                                          | CUSIP: N/A<br>LEI: 549300MLDJ2T68G21W86       | Long             | DBT              | CORP              | GB        |   1000000 | PA      | $885583.28    | 0.88%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                   | ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031                                        | CUSIP: 01609WAX0<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $157752.00    | 0.16%             | 2031-02-09      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | JPSW SWAP CDS 12/20/27 ISPIM B                                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |   1000000 | NC      | $5125.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                        | DUKE ENERGY CORP NEW 3.85% 06/15/2034                                              | CUSIP: N/A<br>LEI: I1BZKREC126H0VB1BL91       | Long             | DBT              | CORP              | US        |    550000 | PA      | $543962.01    | 0.54%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                                 | SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS                                 | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |    140000 | PA      | $158530.15    | 0.16%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                 | FX Forward: USD/EUR settle 2023-01-12                                              | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $-18933.85    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                        | CREDIT SUISSE GRP AG 2.125%/VAR 11/15/2029 REGS                                    | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    500000 | PA      | $428143.60    | 0.42%             | 2029-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | FX Forward: USD/EUR settle 2023-01-12                                              | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1179.42     | -0.00%            |  |  |  | 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        |    400000 | PA      | $350687.50    | 0.35%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | FX Forward: USD/AUD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $32.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR          | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025                 | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    150000 | PA      | $151991.69    | 0.15%             | 2025-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENBW ENERGIE BADEN-WUERTTEM AG                              | ENBW ENERGIE BADEN-WUERTTEM AG 1.375%/VAR 08/31/2081 REGS                          | CUSIP: N/A<br>LEI: 529900JSFZ4TS59HKD79       | Long             | DBT              | CORP              | DE        |    500000 | PA      | $395389.62    | 0.39%             | 2081-08-31      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                                        | CREDIT SUISSE GRP AG 7.375%/VAR 09/07/2033 REGS                                    | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | DBT              | CORP              | CH        |    250000 | PA      | $274371.20    | 0.27%             | 2033-09-07      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC (UNGTD)                                        | BARCLAYS PLC (UNGTD) 8.875%/VAR PERP REGS                                          | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | EP               | CORP              | GB        |    200000 | PA      | $237882.67    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY FEDERAL REPUBLIC OF                                 | GERMANY FEDERAL REPUBLIC OF 0% 10/10/2025 REGS                                     | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |   1850000 | PA      | $1849036.45   | 1.83%             | 2025-10-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TELEFONICA EUROPE BV                                        | TELEFONICA EUROPE BV 3.875%/VAR PERP REGS                                          | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | EP               | CORP              | NL        |    500000 | PA      | $484378.62    | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                           | HSBC HOLDINGS PLC 5.402%/VAR 08/11/2033                                            | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $185204.62    | 0.18%             | 2033-08-11      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ZURICH FINANCE (IRELAND) DAC                                | ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS                              | CUSIP: N/A<br>LEI: 549300E0FVHYR37EGX65       | Long             | DBT              | CORP              | IE        |    600000 | PA      | $460500.00    | 0.46%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                          | FX Forward: GBP/USD settle 2023-01-12                                              | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-327.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                                        | HEIMSTADEN BOSTAD AB 3.248%/VAR PERP REGS                                          | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |   1500000 | PA      | $1158735.36   | 1.15%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYER AG                                                    | BAYER AG 3.75% 07/01/2074 REGS                                                     | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | CORP              | DE        |    500000 | PA      | $512696.31    | 0.51%             | 2074-07-01      | Variable      | 0.04%                 | 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        |    250000 | PA      | $240101.93    | 0.24%             | 2031-05-30      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                    | LLOYDS BANKING GROUP PLC 1.985%/VAR 12/15/2031                                     | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |    400000 | PA      | $404750.66    | 0.40%             | 2031-12-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                              | BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS                              | CUSIP: N/A<br>LEI: 549300ORP3TTCNXSYO43       | Long             | DBT              | CORP              | US        |    800000 | PA      | $866325.83    | 0.86%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                            | DEUTSCHE BANK AG 4%/VAR 06/24/2032 REGS                                            | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | Long             | DBT              | CORP              | DE        |    800000 | PA      | $757660.85    | 0.75%             | 2032-06-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer