# EDGAR Filing Document

**Accession Number:** 0000035315
**File Stem:** 0000035402-26-001246
**Filing Date:** 2026-2
**Character Count:** 122142
**Document Hash:** 8d7515119cc9e92f78cd16fb732122ab
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-001246.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0000035402-26-001246

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY SALEM STREET TRUST
- **CENTRAL INDEX KEY:** 0000035315

**ORGANIZATION NAME:**
- **EIN:** 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:** 26670359

**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 International Credit Fund (Series ID: S000079760)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000241080 | Fidelity SAI International Credit Fund | FSNDX           |

## 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 International Credit Fund

- **b. EDGAR series identifier (if any):** S000079760

- **c. LEI of Series:** 549300TEODSY2J57HD41

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $2058001503.54

**Total Liabilities:** $142420554.08

**Net Assets:** $1915580949.46

**Cash Not Reported:** $813866.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 37229.93181026 | **1-Year:** 168577.04321660 | **5-Year:** 463931.32879666 | **10-Year:** 303919.68841875 | **30-Year:** 54758.33947197

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

- **3-Month:** 5698.94783062 | **1-Year:** 17291.11827987 | **5-Year:** 19619.30546214 | **10-Year:** 1773.68941452 | **30-Year:** 763.33995563

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000241080 | 0.87%                | 0.28%                | -0.17%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2819504.56              | $7239192.81                                |
| Month 2  | $756400.04               | $-3280830.52                               |
| Month 3  | $1561597.74              | $-10615715.09                              |

**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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BNP PARIBAS                                       | FX Forward: USD/EUR settle 2026-01-30                             | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |          1 | NC      | $-7754602.36  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC 6.25% 09/12/2044 REGS               | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |     600000 | PA      | $777759.68    | 0.04%             | 2044-09-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC STEP 01/15/2029                     | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |    5405000 | PA      | $7655691.22   | 0.40%             | 2029-01-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PROLOGIS EURO FINANCE LLC                         | PROLOGIS EURO FINL LLC 3.25% 09/22/2032                           | CUSIP: 74341EAT9<br>LEI: 549300MI5D1784PRQH06 | Long             | DBT              | CORP              | US        |    3680000 | PA      | $4253251.84   | 0.22%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | SOCIETE GENERALE FRANCE 6.691%/VAR 01/10/2034 144A                | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    5340000 | PA      | $5815769.86   | 0.30%             | 2034-01-10      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                | RWE FINANCE US LLC 5.875% 04/16/2034 144A                         | CUSIP: 749983AA0<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    8663000 | PA      | $9132396.60   | 0.48%             | 2034-04-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                            | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3551000 | PA      | $3727608.06   | 0.19%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                              | ROMANIA REPUBLIC OF 6.375% 09/18/2033 REGS                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    3770000 | PA      | $4745269.17   | 0.25%             | 2033-09-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 3.25% 12/01/2033                             | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    6200000 | PA      | $4511169.33   | 0.24%             | 2033-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/AUD settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-175563.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                             | CPI PROPERTY GROUP SA 6% 01/27/2032 REGS                          | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |    6835000 | PA      | $8072654.48   | 0.42%             | 2032-01-27      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY               | FX Forward: USD/CAD settle 2026-01-30                             | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-7587.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.375% 11/30/2028                                       | CUSIP: 91282CJN2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3700000 | PA      | $3783972.65   | 0.20%             | 2028-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                               | INTESA SANPAOLO SPA 6.625% 06/20/2033 144A                        | CUSIP: 46115HBZ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    3900000 | PA      | $4291628.64   | 0.22%             | 2033-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HEATHROW FUNDING LTD                              | HEATHROW FUNDING LTD 6% 03/05/2032 REGS                           | CUSIP: N/A<br>LEI: 7TI96JO3DYEIQWZ7Z726       | Long             | DBT              | CORP              | JE        |    9895000 | PA      | $13744970.99  | 0.72%             | 2032-03-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 2.75% 06/01/2033                             | CUSIP: 135087Q23<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     165000 | PA      | $116431.83    | 0.01%             | 2033-06-01      | Fixed         | 0.03%                 | 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        |    7800000 | PA      | $9024020.02   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 DB B                                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    1400000 | NC      | $10891.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                  | BAYER US FIN LLC 6.5% 11/21/2033 144A                             | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |   15465000 | PA      | $16742329.36  | 0.87%             | 2033-11-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC 5.875% 06/20/2031 REGS              | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |    2055000 | PA      | $2863681.76   | 0.15%             | 2031-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                        | AUSTRALIA COMMONWEALTH OF 3.5% 12/21/2034 REGS                    | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    2500000 | PA      | $1523977.15   | 0.08%             | 2034-12-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | STANDARD CHARTERED PLC 3.864%/VAR 03/17/2033 REGS                 | CUSIP: N/A<br>LEI: U4LOSYZ7YG4W3S5F2G91       | Long             | DBT              | CORP              | GB        |    5090000 | PA      | $6062050.04   | 0.32%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF      | CBRE EUROPE LOGISTICS PARTNERS SCA SICAV-SIF 3.5% 09/22/2032 REGS | CUSIP: N/A<br>LEI: 529900ZG3L6Z4K64S041       | Long             | DBT              | CORP              | LU        |    5765000 | PA      | $6628416.41   | 0.35%             | 2032-09-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                     | P3 GROUP SARL 3.75% 04/02/2033 REGS                               | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |    3290000 | PA      | $3802611.77   | 0.20%             | 2033-04-02      | Fixed         | 0.04%                 | 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        |     100000 | PA      | $117354.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SIRIUS REAL ESTATE LTD                            | SIRIUS REAL ESTATE LTD 4% 01/22/2032 REGS                         | CUSIP: N/A<br>LEI: 213800NURUF5W8QSK566       | Long             | DBT              | CORP              | GG        |    2400000 | PA      | $2804980.65   | 0.15%             | 2032-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN BANK GMBH                              | VOLKSWAGEN BANK GMBH 3.5% 06/19/2031 REGS                         | CUSIP: N/A<br>LEI: 529900GJD3OQLRZCKW37       | Long             | DBT              | CORP              | DE        |    3600000 | PA      | $4223285.29   | 0.22%             | 2031-06-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION 3.375% 12/12/2035 REGS                             | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |   28787000 | PA      | $34320491.33  | 1.79%             | 2035-12-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VEOLIA ENVIRONNEMENT SA                           | VEOLIA ENVIRONNEMENT SA 3.324% 06/17/2032 REGS                    | CUSIP: N/A<br>LEI: 969500LENY69X51OOT31       | Long             | DBT              | CORP              | FR        |   10300000 | PA      | $12022190.81  | 0.63%             | 2032-06-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.5% 02/15/2044                       | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6500000 | PA      | $6288242.22   | 0.33%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JYSKE BANK                                        | JYSKE BANK AS 5.125%/VAR 05/01/2035 REGS                          | CUSIP: N/A<br>LEI: 3M5E1GQGKL17HI6CPN30       | Long             | DBT              | CORP              | DK        |    2788000 | PA      | $3448298.41   | 0.18%             | 2035-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.75% 12/31/2030                                        | CUSIP: 91282CJQ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1600812.50   | 0.08%             | 2030-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESSEX WATER SERVS FIN PLC                        | WESSEX WATER SERVS FIN PLC 6.125% 09/19/2034 REGS                 | CUSIP: N/A<br>LEI: 213800B9BFRCA1YMEI57       | Long             | DBT              | CORP              | GB        |    4620000 | PA      | $6390277.75   | 0.33%             | 2034-09-19      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-37910.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                             | ELECTRICITE DE FRANCE 4.75% 10/12/2034 REGS                       | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |    1300000 | PA      | $1628424.11   | 0.09%             | 2034-10-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION 3.75% 10/12/2045 REGS                              | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |    2220000 | PA      | $2573191.04   | 0.13%             | 2045-10-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 3.875% 08/15/2040                     | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4800000 | PA      | $4445437.49   | 0.23%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                   | PHILIP MORRIS INTL INC 3.25% 06/06/2032                           | CUSIP: 718172DW6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   12010000 | PA      | $13956403.24  | 0.73%             | 2032-06-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.625% 02/15/2040                     | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29177000 | PA      | $29493844.13  | 1.54%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARLSBERG BREWERIES A/S                           | CARLSBERG BREWERIES A/S 3.25% 02/28/2032 REGS                     | CUSIP: N/A<br>LEI: 5493008YL42784DMWN61       | Long             | DBT              | CORP              | DK        |    4125000 | PA      | $4823703.71   | 0.25%             | 2032-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | ALPHABET INC 3.375% 05/06/2037                                    | CUSIP: 02079KAR8<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     940000 | PA      | $1071481.26   | 0.06%             | 2037-05-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 ALVGR B                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |   13550000 | NC      | $-227134.59   | -0.01%            |  |  |  | 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        |    4560000 | PA      | $4312493.00   | 0.23%             | 2029-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.75% 08/31/2031                                        | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3300000 | PA      | $3289042.98   | 0.17%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REWE INT FINANCE                                  | REWE INT FINANCE 4.875% 09/13/2030 REGS                           | CUSIP: N/A<br>LEI: 5299003XLG8J4YTHLX44       | Long             | DBT              | CORP              | NL        |    6600000 | PA      | $8258995.88   | 0.43%             | 2030-09-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE OPEN-ENDED FUNDS SCA SICAV-SIF               | CBRE OPEN-ENDED FUNDS SCA SICAV-SIF 4.75% 03/27/2034 REGS         | CUSIP: N/A<br>LEI: 529900J5H3JGJ83AUZ88       | Long             | DBT              | CORP              | LU        |    5270000 | PA      | $6448961.94   | 0.34%             | 2034-03-27      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 ASSGEN B                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    9400000 | NC      | $-74817.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | ENEL FINANCE INTL NV 5.5% 06/26/2034 144A                         | CUSIP: 29278GBE7<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    5595000 | PA      | $5798371.09   | 0.30%             | 2034-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VIER GAS TRANSPORT GMBH                           | VIER GAS TRANSPORT GMBH 3.625% 09/08/2033 REGS                    | CUSIP: N/A<br>LEI: 529900AGED6PJE9AVL37       | Long             | DBT              | CORP              | DE        |    6200000 | PA      | $7208291.83   | 0.38%             | 2033-09-08      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: GBP/USD settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $314.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 02/15/2034                                           | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3500000 | PA      | $3489062.50   | 0.18%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.625% 05/15/2044                     | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2620000 | PA      | $2572307.83   | 0.13%             | 2044-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                    | RCI BANQUE S A 4.75%/VAR 03/24/2037 REGS                          | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |    2400000 | PA      | $2874448.26   | 0.15%             | 2037-03-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $17923.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.625% 11/15/2045                     | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     448000 | PA      | $437780.00    | 0.02%             | 2045-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 SOCGE B                                    | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    1800000 | NC      | $2341.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 12/20/30 HEIGR B                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |   10670000 | NC      | $-2585185.87  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| SMURFIT KAPPA TREASURY                            | SMURFIT KAPPA TREASURY 3.489% 11/24/2031                          | CUSIP: N/A<br>LEI: 635400B3DOXSWFOWJT40       | Long             | DBT              | CORP              | IE        |    1340000 | PA      | $1573213.39   | 0.08%             | 2031-11-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CAIXABANK SA 3.625%/VAR 09/19/2032 REGS                           | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |    3300000 | PA      | $3912791.63   | 0.20%             | 2032-09-19      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 5.813%/VAR 05/22/2033 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    7380000 | PA      | $10370396.17  | 0.54%             | 2033-05-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 4% 03/15/2029                      | CUSIP: 500769KC7<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |    9475000 | PA      | $9591905.49   | 0.50%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.625% 02/15/2035                                       | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8740000 | PA      | $9077309.81   | 0.47%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.375% 12/31/2029                                       | CUSIP: 91282CMD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3200000 | PA      | $3285500.00   | 0.17%             | 2029-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: GBP/USD settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-556.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                        | AUSTRALIA COMMONWEALTH OF 1.75% 11/21/2032 REGS                   | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    3500000 | PA      | $1957267.48   | 0.10%             | 2032-11-21      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA 5.716%/VAR 01/18/2030 144A                                | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   10945000 | PA      | $11331002.24  | 0.59%             | 2030-01-18      | Variable      | 0.06%                 | 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        |    2220000 | PA      | $2902827.07   | 0.15%             | 2027-05-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                         | STELLANTIS FINANCE US INC 5.75% 03/18/2030 144A                   | CUSIP: 85855CAK6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    8969000 | PA      | $9252594.85   | 0.48%             | 2030-03-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 07/31/2031                                       | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1200000 | PA      | $1219593.72   | 0.06%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RWE FINANCE US LLC                                | RWE FINANCE US LLC 5.125% 09/18/2035 144A                         | CUSIP: 749983AC6<br>LEI: 529900J7MYLKI84UP772 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1044111.31   | 0.05%             | 2035-09-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CAIXABANK SA 6.84%/VAR 09/13/2034 144A                            | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    5900000 | PA      | $6580124.57   | 0.34%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.625% 11/15/2044                     | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1130000 | PA      | $1107311.72   | 0.06%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                              | ENEL FINANCE INTL NV 4.375% 09/30/2030 144A                       | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    2695000 | PA      | $2683606.24   | 0.14%             | 2030-09-30      | Fixed         | 0.04%                 | 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        |    4000000 | PA      | $4627645.79   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                              | HEIMSTADEN BOSTAD AB 3.875% 11/05/2029 REGS                       | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |    4565000 | PA      | $5421263.57   | 0.28%             | 2029-11-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 6.254%/VAR 03/09/2034                           | CUSIP: 404280DV8<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2815000 | PA      | $3061398.05   | 0.16%             | 2034-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | GSCM SWAP CDS 12/20/30 UCGIM B                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |    9250000 | NC      | $-30684.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BT FINANCE PLC                                    | BT FINANCE PLC 3.375% 11/17/2032 REGS                             | CUSIP: N/A<br>LEI: 64882D4OUTP2YP126091       | Long             | DBT              | CORP              | GB        |    5000000 | PA      | $5811610.81   | 0.30%             | 2032-11-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | AMPRION GMBH 4.125% 09/07/2034 REGS                               | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |    6000000 | PA      | $7263441.14   | 0.38%             | 2034-09-07      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JOHN LEWIS PLC                                    | JOHN LEWIS PLC 4.25% 12/18/2034 REGS                              | CUSIP: N/A<br>LEI: 213800JSUFNZLZLCVJ25       | Long             | DBT              | CORP              | GB        |    5082000 | PA      | $5808056.25   | 0.30%             | 2034-12-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SVCS FINANC PLC                     | ANGLIAN WATER SVCS FINANC PLC 6.293% 07/30/2030 REGS              | CUSIP: N/A<br>LEI: 213800DL377MH46PDY63       | Long             | DBT              | CORP              | GB        |    7155000 | PA      | $10139141.67  | 0.53%             | 2030-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                      | WP CAREY INC 4.25% 07/23/2032                                     | CUSIP: N/A<br>LEI: 54930042CRNE713E3Q67       | Long             | DBT              | CORP              | US        |     300000 | PA      | $361810.53    | 0.02%             | 2032-07-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA S.A               | BANCO BILBAO VIZ ARGENTARIA SA 6.033%/VAR 03/13/2035              | CUSIP: 05946KAR2<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    6800000 | PA      | $7227705.45   | 0.38%             | 2035-03-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC          | SCOTTISH HYDRO ELECTRIC TRANSMISSION PLC 3.375% 09/04/2032 REGS   | CUSIP: N/A<br>LEI: 549300ECJZDA7203MK64       | Long             | DBT              | CORP              | GB        |    4600000 | PA      | $5390837.44   | 0.28%             | 2032-09-04      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 SOCGEN B                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    6900000 | NC      | $8975.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                      | SOUTH WEST WATER FINANCE PLC 5.75% 12/11/2032 REGS                | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |    3735000 | PA      | $5211559.20   | 0.27%             | 2032-12-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 0.75% 01/15/2029 REGS              | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |   26974000 | PA      | $30190615.28  | 1.58%             | 2029-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                  | SW FINANCE I PLC 6.875% 08/07/2032 REGS                           | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |    7540000 | PA      | $10545439.85  | 0.55%             | 2032-08-07      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | LOGICOR FINANCING SARL 2% 01/17/2034 REGS                         | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |    7720000 | PA      | $7765287.96   | 0.41%             | 2034-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN TOBACCO INC                                 | JAPAN TOBACCO INC 5.856% 06/15/2035 144A                          | CUSIP: 471105AE6<br>LEI: 353800Z0ENYBQO0XRJ31 | Long             | DBT              | CORP              | JP        |    7440000 | PA      | $7932346.46   | 0.41%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                    | CITI SWAP CDS 12/20/30 AVLN B                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DCR              | CORP              | US        |   10550000 | NC      | $-81082.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| YORKSHIRE WATER FINANCE PLC                       | YORKSHIRE WATER FINANCE PLC 6% 07/22/2033 REGS                    | CUSIP: N/A<br>LEI: 213800O8BDOGHJMTCP32       | Long             | DBT              | CORP              | GB        |    4800000 | PA      | $6584549.58   | 0.34%             | 2033-07-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOTABILITY OPERATIONS GROUP PLC                   | MOTABILITY OPERATIONS GRP PLC 3.625% 01/22/2033 REGS              | CUSIP: N/A<br>LEI: AZ3NL8JCZDCNUXFWI720       | Long             | DBT              | CORP              | GB        |    6120000 | PA      | $7151515.96   | 0.37%             | 2033-01-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUPERNOVA INVEST GMBH                             | SUPERNOVA INVEST GMBH 5% 06/24/2030 REGS                          | CUSIP: N/A<br>LEI: 5299008Z5M2L56PLUX74       | Long             | DBT              | CORP              | AT        |    1375000 | PA      | $1651543.39   | 0.09%             | 2030-06-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT FINANCE CORP 4.876% 07/16/2030 144A                           | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |     580000 | PA      | $590679.34    | 0.03%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 1% 07/31/2028                                           | CUSIP: 91282CCR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15000000 | PA      | $14074218.75  | 0.73%             | 2028-07-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | COOPERATIEVE RABOBANK UA 5.71%/VAR 01/21/2033 144A                | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     765000 | PA      | $805341.17    | 0.04%             | 2033-01-21      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                  | NTT FINANCE CORP 3.678% 07/16/2033 REGS                           | CUSIP: N/A<br>LEI: 3538007PR116187GD960       | Long             | DBT              | CORP              | JP        |    2850000 | PA      | $3367841.71   | 0.18%             | 2033-07-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                           | SSE PLC 3.74%/VAR PERP REGS                                       | CUSIP: N/A<br>LEI: 549300KI75VYLLMSK856       | Long             | EP               | CORP              | GB        |     337000 | PA      | $453105.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | FX Forward: USD/GBP settle 2026-01-30                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2893820.19  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | AMPRION GMBH 3.625% 05/21/2031 REGS                               | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |    6500000 | PA      | $7778971.85   | 0.41%             | 2031-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | FORD MOTOR CREDIT CO LLC 5.875% 11/07/2029                        | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    3940000 | PA      | $4044471.74   | 0.21%             | 2029-11-07      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ADMIRAL GROUP PLC                                 | ADMIRAL GROUP PLC 8.5% 01/06/2034 REGS                            | CUSIP: N/A<br>LEI: 213800FGVM7Z9EJB2685       | Long             | DBT              | CORP              | GB        |    8115000 | PA      | $12674487.56  | 0.66%             | 2034-01-06      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 03/31/2032                                       | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17510000 | PA      | $17750078.56  | 0.93%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                 | EURO-BUND FUTURE MAR26 RXH6                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          1 | NC      | $-205.01      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARRY CALLEBAUT SVCS NV                           | BARRY CALLEBAUT SVCS NV 4.25% 08/19/2031 REGS                     | CUSIP: N/A<br>LEI: 213800R1F1EJYM4ICO85       | Long             | DBT              | CORP              | BE        |    8600000 | PA      | $10344244.83  | 0.54%             | 2031-08-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/GBP settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-32278.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GRP AG                              | CREDIT SUISSE GRP AG 7.5%/VAR PERP REGS                           | CUSIP: N/A<br>LEI: 549300506SI9CRFV9Z86       | Long             | EP               | CORP              | CH        |     611000 | PA      | $158860.00    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| ALPHABET INC                                      | ALPHABET INC 3.875% 05/06/2045                                    | CUSIP: 02079KAS6<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1123509.83   | 0.06%             | 2045-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 BMW B                                      | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |   14650000 | NC      | $-439357.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 3% 06/01/2034                                | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    8675000 | PA      | $6176724.51   | 0.32%             | 2034-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.125% 08/15/2044                     | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3925000 | PA      | $3602260.75   | 0.19%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.625% 09/30/2031                                       | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11500000 | PA      | $11385000.00  | 0.59%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 3.608%/VAR 12/01/2033 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    3255000 | PA      | $3801444.54   | 0.20%             | 2033-12-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                     | BAT INTL FINANCE PLC 4.125% 04/12/2032 REGS                       | CUSIP: N/A<br>LEI: 21380041YBGOQDFAC823       | Long             | DBT              | CORP              | GB        |    9810000 | PA      | $11842309.49  | 0.62%             | 2032-04-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON POWER NETWORKS PLC                         | LONDON POWER NETWORKS PLC 3.837% 06/11/2037 REGS                  | CUSIP: N/A<br>LEI: 213800JDI3GTKPG4XI38       | Long             | DBT              | CORP              | GB        |    3775000 | PA      | $4400213.17   | 0.23%             | 2037-06-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                           | BANK OF NOVA SCOTIA 3.375%/VAR 03/05/2033 REGS                    | CUSIP: N/A<br>LEI: L3I9ZG2KFGXZ61BMYR72       | Long             | DBT              | CORP              | CA        |   13100000 | PA      | $15339697.61  | 0.80%             | 2033-03-05      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | EUROPEAN INVESTMENT BANK 2.875% 06/18/2035 REGS                   | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |   23320000 | PA      | $26964158.83  | 1.41%             | 2035-06-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENEL SPA                                          | ENEL SPA 3.375%/VAR PERP REGS                                     | CUSIP: N/A<br>LEI: WOCMU6HCI0OJWNPRZS33       | Long             | DBT              | CORP              | IT        |    2250000 | PA      | $2648503.60   | 0.14%             | 2199-12-31      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | LOGICOR FINANCING SARL 1.625% 01/17/2030 REGS                     | CUSIP: N/A<br>LEI: 254900IS16Q1A2TQFN22       | Long             | DBT              | CORP              | LU        |    5275000 | PA      | $5796979.26   | 0.30%             | 2030-01-17      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 04/30/2032                                           | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28900000 | PA      | $29087398.58  | 1.52%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS GROUP AG 4.125%/VAR 06/09/2033 REGS                           | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    6995000 | PA      | $8488097.31   | 0.44%             | 2033-06-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                     | LONG GILT FUTURE MAR26 G H6                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       -210 | NC      | $-151333.99   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                              | FX Forward: USD/JPY settle 2026-01-30                             | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $491391.92    | 0.03%             |  |  |  | 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        |    3095000 | PA      | $3817413.28   | 0.20%             | 2028-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                          | ENGIE SA 4.25% 09/06/2034 REGS                                    | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |    8000000 | PA      | $9769656.03   | 0.51%             | 2034-09-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 DB B                                       | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    7050000 | NC      | $54847.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STELLANTIS FINL SVC US CORP                       | STELLANTIS FINL SVC US CORP 5.4% 09/15/2030 144A                  | CUSIP: 85855FAB9<br>LEI: 5493000KNKFDOC1BOW59 | Long             | DBT              | CORP              | US        |    4022000 | PA      | $4083972.26   | 0.21%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | ROYAL BANK OF CANADA 3.125%/VAR 09/27/2031 REGS                   | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | Long             | DBT              | CORP              | CA        |    7330000 | PA      | $8593162.11   | 0.45%             | 2031-09-27      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| SHURGARD LUXEMBOURG SARL                          | SHURGARD LUXEMBOURG SARL 4% 05/27/2035 REGS                       | CUSIP: N/A<br>LEI: 54930064DJ4U15OBV665       | Long             | DBT              | CORP              | LU        |    4500000 | PA      | $5227794.85   | 0.27%             | 2035-05-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                  | SOUTHERN COMPANY EUSA5+NA 09/15/2081                              | CUSIP: N/A<br>LEI: 549300FC3G3YU2FBZD92       | Long             | DBT              | CORP              | US        |    1211000 | PA      | $1383988.49   | 0.07%             | 2081-09-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 3.25% 03/24/2031 REGS              | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |    2395000 | PA      | $2894414.07   | 0.15%             | 2031-03-24      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 02/29/2032                                       | CUSIP: 91282CMR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10550000 | PA      | $10698771.46  | 0.56%             | 2032-02-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/EUR settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $571.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH WEST WATER FINANCE PLC                      | SOUTH WEST WATER FINANCE PLC 5.25% 09/15/2031 REGS                | CUSIP: N/A<br>LEI: 213800OV68U446W4NV89       | Long             | DBT              | CORP              | GB        |    6295000 | PA      | $8546708.89   | 0.45%             | 2031-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP PARIBAS 3.945%/VAR 02/18/2037 REGS                            | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DBT              | CORP              | FR        |   12600000 | PA      | $14833944.65  | 0.77%             | 2037-02-18      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                            | US LONG BOND(CBT) FUT MAR26 USH6                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        137 | NC      | $-178900.08   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.5% 02/15/2033                                         | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $194367.19    | 0.01%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | CITIGROUP INC 4.296%/VAR 07/23/2036                               | CUSIP: N/A<br>LEI: 6SHGI4ZSSLCXXQSBB395       | Long             | DBT              | CORP              | US        |    3970000 | PA      | $4705151.26   | 0.25%             | 2036-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| ENGIE SA                                          | ENGIE SA 3.875% 03/06/2036 REGS                                   | CUSIP: N/A<br>LEI: LAXUQCHT4FH58LRZDY46       | Long             | DBT              | CORP              | FR        |    1600000 | PA      | $1876314.79   | 0.10%             | 2036-03-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIDELIDADE CO DE SEGUROS SAPORTUGAL               | FIDELIDADE CO DE SEGUROS SAPORTUGAL 4.25%/VAR 09/04/2031 REGS     | CUSIP: N/A<br>LEI: 529900FNLE8ZOPUOT704       | Long             | DBT              | CORP              | PT        |    3100000 | PA      | $3671636.97   | 0.19%             | 2031-09-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | EUROPEAN UNION 4% 04/04/2044 REGS                                 | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | LU        |   17165000 | PA      | $20707239.13  | 1.08%             | 2044-04-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 2.75% 01/17/2035 REGS              | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |   10364000 | PA      | $11905354.40  | 0.62%             | 2035-01-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BAYER US FIN LLC                                  | BAYER US FIN LLC 6.375% 11/21/2030 144A                           | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    8930000 | PA      | $9547290.89   | 0.50%             | 2030-11-21      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.875% 09/30/2032                                       | CUSIP: 91282CNZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10000000 | PA      | $9969140.60   | 0.52%             | 2032-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                            | US 10YR ULTRA FUT MAR26 UXYH6                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        141 | NC      | $-90980.93    | -0.00%            |  |  |  | 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        |    6607000 | PA      | $7424661.01   | 0.39%             | 2029-03-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0.1% 09/20/2028                               | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1748550000 | PA      | $10828529.93  | 0.57%             | 2028-09-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                               | PETROLEOS MEXICANOS 5.95% 01/28/2031                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   12515000 | PA      | $12113268.50  | 0.63%             | 2031-01-28      | Fixed         | 0.06%                 | 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        |    1285000 | PA      | $1914314.50   | 0.10%             | 2034-11-16      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.625% 04/30/2029                                       | CUSIP: 91282CKP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12350000 | PA      | $12748962.92  | 0.67%             | 2029-04-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN FINANCE SARL                           | AROUNDTOWN FINANCE SARL 7.875%/VAR PERP                           | CUSIP: N/A<br>LEI: 8945006LEXV2KWSWVP51       | Long             | EP               | CORP              | LU        |    3940000 | PA      | $3959910.20   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | FORD MOTOR CREDIT CO LLC 6.184% 08/29/2031                        | CUSIP: 345397H30<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4140000 | PA      | $5673755.16   | 0.30%             | 2031-08-29      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4.5% 11/15/2054                       | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9500000 | PA      | $8960429.64   | 0.47%             | 2054-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | GSCM SWAP CDS 12/20/30 UCGIM B                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DCR              | CORP              | US        |     900000 | NC      | $-2985.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 BMW B                                      | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    4250000 | NC      | $-127458.69   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                              | ZF EUROPE FINANCE BV 7% 06/12/2030 REGS                           | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |    3300000 | PA      | $4085596.82   | 0.21%             | 2030-06-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 6.25% 05/15/2030                      | CUSIP: 912810FM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18050000 | PA      | $19900830.03  | 1.04%             | 2030-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOSCH (ROBERT) GMBH                               | BOSCH (ROBERT) GMBH 4.375% 06/02/2043 REGS                        | CUSIP: N/A<br>LEI: 529900F0LT5OP4SV6122       | Long             | DBT              | CORP              | DE        |    2500000 | PA      | $2889941.36   | 0.15%             | 2043-06-02      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VIRGIN MONEY UK PLC                               | VIRGIN MONEY UK PLC 7.625%/VAR 08/23/2029 REGS                    | CUSIP: N/A<br>LEI: 213800ZK9VGCYYR6O495       | Long             | DBT              | CORP              | GB        |    3330000 | PA      | $4856188.98   | 0.25%             | 2029-08-23      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING GROEP NV 3%/VAR 08/17/2031 REGS                               | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |    9300000 | PA      | $10823158.57  | 0.57%             | 2031-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 4% 11/15/2042                         | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6000000 | PA      | $5499375.00   | 0.29%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEIMSTADEN BOSTAD AB                              | HEIMSTADEN BOSTAD AB EUSA5+NA PERP REGS                           | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | EP               | CORP              | SE        |    5225000 | PA      | $6062820.03   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| VONOVIA SE                                        | VONOVIA SE 3.5% 11/12/2032 REGS                                   | CUSIP: N/A<br>LEI: 5299005A2ZEP6AP7KM81       | Long             | DBT              | CORP              | DE        |     800000 | PA      | $927486.65    | 0.05%             | 2032-11-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DZ BANK AG DEUTSCHE ZENTRAL GE NOSSENSCHAFTSBANK  | DZ BANK AG DEUT ZENT GENOSBANK 3.706%/VAR 10/15/2035 REGS         | CUSIP: N/A<br>LEI: 529900HNOAA1KXQJUQ27       | Long             | DBT              | CORP              | DE        |    3300000 | PA      | $3859583.62   | 0.20%             | 2035-10-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GREAT PORTLAND ESTATES PLC                        | GREAT PORTLAND ESTATES PLC 5.375% 09/25/2031 REGS                 | CUSIP: N/A<br>LEI: 213800JMEDD2Q4N1MC42       | Long             | DBT              | CORP              | GB        |    5760000 | PA      | $7866353.94   | 0.41%             | 2031-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                | FX Forward: USD/EUR settle 2026-01-30                             | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |          1 | NC      | $-3144.86     | -0.00%            |  |  |  | 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        |    8293000 | PA      | $9604617.59   | 0.50%             | 2026-06-23      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.75% 02/15/2045                                        | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8930000 | PA      | $8884652.39   | 0.46%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | FORD MOTOR CREDIT CO LLC 4.445% 02/14/2030                        | CUSIP: 345397E41<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2935000 | PA      | $3527233.67   | 0.18%             | 2030-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                       | IMPERIAL BRANDS FINANCE PLC 4.875% 06/07/2032 REGS                | CUSIP: N/A<br>LEI: 2138008L3B3MCG1DFS50       | Long             | DBT              | CORP              | GB        |    6290000 | PA      | $8371475.02   | 0.44%             | 2032-06-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                       | COMMONWEALTH BANK AUSTRALIA 3.788%/VAR 08/26/2037 REGS            | CUSIP: N/A<br>LEI: MSFSBD3QN1GSN7Q6C537       | Long             | DBT              | CORP              | AU        |    5655000 | PA      | $6606944.80   | 0.34%             | 2037-08-26      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NORTHUMBRIAN WATER FINANCE PLC                    | NORTHUMBRIAN WATER FINANCE PLC 4.5% 02/14/2031 REGS               | CUSIP: N/A<br>LEI: 213800JTFA6F3S7XX781       | Long             | DBT              | CORP              | GB        |    8920000 | PA      | $11743251.12  | 0.61%             | 2031-02-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSNET SERVICES HOLDINGS PTY LTD                  | AUSNET SERVICES HOLDINGS PTY LTD 6.134% 05/31/2033                | CUSIP: N/A<br>LEI: TTMIG9TE1S0X3ZPDHD61       | Long             | DBT              | CORP              | AU        |    8900000 | PA      | $6116706.56   | 0.32%             | 2033-05-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                       | NATIONWIDE BUILDING SOC(UNGTD) 4%/VAR 07/30/2035 REGS             | CUSIP: N/A<br>LEI: 549300XFX12G42QIKN82       | Long             | DBT              | CORP              | GB        |    3160000 | PA      | $3758555.82   | 0.20%             | 2035-07-30      | Variable      | 0.04%                 | 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        |    2040000 | PA      | $2106003.06   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUR WIEDERAUFB                      | KREDITANSTALT FUR WIEDER(UNGTD 1.125% 03/31/2037 REGS             | CUSIP: N/A<br>LEI: 549300GDPG70E3MBBU98       | Long             | DBT              | CORP              | DE        |   14700000 | PA      | $13841375.56  | 0.72%             | 2037-03-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                    | MCDONALDS CORP 3.5% 05/21/2032 REGS                               | CUSIP: N/A<br>LEI: UE2136O97NLB5BYP9H04       | Long             | DBT              | CORP              | US        |    5480000 | PA      | $6473711.45   | 0.34%             | 2032-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 2% 06/01/2032                                | CUSIP: 135087N59<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   29270000 | PA      | $19901951.56  | 1.04%             | 2032-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SW FINANCE I PLC                                  | SW FINANCE I PLC 7.375% 12/12/2041 REGS                           | CUSIP: N/A<br>LEI: 549300BHN1HB5BNG2R96       | Long             | DBT              | CORP              | GB        |    2421000 | PA      | $3365062.60   | 0.18%             | 2041-12-12      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | DANSKE BANK AS (UNGTD) 3.875%/VAR 01/09/2032 REGS                 | CUSIP: N/A<br>LEI: MAES062Z21O4RZ2U7M96       | Long             | DBT              | CORP              | DK        |   10125000 | PA      | $12218141.69  | 0.64%             | 2032-01-09      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | EUROPEAN INVESTMENT BANK 2.875% 01/12/2033 REGS                   | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |    4900000 | PA      | $5769408.86   | 0.30%             | 2033-01-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEVERN TRENT WATER UTIL FIN                       | SEVERN TRENT WATER UTIL FIN 3.875% 08/04/2035 REGS                | CUSIP: N/A<br>LEI: 213800KY9PT6WBH33232       | Long             | DBT              | CORP              | GB        |    4655000 | PA      | $5452065.54   | 0.28%             | 2035-08-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITYCON OYJ                                       | CITYCON OYJ 7.875%/VAR PERP REGS                                  | CUSIP: N/A<br>LEI: 549300P8N0P6KDGTJ206       | Long             | EP               | CORP              | FI        |    3097000 | PA      | $2972582.47   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 07/31/2032                                           | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1260000 | PA      | $1266595.32   | 0.07%             | 2032-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLUXYS SA                                         | FLUXYS SA 4% 11/28/2030 REGS                                      | CUSIP: N/A<br>LEI: 529900UEWUHSPPJQ1R79       | Long             | DBT              | CORP              | BE        |    7400000 | PA      | $8836080.79   | 0.46%             | 2030-11-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE                             | ELECTRICITE DE FRANCE 5.5% 01/25/2035 REGS                        | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |    7600000 | PA      | $10146854.70  | 0.53%             | 2035-01-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RCI BANQUE S A                                    | RCI BANQUE S A 5.5%/VAR 10/09/2034 REGS                           | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |    7400000 | PA      | $9165582.68   | 0.48%             | 2034-10-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                       | UNITED STATES TREASURY BOND 5% 05/15/2045                         | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38065000 | PA      | $39076101.56  | 2.04%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE CORP                       | AMERICAN HONDA FINANCE CORP 5.05% 08/20/2031                      | CUSIP: 026657BH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    5550000 | PA      | $7552383.04   | 0.39%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                              | ROMANIA REPUBLIC OF 2.124% 07/16/2031 REGS                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    2425000 | PA      | $2499868.70   | 0.13%             | 2031-07-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.875% 08/31/2032                                       | CUSIP: 91282CNW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7400000 | PA      | $7380632.79   | 0.39%             | 2032-08-31      | 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        |    3454000 | PA      | $4413987.94   | 0.23%             | 2038-09-13      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | LLOYDS BANKING GROUP PLC 4.75%/VAR 09/21/2031 REGS                | CUSIP: N/A<br>LEI: 549300PPXHEU2JF0AM85       | Long             | DBT              | CORP              | GB        |   11120000 | PA      | $13903216.65  | 0.73%             | 2031-09-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MONDI FINANCE LTD                                 | MONDI FINANCE LTD 3.375% 05/23/2031 REGS                          | CUSIP: N/A<br>LEI: 213800BJV32JT6IRCS96       | Long             | DBT              | CORP              | GB        |    2470000 | PA      | $2872236.23   | 0.15%             | 2031-05-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SCANDINAVIAN TOBACCO GROUP                        | SCANDINAVIAN TOBACCO GROUP 4.875% 09/12/2029 REGS                 | CUSIP: N/A<br>LEI: 5299003KG4JS99TRML67       | Long             | DBT              | CORP              | DK        |    5125000 | PA      | $6231394.62   | 0.33%             | 2029-09-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0% 03/02/2026                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 3000000000 | PA      | $19131785.62  | 1.00%             | 2026-03-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                        | AUSTRALIA COMMONWEALTH OF 3.75% 05/21/2034 REGS                   | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    3900000 | PA      | $2442236.74   | 0.13%             | 2034-05-21      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LEG IMMOBILIEN GMBH                               | LEG IMMOBILIEN GMBH 3.875% 01/20/2035 REGS                        | CUSIP: N/A<br>LEI: 391200SO40AKONBO0Z96       | Long             | DBT              | CORP              | DE        |    5200000 | PA      | $5971553.76   | 0.31%             | 2035-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS GROUP AG 4.75%/VAR 03/17/2032 REGS                            | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    5630000 | PA      | $7046439.60   | 0.37%             | 2032-03-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                      | Fidelity Cash Central Fund                                        | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   80908239 | NS      | $80924420.89  | 4.22%             |  |  |  | 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        |     870000 | PA      | $1014522.64   | 0.05%             | 2026-06-02      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                          | EUROPEAN INVESTMENT BANK 0.01% 11/15/2035 REGS                    | CUSIP: N/A<br>LEI: 5493006YXS1U5GIHE750       | Long             | DBT              | CORP              | LU        |    1965000 | PA      | $1704568.33   | 0.09%             | 2035-11-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                     | AROUNDTOWN SA 3.625% 04/10/2031 REGS                              | CUSIP: N/A<br>LEI: 529900H4DWG3KWMBMQ39       | Long             | DBT              | CORP              | LU        |    4545000 | PA      | $5632865.15   | 0.29%             | 2031-04-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNPI SWAP CDS 12/20/30 ASSGEN B                                   | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DCR              | CORP              | FR        |    2100000 | NC      | $-16714.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 03/31/2030                                           | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8470000 | PA      | $8577860.20   | 0.45%             | 2030-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY               | FX Forward: USD/AUD settle 2026-01-30                             | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-2847.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.75% 12/31/2028                                        | CUSIP: 91282CJR3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $703964.84    | 0.04%             | 2028-12-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 1.5% 12/01/2031                              | CUSIP: 135087N26<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   14565000 | PA      | $9696346.72   | 0.51%             | 2031-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| SIG COMBIBLOC PURCHASECO SARL                     | SIG COMBIBLOC PURCHASECO SARL 3.75% 03/19/2030 REGS               | CUSIP: N/A<br>LEI: 549300Q95MWZB4BXB866       | Long             | DBT              | CORP              | LU        |     775000 | PA      | $920010.27    | 0.05%             | 2030-03-19      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FUNDING ASIA PLC                       | PRUDENTIAL FUNDING ASIA PLC T5Y+NA 11/03/2033 REGS                | CUSIP: N/A<br>LEI: 2549005TNASWKLR0XC37       | Long             | DBT              | CORP              | GB        |    2803000 | PA      | $2693448.61   | 0.14%             | 2033-11-03      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 02/28/2027                                       | CUSIP: 91282CMP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4400000 | PA      | $4429562.50   | 0.23%             | 2027-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.75% 11/30/2032                                        | CUSIP: 91282CPM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9000000 | PA      | $8924062.50   | 0.47%             | 2032-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.5% 11/15/2033                                         | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4250000 | PA      | $4388291.01   | 0.23%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 4.787%/VAR 03/10/2032 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    5510000 | PA      | $6897223.79   | 0.36%             | 2032-03-10      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 12/20/30 ISPIM B                                    | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    7850000 | NC      | $-62480.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.5% 11/30/2030                                         | CUSIP: 91282CPN5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8500000 | PA      | $8414335.98   | 0.44%             | 2030-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                     | ENBW INTERNATIONAL FINANCE BV 3.75% 11/20/2035 REGS               | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |   10210000 | PA      | $11963302.49  | 0.62%             | 2035-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC HOLDINGS PLC 4.856%/VAR 05/23/2033 REGS                      | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |    3365000 | PA      | $4239997.10   | 0.22%             | 2033-05-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CIMIC FINANCE LTD                                 | CIMIC FINANCE LTD 1.5% 05/28/2029 REGS                            | CUSIP: N/A<br>LEI: 213800SWJBM5VMCQJW54       | Long             | DBT              | CORP              | AU        |    2104000 | PA      | $2305134.72   | 0.12%             | 2029-05-28      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                             | JPMORGAN CHASE and CO 3.761%/VAR 03/21/2034 REGS                  | CUSIP: N/A<br>LEI: 8I5DZWZKVSZI1NUHU748       | Long             | DBT              | CORP              | US        |     900000 | PA      | $1069631.79   | 0.06%             | 2034-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                               | CITYCON TREASURY BV 5.375% 07/08/2031 REGS                        | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |    3340000 | PA      | $3723283.04   | 0.19%             | 2031-07-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| STONEWEG EREIT LUX FINCO SARL                     | STONEWEG EREIT LUX FINCO SARL 4.125% 02/22/2033 REGS              | CUSIP: N/A<br>LEI: 213800VKBKU9G6DF2O19       | Long             | DBT              | CORP              | LU        |    9100000 | PA      | $10456170.78  | 0.55%             | 2033-02-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITYCON TREASURY BV                               | CITYCON TREASURY BV 5% 03/11/2030 REGS                            | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |    1400000 | PA      | $1562957.63   | 0.08%             | 2030-03-11      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.25% 05/15/2035                                        | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39970000 | PA      | $40301001.56  | 2.10%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROLOGIS INTERNATIONAL FUNDING II SA              | PROLOGIS INTL FDG II SA 4.375% 07/01/2036 REGS                    | CUSIP: N/A<br>LEI: 213800JNRWW2C9DWI388       | Long             | DBT              | CORP              | LU        |    5015000 | PA      | $6041986.66   | 0.32%             | 2036-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0% 03/23/2026                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 1308500000 | PA      | $8341482.84   | 0.44%             | 2026-03-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                           | BANK OF NOVA SCOTIA 4.338%/VAR 09/15/2031                         | CUSIP: 06418GAW7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2391761.09   | 0.12%             | 2031-09-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 05/31/2032                                       | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20735000 | PA      | $21014285.94  | 1.10%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 3.875% 04/30/2030                                       | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18927000 | PA      | $19074867.19  | 1.00%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA and N ZEAL BKG GRP LTD                  | AUSTRALIA and N ZEAL BKG GRP LTD 5.1454%/VAR 08/18/2036 REGS      | CUSIP: N/A<br>LEI: JHE42UYNWWTJB8YTTU19       | Long             | DBT              | CORP              | AU        |    7840000 | PA      | $10566374.51  | 0.55%             | 2036-08-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                  | MOBICO GROUP PLC 4.25%/VAR PERP REGS                              | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | EP               | CORP              | GB        |    3430000 | PA      | $2720755.21   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | FX Forward: USD/CAD settle 2026-01-30                             | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-480687.66   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB       | SAMHALLSBYGGNADSBOLAGET I NORDEN HOLDING AB 2.25% 07/12/2027 REGS | CUSIP: N/A<br>LEI: 636700JPED0N9T4ET363       | Long             | DBT              | CORP              | SE        |    4355000 | PA      | $4860983.15   | 0.25%             | 2027-07-12      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SNAM SPA                                          | SNAM SPA 5.75% 05/28/2035 144A                                    | CUSIP: 83304JAB3<br>LEI: 8156002278562044AF79 | Long             | DBT              | CORP              | IT        |    5419000 | PA      | $5660783.75   | 0.30%             | 2035-05-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| METRO AG                                          | METRO AG 4% 03/05/2030 REGS                                       | CUSIP: N/A<br>LEI: 5299006EQ03K3SSUYS12       | Long             | DBT              | CORP              | DE        |    2890000 | PA      | $3540563.81   | 0.18%             | 2030-03-05      | Fixed         | 0.04%                 | 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        |    4125000 | PA      | $4166437.44   | 0.22%             | 2052-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| P3 GROUP SARL                                     | P3 GROUP SARL 4% 04/19/2032 REGS                                  | CUSIP: N/A<br>LEI: 529900GR62MT0O5VW110       | Long             | DBT              | CORP              | LU        |    4675000 | PA      | $5525937.15   | 0.29%             | 2032-04-19      | Fixed         | 0.04%                 | No            |                  2 | 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        |     647000 | PA      | $562877.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SARL                           | TITANIUM 2L BONDCO SARL PIK 6.25% 01/14/2031                      | CUSIP: N/A<br>LEI: 636700S4QMU2DWYOSF67       | Long             | DBT              | CORP              | LU        |     859900 | PA      | $181286.49    | 0.01%             | 2031-01-14      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NATWEST GROUP PLC 2.105%/VAR 11/28/2031 REGS                      | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    4974000 | PA      | $6597888.26   | 0.34%             | 2031-11-28      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| THE TORONTO DOMINION BANK                         | TORONTO DOMINION BANK 3.357% 09/22/2032 REGS                      | CUSIP: N/A<br>LEI: PT3QB789TSUIDF371261       | Long             | DBT              | CORP              | CA        |    7335000 | PA      | $8526226.64   | 0.45%             | 2032-09-22      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FISERV FUNDING UNLTD CO                           | FISERV FUNDING UNLTD CO 3.5% 06/15/2032                           | CUSIP: 337735AB0<br>LEI: 254900RNWK5SE9A0I712 | Long             | DBT              | CORP              | IE        |    4076000 | PA      | $4691105.21   | 0.24%             | 2032-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBW INTERNATIONAL FINANCE BV                     | ENBW INTERNATIONAL FINANCE BV 5.7923% 02/26/2036 REGS             | CUSIP: N/A<br>LEI: 724500CNCIO1ZTJ0X675       | Long             | DBT              | CORP              | NL        |    7250000 | PA      | $4721588.02   | 0.25%             | 2036-02-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | MORGAN STANLEY 4.099%/VAR 05/22/2036                              | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2868419.91   | 0.15%             | 2036-05-22      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                 | NATWEST GROUP PLC 7.416%/VAR 06/06/2033 REGS                      | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |    7365000 | PA      | $10473391.84  | 0.55%             | 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        |   12292000 | PA      | $14307287.31  | 0.75%             | 2031-08-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | ALPHABET INC 4% 05/06/2054                                        | CUSIP: 02079KAT4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     700000 | PA      | $763014.53    | 0.04%             | 2054-05-06      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.25% 08/15/2035                                        | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2340000 | PA      | $2356818.75   | 0.12%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.25% 02/28/2029                                        | CUSIP: 91282CKD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6420000 | PA      | $6549904.72   | 0.34%             | 2029-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                       | IMPERIAL BRANDS FINANCE PLC 3.875% 02/12/2034 REGS                | CUSIP: N/A<br>LEI: 2138008L3B3MCG1DFS50       | Long             | DBT              | CORP              | GB        |   10395000 | PA      | $11996204.74  | 0.63%             | 2034-02-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOBICO GROUP PLC                                  | MOBICO GROUP PLC 4.875% 09/26/2031 REGS                           | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |   11070000 | PA      | $10297867.89  | 0.54%             | 2031-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS GROUP AG 2.875%/VAR 04/02/2032 REGS                           | CUSIP: N/A<br>LEI: 549300SZJ9VS8SGXAN81       | Long             | DBT              | CORP              | CH        |    6790000 | PA      | $7781539.23   | 0.41%             | 2032-04-02      | Variable      | 0.03%                 | No            |                  2 | 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        |    7461000 | PA      | $8625093.01   | 0.45%             | 2082-09-05      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| AMPRION GMBH                                      | AMPRION GMBH 0.625% 09/23/2033 REGS                               | CUSIP: N/A<br>LEI: 529900ZIV0ETYHYZM863       | Long             | DBT              | CORP              | DE        |    5000000 | PA      | $4694336.41   | 0.25%             | 2033-09-23      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UNITED UTILITIES WATER FINANCE PLC                | UNITED UTILITIES WATER FINANCE PLC 3.5% 02/27/2033 REGS           | CUSIP: N/A<br>LEI: 213800313INX42GDLR44       | Long             | DBT              | CORP              | GB        |    2640000 | PA      | $3073860.65   | 0.16%             | 2033-02-27      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROMANIA, REPUBLIC OF                              | ROMANIA REPUBLIC OF 5.875% 07/11/2032 REGS                        | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |    5725000 | PA      | $7019679.69   | 0.37%             | 2032-07-11      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| COMMERZBANK AG                                    | COMMERZBANK AG 3.625%/VAR 01/14/2032 REGS                         | CUSIP: N/A<br>LEI: 851WYGNLUQLFZBSYGB56       | Long             | DBT              | CORP              | DE        |    3100000 | PA      | $3684997.17   | 0.19%             | 2032-01-14      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | REALTY INCOME CORP 3.375% 06/20/2031                              | CUSIP: 756109CU6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4875000 | PA      | $5703600.26   | 0.30%             | 2031-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 12/20/30 B                                          | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    1850000 | NC      | $-14724.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHG FINANCE LLC                                   | IHG FINANCE LLC 3.375% 09/10/2030 REGS                            | CUSIP: N/A<br>LEI: 213800DXTXQ1YC8UP313       | Long             | DBT              | CORP              | US        |    2450000 | PA      | $2871402.69   | 0.15%             | 2030-09-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GTC FINANCE DAC                                   | GTC FINANCE DAC 6.5% 10/15/2030 REGS                              | CUSIP: N/A<br>LEI: 213800BQ2YULQCB6M521       | Long             | DBT              | CORP              | IE        |    8400000 | PA      | $9146703.85   | 0.48%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                              | DUKE ENERGY CORP NEW 3.85% 06/15/2034                             | CUSIP: 26441CBR5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    1403000 | PA      | $1634263.14   | 0.09%             | 2034-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER AG                                     | SCHAEFFLER AG 5.375% 04/01/2031 REGS                              | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |    2900000 | PA      | $3593283.56   | 0.19%             | 2031-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0% 02/16/2026                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 2145250000 | PA      | $13684281.87  | 0.71%             | 2026-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | BARCLAYS PLC 3.543%/VAR 08/14/2031 REGS                           | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |   11070000 | PA      | $13099239.22  | 0.68%             | 2031-08-14      | Variable      | 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        |    5005000 | PA      | $6436120.06   | 0.34%             | 2034-11-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUBLICIS GROUPE SA                                | PUBLICIS GROUPE SA 3.375% 06/12/2032 REGS                         | CUSIP: N/A<br>LEI: 2138004KW8BV57III342       | Long             | DBT              | CORP              | FR        |    3900000 | PA      | $4550192.18   | 0.24%             | 2032-06-12      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | FX Forward: GBP/USD settle 2026-01-30                             | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |          1 | NC      | $21581.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 2.5% 12/01/2032                              | CUSIP: 135087P32<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   22550000 | PA      | $15729112.54  | 0.82%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ZF EUROPE FINANCE BV                              | ZF EUROPE FINANCE BV 4.75% 01/31/2029 REGS                        | CUSIP: N/A<br>LEI: 549300RI533US2G6G542       | Long             | DBT              | CORP              | NL        |    6700000 | PA      | $7849786.38   | 0.41%             | 2029-01-31      | Fixed         | 0.05%                 | 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        |     580200 | PA      | $483877.74    | 0.03%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                | JPSW SWAP CDS 12/20/30 CMZB B                                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DCR              | CORP              | US        |    8900000 | NC      | $1925.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4% 06/30/2032                                           | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5225000 | PA      | $5255002.94   | 0.27%             | 2032-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ROYAL KPN NV (KONINKLIJKE KPN)                    | ROYAL KPN NV (KONINKLIJKE KPN) 3.875% 02/16/2036 REGS             | CUSIP: N/A<br>LEI: 549300YO0JZHAL7FVP81       | Long             | DBT              | CORP              | NL        |    1600000 | PA      | $1883159.29   | 0.10%             | 2036-02-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | MORGAN STANLEY 3.955%/VAR 03/21/2035                              | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |     950000 | PA      | $1131511.53   | 0.06%             | 2035-03-21      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | AMERICAN TOWER CORP 3.625% 05/30/2032                             | CUSIP: 03027XCQ1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    7500000 | PA      | $8868520.79   | 0.46%             | 2032-05-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                       | COMMONWEALTH BANK AUSTRALIA 2.688% 03/11/2031 144A                | CUSIP: 202712BN4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    6940000 | PA      | $6319896.22   | 0.33%             | 2031-03-11      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PERNOD RICARD SA                                  | PERNOD RICARD SA 3.75% 02/04/2037 REGS                            | CUSIP: N/A<br>LEI: 52990097YFPX9J0H5D87       | Long             | DBT              | CORP              | FR        |    5300000 | PA      | $6109048.84   | 0.32%             | 2037-02-04      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENBW ENERGIE BADEN-WUERTTEM AG                    | ENBW ENERGIE BADEN-WUERTTEM AG EUSA5+NA 08/31/2081 REGS           | CUSIP: N/A<br>LEI: 529900JSFZ4TS59HKD79       | Long             | DBT              | CORP              | DE        |    6700000 | PA      | $7482819.53   | 0.39%             | 2081-08-31      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA, COMMONWEALTH OF                        | AUSTRALIA COMMONWEALTH OF 1.25% 05/21/2032                        | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    7575000 | PA      | $4163948.69   | 0.22%             | 2032-05-21      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AXA LOGISTICS EUROPE MASTER SCA                   | AXA LOGISTICS EUROPE MASTER SCA 3.375% 05/13/2031 REGS            | CUSIP: N/A<br>LEI: 213800IWFTNKN5BPH814       | Long             | DBT              | CORP              | LU        |    3265000 | PA      | $3815096.98   | 0.20%             | 2031-05-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL | BLACKSTONE PROP PARTNERS EUR HOLD 1.625% 04/20/2030 REGS          | CUSIP: N/A<br>LEI: 213800Y3B5GQFBGVHP79       | Long             | DBT              | CORP              | LU        |    5220000 | PA      | $5672381.46   | 0.30%             | 2030-04-20      | Fixed         | 0.02%                 | 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        |    3810000 | PA      | $3479705.00   | 0.18%             | 2052-05-02      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | COOPERATIEVE RABOBANK UA 1.125% 05/07/2031 REGS                   | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |    3900000 | PA      | $4125775.31   | 0.22%             | 2031-05-07      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                         | UST NOTES 4.125% 10/31/2031                                       | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   48000000 | PA      | $48738749.76  | 2.54%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY               | FX Forward: USD/AUD settle 2026-01-30                             | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |          1 | NC      | $-3882.76     | -0.00%            |  |  |  | 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        |    2494000 | PA      | $3362221.61   | 0.18%             | 2026-04-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CANADA, GOVERNMENT OF                             | CANADA GOVERNMENT OF 1.5% 06/01/2031                              | CUSIP: 135087M27<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   22775000 | PA      | $15316908.06  | 0.80%             | 2031-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVERNMENT OF                               | JAPAN GOVERNMENT OF 0.9% 09/01/2027                               | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 2110000000 | PA      | $13427003.32  | 0.70%             | 2027-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer