BANK OF IRELAND (UNGTD) 1.375%/VAR 08/11/2031 REGS

NPORT-P false 0000215829 XXXXXXXX S000058189 C000190811 Fidelity School Street Trust 811-02676 0000215829 WX9R9SUUXPO900BH1D05 245 Summer Street Boston 02210 1-800-FIDELITY Fidelity Series International Credit Fund S000058189 549300Z58RLCX0URKA18 2022-12-31 2022-09-30 N 99941106.59 1060267.87 98880838.72 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 399361.68000000 CAD EUR GBP USD N Bloomberg Global Aggregate Credit Ex US Index 77906588 BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 BANK OF IRELAND (UNGTD) 1.375%/VAR 08/11/2031 REGS N/A 800000.00000000 PA 641040.52000000 0.648295997787 Long DBT CORP IE N 2 2031-08-11 Variable 0.01375000 N N N N N N ILIAD SA 969500FZ9BTRZS3JNB97 ILIAD SA 0.75% 02/11/2024 REGS N/A 1700000.00000000 PA 1566119.91000000 1.583845697784 Long DBT CORP FR N 2 2024-02-11 Fixed 0.00750000 N N N N N N ADLER GROUP SA 391200OYYFJ3DWAMEC69 ADLER GROUP SA 2.25% 04/27/2027 REGS N/A 200000.00000000 PA 97915.62000000 0.099023856661 Long DBT CORP LU N 2 2027-04-27 Fixed 0.02250000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 BARCLAYS PLC (UNGTD) 2/VAR 02/07/2028 REGS N/A 500000.00000000 PA 482253.21000000 0.487711488133 Long DBT CORP GB N 2 2028-02-07 Variable 0.02000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNPI ITXEX537 PAY 600 10/19/22 N/A 5100000.00000000 NC 72290.86000000 0.073109068385 N/A DCR CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Purchased BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNPI SWAP ITXEX537 06/20/27 B N/A N/A NC N/A N/A DCR CORP FR ITRAXX XOVER S37 6/20/27 ITXEX537 2027-06-20 0.00000000 EUR 0.00000000 EUR 5100000.00000000 EUR 1.00000000 600.00000000 EUR 2022-10-19 XXXX -42270.95000000 N N N SYDNEY FUTURES EXCHANGE LTD N/A AUST 10Y BOND FUT DEC22 XMZ2 N/A 8.00000000 NC -16479.46000000 -0.01666597918 N/A DIR CORP AU N 1 SYDNEY FUTURES EXCHANGE LTD N/A Long AUSTRALIA, COMMONWEALTH OF AUST 10YR BOND FUT UNDERLYING 2022-12-15 661985.48000000 AUD -16479.46000000 N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 AIB GROUP PLC 2.25%/VAR 04/04/2028 REGS N/A 1200000.00000000 PA 1032618.32000000 1.044305786001 Long DBT CORP IE N 2 2028-04-04 Variable 0.02250000 N N N N N N CEZ AS 529900S5R9YHJHYKKG94 CEZ AS 2.375% 04/06/2027 REGS N/A 150000.00000000 PA 132359.67000000 0.133857754154 Long DBT CORP CZ N 2 2027-04-06 Fixed 0.02375000 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 BANK NOVA SCOTIA BC 4.65%/VAR PERP 064159KJ4 800000.00000000 PA USD 685683.62000000 0.693444381010 Long EP CORP CA N 2 N N N STICHTING AK RABOBANK CERTIFICATEN DG3RU1DBUFHT4ZF9WN62 STICHTING AK RABOBANK CERTIFICATEN 6.5% PERP REGS N/A 379300.00000000 PA 340135.66000000 0.343985411534 Long EP CORP NL N 2 N N N AUTOSTRADE PER L'ITALIA SPA 815600149448CEB9B230 AUTOSTRADE PER LITALIA SPA 2.25% 01/25/2032 REGS N/A 700000.00000000 PA 481986.24000000 0.487441496491 Long DBT CORP IT N 2 2032-01-25 Fixed 0.02250000 N N N N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 VOLKSWAGEN INTL FINANCE NV 3.875%/VAR PERP REGS N/A 900000.00000000 PA 711536.88000000 0.719590255514 Long EP CORP NL N 2 N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 AIB GROUP PLC 1.875%/VAR 11/19/2029 REGS N/A 1000000.00000000 PA 883711.09000000 0.893713181885 Long DBT CORP IE N 2 2029-11-19 Variable 0.01875000 N N N N N N GERMANY FEDERAL REPUBLIC OF 529900AQBND3S6YJLY83 GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS N/A 1050000.00000000 PA 857610.99000000 0.867317673577 Long DBT NUSS DE N 2 2031-08-15 Fixed 0.00000000 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1% 08/12/2027 REGS N/A 250000.00000000 PA 166947.60000000 0.168837160122 Long DBT CORP SE N 2 2027-08-12 Fixed 0.01000000 N N N N N N UNIVERSAL MUSIC GROUP NV 724500GJBUL3D9TW9Y18 UNIVERSAL MUSIC GROUP NV 3.75% 06/30/2032 REGS N/A 200000.00000000 PA 182756.20000000 0.184824686325 Long DBT CORP NL N 2 2032-06-30 Fixed 0.03750000 N N N N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 VOLKSWAGEN INTL FINANCE NV 3.748%/VAR PERP REGS N/A 300000.00000000 PA 247013.76000000 0.249809531550 Long EP CORP NL N 2 N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 VOLKSWAGEN INTL FINANCE NV 0 PERP REGS N/A 1900000.00000000 PA 1743554.04000000 1.763288077417 Long EP CORP NL N 2 N N N CHICAGO BOARD OF TRADE N/A US LONG BOND(CBT) FUT DEC22 USZ2 N/A 89.00000000 NC USD -1201350.48000000 -1.21494770427 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2022-12-20 12451506.73000000 USD -1201350.48000000 N N N ORSTED A/S W9NG6WMZIYEU8VEDOG48 ORSTED A/S 5.125% 09/13/2034 REGS N/A 300000.00000000 PA 305667.62000000 0.309127252516 Long DBT CORP DK N 2 2034-09-13 Fixed 0.05125000 N N N N N N SIRIUS REAL ESTATE LTD 213800NURUF5W8QSK566 SIRIUS REAL ESTATE LTD 1.125% 06/22/2026 REGS N/A 300000.00000000 PA 240650.10000000 0.243373845848 Long DBT CORP GG N 2 2026-06-22 Fixed 0.01125000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC 6.375%/VAR PERP 404280AT6 750000.00000000 PA USD 675712.50000000 0.683360405056 Long EP CORP GB N 2 N N N HEATHROW FUNDING LTD 7TI96JO3DYEIQWZ7Z726 HEATHROW FUNDING LTD 7.125% 02/14/2024 REGS N/A 750000.00000000 PA 824918.39000000 0.834255049490 Long DBT CORP JE N 2 2024-02-14 Fixed 0.07125000 N N N N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: EUR/USD settle 2022-11-18 N/A 1.00000000 NC N/A 392.97000000 0.000397417745 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 51716.82000000 USD 53000.00000000 EUR 2022-11-18 392.97000000 N N N BANCO BILBAO VIZCAYA ARGENTARIA S.A K8MS7FD7N5Z2WQ51AZ71 BANCO BILBAO VIZ ARGENTARIA SA 5.875/VAR PERP REGS N/A 400000.00000000 PA 358117.33000000 0.362170603158 Long EP CORP ES N 2 N N N ARGENTUM NETHERLANDS BV 724500RPEZI5VVQQWE89 ARGENTUM NETHERLANDS BV 5.75%/VAR 08/15/2050 REGS N/A 1300000.00000000 PA USD 1187654.00000000 1.201096203646 Long DBT CORP NL N 2 2050-08-15 Variable 0.05750000 N N N N N N HEATHROW FUNDING LTD 7TI96JO3DYEIQWZ7Z726 HEATHROW FUNDING LTD 2.625% 03/16/2028 REGS N/A 650000.00000000 PA 549925.33000000 0.556149540314 Long DBT CORP JE N 2 2028-03-16 Fixed 0.02625000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS 2.159/VAR 09/15/2029 144A 09659W2R4 225000.00000000 PA USD 176013.77000000 0.178005943596 Long DBT CORP FR N 2 2029-09-15 Variable 0.02159000 N N N N N N AIA GROUP LTD ZP5ILWVSYE4LJGMMVD57 AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS N/A 300000.00000000 PA 225997.57000000 0.228555474372 Long DBT CORP HK N 2 2033-09-09 Variable 0.00880000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC 4.976%/VAR 08/11/2033 53944YAU7 200000.00000000 PA USD 174759.51000000 0.176737487527 Long DBT CORP GB N 2 2033-08-11 Variable 0.04976000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: USD/CAD settle 2022-11-18 N/A 1.00000000 NC N/A 3595.29000000 0.003635982508 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 78000.00000000 CAD 60060.30000000 USD 2022-11-18 3595.29000000 N N N ILIAD SA 969500FZ9BTRZS3JNB97 ILIAD SA 1.875% 02/11/2028 REGS N/A 200000.00000000 PA 155831.87000000 0.157595619148 Long DBT CORP FR N 2 2028-02-11 Fixed 0.01875000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/GBP settle 2022-11-18 N/A 1.00000000 NC N/A 951056.09000000 0.961820411630 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 17604000.00000000 GBP 20621061.54000000 USD 2022-11-18 951056.09000000 N N N RWE AG 529900GB7KCA94ACC940 RWE AG 2.75% 05/24/2030 REGS N/A 1250000.00000000 PA 1105295.49000000 1.117805536753 Long DBT CORP DE N 2 2030-05-24 Fixed 0.02750000 N N N N N N VODAFONE GRP PLC 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC 4.875%/VAR 10/03/2078 REGS N/A 250000.00000000 PA 238662.56000000 0.241363810308 Long DBT CORP GB N 2 2078-10-03 Variable 0.04875000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 PETROLEOS MEXICANOS 2.5% 11/24/2022 REGS N/A 300000.00000000 PA 292912.44000000 0.296227705783 Long DBT CORP MX N 2 2022-11-24 Fixed 0.02500000 N N N N N N EUREX DEUTSCHLAND N/A EURO-BOBL FUTURE DEC22 OEZ2 N/A -22.00000000 NC 58203.31000000 0.058862071512 N/A DIR CORP DE N 1 EUREX DEUTSCHLAND N/A Short GERMANY FEDERAL REPUBLIC OF EURO-BOBL FUT UNDERLYING 2022-12-08 -2679437.16000000 EUR 58203.31000000 N N N LAGARDERE SA 969500VX2NV2AQQ65G45 LAGARDERE SA 1.625% 06/21/2024 REGS N/A 100000.00000000 PA 95057.99000000 0.096133883197 Long DBT CORP FR N 2 2024-06-21 Fixed 0.01625000 N N N N N N GSK CONSUMER HEALTHCARE CAPITAL NL B.V. 549300RXQZBOJONY3Q97 GSK CONSUMER HEALTHCARE CAPITAL NL B.V. 2.125% 03/29/2034 REGS N/A 450000.00000000 PA 344911.35000000 0.348815154143 Long DBT CORP NL N 2 2034-03-29 Fixed 0.02125000 N N N N N N CELLNEX FINANCE CO SA 549300OUROMFTRFA7T23 CELLNEX FINANCE CO SA 1% 09/15/2027 REGS N/A 900000.00000000 PA 700410.77000000 0.708338217056 Long DBT CORP ES N 2 2027-09-15 Fixed 0.01000000 N N N N N N BRITISH AMERICAN TOBACCO PLC 213800FKA5MF17RJKT63 BRITISH AMERICAN TOBACCO PLC 3%/VAR PERP REGS N/A 1900000.00000000 PA 1364781.57000000 1.380228553546 Long EP CORP GB N 2 N N N QBE INS GROUP LTD 549300D2FBW76FPUSG65 QBE INS GROUP LTD 5.875/VAR PERP 144A 74728GAE0 650000.00000000 PA USD 602524.00000000 0.609343536927 Long EP CORP AU N 2 N N N VIRGIN MONEY UK PLC 213800ZK9VGCYYR6O495 VIRGIN MONEY UK PLC 5.125/VAR 12/11/2030 REGS N/A 400000.00000000 PA 396045.23000000 0.400527781850 Long DBT CORP GB N 2 2030-12-11 Variable 0.05125000 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 BLACKSTONE PROP PARTNERS EUR HOLD 2.625% 10/20/2028 REGS N/A 250000.00000000 PA 203140.64000000 0.205439843178 Long DBT CORP LU N 2 2028-10-20 Fixed 0.02625000 N N N N N N GERMANY FEDERAL REPUBLIC OF 529900AQBND3S6YJLY83 GERMANY FEDERAL REPUBLIC OF 0% 02/15/2032 REGS N/A 680000.00000000 PA 549954.61000000 0.556179151713 Long DBT NUSS DE N 2 2032-02-15 Fixed 0.00000000 N N N N N N ILIAD SA 969500FZ9BTRZS3JNB97 ILIAD SA 1.5% 10/14/2024 REGS N/A 200000.00000000 PA 182289.30000000 0.184352501819 Long DBT CORP FR N 2 2024-10-14 Fixed 0.01500000 N N N N N N UST NOTES 254900HROIFWPRGM1V77 UST NOTES 0.75% 03/31/2026 91282CBT7 1960000.00000000 PA USD 1740342.19000000 1.760039874791 Long DBT UST US N 2 2026-03-31 Fixed 0.00750000 N N N N N N WHITBREAD GROUP PLC 2138006LIAYQKUCYBB20 WHITBREAD GROUP PLC 2.375% 05/31/2027 REGS N/A 250000.00000000 PA 220944.59000000 0.223445303316 Long DBT CORP GB N 2 2027-05-31 Fixed 0.02375000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 ROYAL BK SCOTLND GRP PLC(UNGTD) 3.622%/VAR 08/14/2030 REGS N/A 250000.00000000 PA 245593.55000000 0.248373247212 Long DBT CORP GB N 2 2030-08-14 Variable 0.03622000 N N N N N N JOHN LEWIS PLC 213800JSUFNZLZLCVJ25 JOHN LEWIS PLC 6.125% 01/21/2025 N/A 1194000.00000000 PA 1253491.02000000 1.267678385647 Long DBT CORP GB N 2 2025-01-21 Fixed 0.06125000 N N N N N N VEOLIA ENVIRONNEMENT SA 969500LENY69X51OOT31 VEOLIA ENVIRONNEMENT SA 2%/VAR PERP REGS N/A 900000.00000000 PA 683584.88000000 0.691321886878 Long EP CORP FR N 2 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/EUR settle 2022-10-28 N/A 1.00000000 NC N/A 1191453.33000000 1.204938535537 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 30394064.98000000 EUR 31030000.00000000 USD 2022-10-28 1191453.33000000 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE FRANCE 4.75% 11/24/2025 144A 83367TBR9 200000.00000000 PA USD 189080.56000000 0.191220627219 Long DBT CORP FR N 2 2025-11-24 Fixed 0.04750000 N N N N N N AT SECURITIES BV 894500FVP65TB5QVZL54 AT SECURITIES BV 5.25%/VAR PERP REGS N/A 750000.00000000 PA USD 634320.00000000 0.641499413042 Long EP CORP NL N 2 N N N ROLLS-ROYCE PLC X57JK1U580XATGR67572 ROLLS-ROYCE PLC 3.375% 06/18/2026 N/A 740000.00000000 PA 660997.60000000 0.668478957659 Long DBT CORP GB N 2 2026-06-18 Fixed 0.03375000 N N N N N N GRAND CITY PROPERTIES SA 5299002QLUYKK2WBMB18 GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS N/A 1300000.00000000 PA 894729.99000000 0.904856796910 Long EP CORP LU N 2 N N N VIA OUTLETS 2594009AT1MND8D7E216 VIA OUTLETS 1.75% 11/15/2028 REGS N/A 450000.00000000 PA 335024.51000000 0.338816412094 Long DBT CORP NL N 2 2028-11-15 Fixed 0.01750000 N N N N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE FRANCE 7.875% PERP REGS N/A 200000.00000000 PA USD 191750.00000000 0.193920280695 Long EP CORP FR N 2 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A -2022.46000000 -0.00204535077 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 70181.42000000 USD 61000.00000000 GBP 2022-11-18 -2022.46000000 N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 ENEL SPA 2.5%/VAR PERP REGS N/A 900000.00000000 PA 832553.75000000 0.841976828652 Long EP CORP IT N 2 N N N INTERCONTINENTAL HOTELS GROUP PLC NEW 2138007ZFQYRUSLU3J98 INTERCONTINENT HTL GRP PLC NEW 3.375% 10/08/2028 REGS N/A 860000.00000000 PA 758226.86000000 0.766808685904 Long DBT CORP GB N 2 2028-10-08 Fixed 0.03375000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: EUR/USD settle 2022-11-18 N/A 1.00000000 NC N/A 3418.96000000 0.003457656755 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 187322.52000000 USD 194000.00000000 EUR 2022-11-18 3418.96000000 N N N ALPHA BANK SA 5299009N55YRQC69CN08 ALPHA BANK SA 4.25%/VAR 02/13/2030 REGS N/A 250000.00000000 PA 200891.38000000 0.203165125418 Long DBT CORP GR N 2 2030-02-13 Variable 0.04250000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/EUR settle 2022-11-18 N/A 1.00000000 NC N/A 1123.41000000 0.001136125071 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 53000.00000000 EUR 53233.20000000 USD 2022-11-18 1123.41000000 N N N GERMANY FEDERAL REPUBLIC OF 529900AQBND3S6YJLY83 GERMANY FEDERAL REPUBLIC OF 1.25% 08/15/2048 REGS N/A 1195000.00000000 PA 977419.45000000 0.988482159589 Long DBT NUSS DE N 2 2048-08-15 Fixed 0.01250000 N N N N N N SSE PLC 549300KI75VYLLMSK856 SSE PLC 3.74%/VAR PERP REGS N/A 400000.00000000 PA 382798.00000000 0.387130615956 Long EP CORP GB N 2 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/CAD settle 2022-10-03 N/A 1.00000000 NC N/A 342.96000000 0.000346841718 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 64000.00000000 CAD 46674.45000000 USD 2022-10-03 342.96000000 N N N CREDIT AGRICOLE ASSURANCES SA 969500K2MUPSI57XK083 CRDT AGR ASSR 4.75/VAR 9/27/48 N/A 400000.00000000 PA 362618.50000000 0.366722718672 Long DBT CORP FR N 2 2048-09-27 Variable 0.04750000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 AIB GROUP PLC 6.25%/VAR PERP REGS N/A 450000.00000000 PA 398040.45000000 0.402545584313 Long EP CORP IE N 2 N N N VODAFONE GRP PLC 213800TB53ELEUKM7Q61 VODAFONE GROUP PLC 6.25%/VAR 10/03/2078 REGS N/A 200000.00000000 PA USD 188760.00000000 0.190896439030 Long DBT CORP GB N 2 2078-10-03 Variable 0.06250000 N N N N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 UNITED KINGDOM G.B. and N.IRELAND 1% 04/22/2024 REGS N/A 1045000.00000000 PA 1110610.29000000 1.123180491161 Long DBT NUSS GB N 2 2024-04-22 Fixed 0.01000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 DANSKE BANK AS (UNGTD) 2.25%/VAR 01/14/2028 REGS N/A 705000.00000000 PA 630696.12000000 0.637834516944 Long DBT CORP DK N 2 2028-01-14 Variable 0.02250000 N N N N N N BAYER AG 549300J4U55H3WP1XT59 BAYER AG 2.375%/VAR 11/12/2079 REGS N/A 1400000.00000000 PA 1188555.64000000 1.202008048663 Long EP CORP DE N 2 N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE AG 7.5%/VAR PERP REGS N/A 1900000.00000000 PA USD 1745625.00000000 1.765382477127 Long EP CORP CH N 2 N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 BLACKSTONE PROP PARTNERS EUR HOLD 1% 05/04/2028 REGS N/A 1050000.00000000 PA 780544.56000000 0.789378983940 Long DBT CORP LU N 2 2028-05-04 Fixed 0.01000000 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 BANK IRELAND GROUP PLC 2.375%/VAR 10/14/2029 REGS N/A 800000.00000000 PA 717867.03000000 0.725992051941 Long DBT CORP IE N 2 2029-10-14 Variable 0.02375000 N N N N N N AUSNET SERVICES HOLDINGS PTY LTD TTMIG9TE1S0X3ZPDHD61 AUSNET SERVICES HOLDINGS PTY LTD 1.625%/VAR 03/11/2081 REGS N/A 150000.00000000 PA 114665.85000000 0.115963670499 Long DBT CORP AU N 2 2081-03-11 Variable 0.01625000 N N N N N N MARKS and SPENCER PLC 213800CN1RI3UCIZWB95 MARKS and SPENCER PLC 3.75% 05/19/2026 REGS N/A 400000.00000000 PA 359739.01000000 0.363810637790 Long DBT CORP GB N 2 2026-05-19 Fixed 0.03750000 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 UNICREDIT SPA 2.731%/VAR 01/15/2032 REGS N/A 1050000.00000000 PA 818454.85000000 0.827718353317 Long DBT CORP IT N 2 2032-01-15 Variable 0.02731000 N N N N N N JDE PEETS BV 724500EHG519SE5ZRT89 JDE PEETS BV 2.25% 09/24/2031 144A 47216QAC7 150000.00000000 PA USD 109835.01000000 0.111078153686 Long DBT CORP NL N 2 2031-09-24 Fixed 0.02250000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GRP AG 4.282% 01/09/2028 144A 225401AC2 298000.00000000 PA USD 252968.63000000 0.255831800452 Long DBT CORP CH N 2 2028-01-09 Fixed 0.04282000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/AUD settle 2022-11-18 N/A 1.00000000 NC N/A 698.09000000 0.000705991179 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 105000.00000000 AUD 67903.50000000 USD 2022-11-18 698.09000000 N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 ENEL SOCIETA PER AZIONI 3.375%/VAR PERP REGS N/A 550000.00000000 PA 458847.16000000 0.464040521843 Long DBT CORP IT N 2 2199-12-31 Variable 0.03375000 N N N N N N ZF EUROPE FINANCE BV 549300RI533US2G6G542 ZF EUROPE FINANCE BV 2% 02/23/2026 REGS N/A 200000.00000000 PA 163121.87000000 0.164968129428 Long DBT CORP NL N 2 2026-02-23 Fixed 0.02000000 N N N N N N ICE FUTURES EUROPE FINANCIALS N/A LONG GILT FUTURE DEC22 G Z2 N/A -25.00000000 NC 364422.13000000 0.368546762666 N/A DIR CORP GB N 1 ICE FUTURES EUROPE FINANCIALS N/A Short UNITED KINGDOM,G.B. and N.IRELAND LONG GILT FUTURE UNDERLYING 2022-12-28 -3217951.73000000 GBP 364422.13000000 N N N M and G PLC 254900TWUJUQ44TQJY84 PRUDENTIAL PLC 5.625%/VAR 10/20/2051 REGS N/A 750000.00000000 PA 671452.42000000 0.679052108266 Long DBT CORP GB N 2 2051-10-20 Variable 0.05625000 N N N N N N HEIMSTADEN AB 549300WD2QBD89VBPV88 HEIMSTADEN AB 4.375% 03/06/2027 REGS N/A 500000.00000000 PA 363951.37000000 0.368070674471 Long DBT CORP SE N 2 2027-03-06 Fixed 0.04375000 N N N N N N ANGLIAN WATER (OSPREY) FINANCING PLC 21380072JDZ74GW9ZY87 ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS N/A 175000.00000000 PA 139925.21000000 0.141508923074 Long DBT CORP GB N 2 2028-07-31 Fixed 0.02000000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 NATWEST GRP PLC(UNGTD) 3.619%/VAR 03/29/2029 REGS N/A 600000.00000000 PA 543612.02000000 0.549764774487 Long DBT CORP GB N 2 2029-03-29 Variable 0.03619000 N N N N N N SOUTHERN COMPANY 549300FC3G3YU2FBZD92 SOUTHERN COMPANY EUSA5 1.875/VAR 09/15/2081 N/A 1000000.00000000 PA 681134.75000000 0.688844025614 Long DBT CORP US N 2 2081-09-15 Variable 0.01875000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: CAD/USD settle 2022-11-18 N/A 1.00000000 NC N/A -273.46000000 -0.00027655509 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 37192.89000000 USD 51000.00000000 CAD 2022-11-18 -273.46000000 N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A 2030.30000000 0.002053279509 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 223676.42000000 USD 202000.00000000 GBP 2022-11-18 2030.30000000 N N N BPCE SA 9695005MSX1OYEMGDF46 BPCE SA 1.5%/VAR 01/13/2042 REGS N/A 800000.00000000 PA 650637.16000000 0.658001255270 Long DBT CORP FR N 2 2042-01-13 Variable 0.01500000 N N N N N N ACCENTRO REAL ESTATE AG 391200VKLY50XNAFCM46 ACCENTRO REAL ESTATE AG 3.625% 02/13/2023 REGS N/A 525000.00000000 PA 256598.36000000 0.259502612762 Long DBT CORP DE N 2 2023-02-13 Fixed 0.03625000 N N N N N N SOUTHERN WTR SERVICES FIN LTD 213800BTY35K1724Z452 SOUTHERN WTR SERVICES FIN LTD 1.625% 03/30/2027 REGS N/A 208000.00000000 PA 189042.99000000 0.191182631991 Long DBT CORP KY N 2 2027-03-30 Fixed 0.01625000 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 BANK NOVA SCOTIA BC 4.9/VAR PERP 064159VJ2 350000.00000000 PA USD 312451.81000000 0.315988227895 Long EP CORP CA N 2 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A -10825.60000000 -0.01094812720 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 725936.00000000 USD 640000.00000000 GBP 2022-11-18 -10825.60000000 N N N ELECTRICITE DE FRANCE 549300X3UK4GG3FNMO06 EDF SA 5.25/VAR PERP REGS N/A 2300000.00000000 PA USD 2150500.00000000 2.174839966810 Long EP CORP FR N 2 N N N CIA DE SEGUROS FIDELIDADE SA 529900FNLE8ZOPUOT704 FIDELIDADE COMPANHIA 4.25%/VAR 09/04/2031 REGS N/A 300000.00000000 PA 239560.48000000 0.242271893221 Long DBT CORP PT N 2 2031-09-04 Variable 0.04250000 N N N N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 TRAVIS PERKINS PLC 3.75% 02/17/2026 REGS N/A 200000.00000000 PA 190930.05000000 0.193091050269 Long DBT CORP GB N 2 2026-02-17 Fixed 0.03750000 N N N N N N BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL 213800Y3B5GQFBGVHP79 BLACKSTONE PROP PARTNERS EUR HOLD 1.75% 03/12/2029 REGS N/A 600000.00000000 PA 449839.42000000 0.454930829696 Long DBT CORP LU N 2 2029-03-12 Fixed 0.01750000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS 2.50%/VAR 03/31/2032 REGS N/A 900000.00000000 PA 756318.31000000 0.764878534395 Long DBT CORP FR N 2 2032-03-31 Variable 0.02500000 N N N N N N RENTOKIL INITIAL PLC 549300VN4WV7Z6T14K68 RENTOKIL INITIAL PLC 5% 06/27/2032 REGS N/A 300000.00000000 PA 291899.89000000 0.295203695456 Long DBT CORP GB N 2 2032-06-27 Fixed 0.05000000 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 DANONE 1.75/VAR PERP REGS N/A 600000.00000000 PA 567448.95000000 0.573871497598 Long EP CORP FR N 2 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 BNP PARIBAS 6.625%/VAR PERP REGS N/A 550000.00000000 PA USD 508062.50000000 0.513812894972 Long EP CORP FR N 2 N N N CITYCON OYJ 549300P8N0P6KDGTJ206 CITYCON OYJ 4.496%/VAR PERP REGS N/A 300000.00000000 PA 212131.82000000 0.214532787895 Long EP CORP FI N 2 N N N UNICREDIT SPA 549300TRUWO2CD2G5692 UNICREDIT SPA 5.861%/VAR 06/19/2032 144A 904678AF6 200000.00000000 PA USD 164711.44000000 0.166575690631 Long DBT CORP IT N 2 2032-06-19 Variable 0.05861000 N N N N N N AEROPORTI DI ROMA SPA 8156007259ABDEA3F444 AEROPORTI DI ROMA SPA 1.75% 07/30/2031 REGS N/A 175000.00000000 PA 122317.64000000 0.123702065620 Long DBT CORP IT N 2 2031-07-30 Fixed 0.01750000 N N N N N N CHICAGO BOARD OF TRADE N/A US 5YR NOTE (CBT) FUT DEC22 FVZ2 N/A 95.00000000 NC USD -430799.36000000 -0.43567526891 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2022-12-30 10644041.55000000 USD -430799.36000000 N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 HEIMSTADEN BOSTAD AB 3.625/VAR PERP REGS N/A 150000.00000000 PA 89771.60000000 0.090787660341 Long EP CORP SE N 2 N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS N/A 400000.00000000 PA 353042.24000000 0.357038071855 Long DBT CORP DE N 2 2028-05-24 Variable 0.03250000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A 8578.98000000 0.008676079320 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 241709.66000000 USD 224000.00000000 GBP 2022-11-18 8578.98000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS GROUP AG 7/VAR PERP RGS N/A 200000.00000000 PA USD 190036.00000000 0.192186881159 Long EP CORP CH N 2 N N N GTC AURORA LUXEMBOURG SA 549300UAWIR6P1PVC062 GTC AURORA LUXEMBOURG SA 2.25% 06/23/2026 REGS N/A 500000.00000000 PA 362167.68000000 0.366266796164 Long DBT CORP LU N 2 2026-06-23 Fixed 0.02250000 N N N N N N CREDIT SUISSE AG ANGGYXNX0JLX3X63JN86 CREDIT SUISSE AG 6.5% 08/08/2023 REGS N/A 1650000.00000000 PA USD 1628550.00000000 1.646982389188 Long DBT CORP CH N 2 2023-08-08 Fixed 0.06500000 N N N N N N MARKS and SPENCER PLC 213800CN1RI3UCIZWB95 MARKS and SPENCER PLC STEP 07/10/2027 REGS N/A 520000.00000000 PA 451810.17000000 0.456923885202 Long DBT CORP GB N 2 2027-07-10 Variable 0.04500000 N N N N N N AROUNDTOWN SA 529900H4DWG3KWMBMQ39 AROUNDTOWN SA 3.375%/VAR PERP REGS N/A 1400000.00000000 PA 891845.50000000 0.901939659437 Long EP CORP LU N 2 N N N AEROPORTI DI ROMA SPA 8156007259ABDEA3F444 AEROPORTI DI ROMA SPA 1.625% 02/02/2029 REGS N/A 100000.00000000 PA 77979.31000000 0.078861901870 Long DBT CORP IT N 2 2029-02-02 Fixed 0.01625000 N N N N N N VALEO 5493006IH2N2WMIBB742 VALEO 1% 08/03/2028 REGS N/A 400000.00000000 PA 298996.79000000 0.302380920176 Long DBT CORP FR N 2 2028-08-03 Fixed 0.01000000 N N N N N N WHITBREAD GROUP PLC 2138006LIAYQKUCYBB20 WHITBREAD GROUP PLC 3.375% 10/16/2025 REGS N/A 800000.00000000 PA 793391.85000000 0.802371683200 Long DBT CORP GB N 2 2025-10-16 Fixed 0.03375000 N N N N N N CPI PROPERTY GROUP SA 222100CO2ZOTEPGJO223 CPI PROPERTY GROUP SA 3.75%/VAR PERP REGS N/A 800000.00000000 PA 450823.00000000 0.455925542133 Long EP CORP LU N 2 N N N M and G PLC 254900TWUJUQ44TQJY84 PRUDENTIAL PLC 6.5%/VAR 10/20/2048 REGS N/A 500000.00000000 PA USD 467520.00000000 0.472811523498 Long DBT CORP GB N 2 2048-10-20 Variable 0.06500000 N N N N N N BAT INTERNATIONAL FINANCE PLC 21380041YBGOQDFAC823 BAT INTL FINANCE PLC 2.25% 06/26/2028 REGS N/A 1250000.00000000 PA 1024783.55000000 1.036382339860 Long DBT CORP GB N 2 2028-06-26 Fixed 0.02250000 N N N N N N ZF FINANCE GMBH 5493001N9T6QDCCXB426 ZF FINANCE GMBH 2% 05/06/2027 REGS N/A 300000.00000000 PA 227101.89000000 0.229672293378 Long DBT CORP DE N 2 2027-05-06 Fixed 0.02000000 N N N N N N GERMANY FEDERAL REPUBLIC OF 529900AQBND3S6YJLY83 GERMANY FEDERAL REPUBLIC OF 0% 05/15/2035 REGS N/A 1350000.00000000 PA 1001238.42000000 1.012570719424 Long DBT NUSS DE N 2 2035-05-15 Fixed 0.00000000 N N N N N N CLOVERIE PLC 5493002N598MXOKUEF55 CLOVERIE PLC 4.5/VAR 09/11/2044 REGS N/A 902000.00000000 PA USD 826313.18000000 0.835665626117 Long DBT CORP IE N 2 2044-09-11 Variable 0.04500000 N N N N N N IMPERIAL BRANDS FINANCE PLC 2138008L3B3MCG1DFS50 IMPERIAL BRANDS FINANCE PLC 3.5% 07/26/2026 144A 45262BAB9 2407000.00000000 PA USD 2172144.03000000 2.196728970059 Long DBT CORP GB N 2 2026-07-26 Fixed 0.03500000 N N N N N N QBE INS GROUP LTD 549300D2FBW76FPUSG65 QBE INS GROUP LTD 2.5%/VAR 09/13/2038 REGS N/A 600000.00000000 PA 469423.97000000 0.474737043168 Long DBT CORP AU N 2 2038-09-13 Variable 0.02500000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GRP AG 4.194/VAR 04/01/2031 144A 225401AP3 250000.00000000 PA USD 196640.77000000 0.198866405812 Long DBT CORP CH N 2 2031-04-01 Variable 0.04194000 N N N N N N TECHNIP ENERGIES NV 724500FLODI49NSCIP70 TECHNIP ENERGIES NV 1.125% 05/28/2028 REGS N/A 600000.00000000 PA 455240.55000000 0.460393091212 Long DBT CORP NL N 2 2028-05-28 Fixed 0.01125000 N N N N N N ADLER GROUP SA 391200OYYFJ3DWAMEC69 ADLER GROUP SA 1.875% 01/14/2026 REGS N/A 2000000.00000000 PA 999651.00000000 1.010965332556 Long DBT CORP LU N 2 2026-01-14 Fixed 0.01875000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 BARCLAYS PLC (UNGTD) 7.125/VAR PERP N/A 200000.00000000 PA 193163.15000000 0.195349425126 Long EP CORP GB N 2 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A 2148.60000000 0.002172918462 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 77183.96000000 USD 71000.00000000 GBP 2022-11-18 2148.60000000 N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 TRAVIS PERKINS PLC 4.5% 09/07/2023 REGS N/A 350000.00000000 PA 375160.80000000 0.379406975968 Long DBT CORP GB N 2 2023-09-07 Fixed 0.04500000 N N N N N N Fidelity Revere Street Trust 549300BDV45LJNXBZC55 Fidelity Cash Central Fund 31635A105 9809685.57700000 NS USD 9811647.51000000 9.922698509651 Long STIV RF US N 1 N N N TRITAX EUROBOX PLC 213800HK59N7H979QU33 TRITAX EUROBOX PLC 0.95% 06/02/2026 REGS N/A 210000.00000000 PA 172531.11000000 0.174483865866 Long DBT CORP GB N 2 2026-06-02 Fixed 0.00950000 N N N N N N AKELIUS RESIDENTIAL AB 213800REBFN6T3PU8L97 AKELIUS RESIDENTIAL AB 3.875/VAR 10/05/2078 REGS N/A 251000.00000000 PA 229511.05000000 0.232108720932 Long DBT CORP SE N 2 2078-10-05 Variable 0.03875000 N N N N N N BANK OF IRELAND GROUP PLC 635400C8EK6DRI12LJ39 BANK IRELAND GROUP PLC 2.029%/VAR 09/30/2027 144A 06279JAB5 950000.00000000 PA USD 785162.68000000 0.794049373128 Long DBT CORP IE N 2 2027-09-30 Variable 0.02029000 N N N N N N PRUDENTIAL PLC 5493001Z3ZE83NGK8Y12 PRUDENTIAL PLC 2.95%/VAR 11/03/2033 REGS N/A 1300000.00000000 PA USD 989950.00000000 1.001154533896 Long DBT CORP GB N 2 2033-11-03 Variable 0.02950000 N N N N N N BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 BARCLAYS BANK PLC 7.625% 11/21/2022 06740L8C2 776000.00000000 PA USD 776000.00000000 0.784782987326 Long EP CORP GB N 2 N N N QBE INS GROUP LTD 549300D2FBW76FPUSG65 QBE INS GROUP LTD 6.75%/VAR 12/02/2044 REGS N/A 570000.00000000 PA USD 552187.50000000 0.558437314193 Long DBT CORP AU N 2 2044-12-02 Variable 0.06750000 N N N N N N MPT OPER PARTNERSHIP LP / MPT FIN CORP N/A MPT OPER PARTNERSHIP LP/CORP 2.5% 03/24/2026 N/A 250000.00000000 PA 221859.60000000 0.224370669658 Long DBT CORP US N 2 2026-03-24 Fixed 0.02500000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: USD/CAD settle 2022-11-18 N/A 1.00000000 NC N/A 336.23000000 0.000340035546 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 73000.00000000 CAD 53181.69000000 USD 2022-11-18 336.23000000 N N N HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 969500I3QVK40XEORU25 HOLDING D'INFRASTRUCTURES ET DES METIERS DE L'ENVIRONNEMENT 0.625% 09/16/2028 REGS N/A 200000.00000000 PA 151948.91000000 0.153668710709 Long DBT CORP FR N 2 2028-09-16 Fixed 0.00625000 N N N N N N CHICAGO BOARD OF TRADE N/A US 2YR NOTE (CBT) FUT DEC22 TUZ2 N/A 61.00000000 NC USD -222999.86000000 -0.22552383544 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2022-12-30 12751827.99000000 USD -222999.86000000 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: EUR/USD settle 2022-11-18 N/A 1.00000000 NC N/A -1268.96000000 -0.00128332244 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 64193.98000000 USD 64000.00000000 EUR 2022-11-18 -1268.96000000 N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 VOLKSWAGEN INTL FINANCE NV 3.375/VAR PERP REGS N/A 100000.00000000 PA 91673.88000000 0.092711470884 Long EP CORP NL N 2 N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A 6343.69000000 0.006415489676 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 202602.63000000 USD 187000.00000000 GBP 2022-11-18 6343.69000000 N N N LEIGHTON FIN USA PTY LTD 213800SWJBM5VMCQJW54 LEIGHTON FIN USA PTY LTD 1.5% 05/28/2029 REGS N/A 700000.00000000 PA 451595.92000000 0.456707210260 Long DBT CORP AU N 2 2029-05-28 Fixed 0.01500000 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1.75% 01/14/2025 REGS N/A 200000.00000000 PA 162359.00000000 0.164196625050 Long DBT CORP SE N 2 2025-01-14 Fixed 0.01750000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS GROUP AG 4.988%/VAR 08/05/2033 REGS N/A 200000.00000000 PA USD 179700.71000000 0.181734613425 Long DBT CORP CH N 2 2033-08-05 Variable 0.04988000 N N N N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A -984.48000000 -0.00099562262 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 45678.88000000 USD 40000.00000000 GBP 2022-11-18 -984.48000000 N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 PETROLEOS MEXICANOS 6.5% 03/13/2027 71654QCG5 1980000.00000000 PA USD 1658052.00000000 1.676818301162 Long DBT CORP MX N 2 2027-03-13 Fixed 0.06500000 N N N N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 FX Forward: USD/EUR settle 2022-11-18 N/A 1.00000000 NC N/A 518540.42000000 0.524409407032 N/A DFE CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 15319000.00000000 EUR 15580234.91000000 USD 2022-11-18 518540.42000000 N N N NATIONAL EXPRESS GROUP PLC 213800A8IQEMY8PA5X34 NATIONAL EXPRESS GROUP 4.25%/VAR PERP REGS N/A 190000.00000000 PA 165897.00000000 0.167774669134 Long EP CORP GB N 2 N N N MONTREAL EXCHANGE (THE) N/A CAN 10YR BOND FUT DEC22 CNZ2 N/A 36.00000000 NC -30504.48000000 -0.03084973832 N/A DIR CORP CA N 1 MONTREAL EXCHANGE (THE) N/A Long CANADA, GOVERNMENT OF CANADA BOND FUT UNDERLYING GENERIC IV FOR FUTURES TRADING 2022-12-19 3472662.15000000 CAD -30504.48000000 N N N ARGENTUM NETHERLANDS BV 724500RPEZI5VVQQWE89 ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS N/A 964000.00000000 PA USD 856032.00000000 0.865720812122 Long DBT CORP NL N 2 2052-08-15 Variable 0.05625000 N N N N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624/VAR PERP REGS N/A 650000.00000000 PA 275516.56000000 0.278634934297 Long EP CORP SE N 2 N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPSW SWAP CDS 12/20/26 ISPIM B N/A 1000000.00000000 NC 13092.79000000 0.013240977897 N/A DCR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 INTESA SANPAOLO SPA INTESA SANPAOLO SPA 2.125% 05/26/2025 REGS Y 2026-12-20 0.00000000 EUR 22033.13000000 EUR 1000000.00000000 EUR 31256.05000000 N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 NATWEST GRP PLC(UNGTD) 2.105/VAR 11/28/2031 REGS N/A 650000.00000000 PA 563449.09000000 0.569826366052 Long DBT CORP GB N 2 2031-11-28 Variable 0.02105000 N N N N N N ALPHA TRAINS FINANCE SA 529900FR0E130P05IY43 ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS N/A 802000.00000000 PA 749337.91000000 0.757819128255 Long DBT CORP LU N 2 2030-06-30 Fixed 0.02064000 N N N N N N QBE INS GROUP LTD 549300D2FBW76FPUSG65 QBE INS GROUP LTD 5.25%/VAR PERP REGS N/A 1100000.00000000 PA USD 966287.72000000 0.977224437523 Long EP CORP AU N 2 N N N LAGARDERE SA 969500VX2NV2AQQ65G45 LAGARDERE SA 1.75% 10/07/2027 REGS N/A 200000.00000000 PA 183975.10000000 0.186057382179 Long DBT CORP FR N 2 2027-10-07 Fixed 0.01750000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: EUR/USD settle 2022-11-18 N/A 1.00000000 NC N/A 238.23000000 0.000240926354 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 219999.36000000 USD 224000.00000000 EUR 2022-11-18 238.23000000 N N N THE BERKELEY GROUP PLC 2138001V85JLYR7AUB61 THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS N/A 400000.00000000 PA 271603.91000000 0.274677999818 Long DBT CORP GB N 2 2031-08-11 Fixed 0.02500000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 BARCLAYS PLC (UNGTD) 5.875% PERP REGS N/A 350000.00000000 PA 324357.77000000 0.328028942916 Long EP CORP GB N 2 N N N AERCAP HOLDINGS NV 549300SZYINBBLJQU475 AERCAP HOLDINGS NV 5.875/VAR 10/10/2079 00774YAA7 1050000.00000000 PA USD 937287.75000000 0.947896237666 Long EP CORP NL N 2 N N N SSE PLC 549300KI75VYLLMSK856 SSE PLC 4%/VAR PERP REGS N/A 500000.00000000 PA 427546.81000000 0.432385905636 Long EP CORP GB N 2 N N N EUREX DEUTSCHLAND N/A EURO-BUND FUTURE DEC22 RXZ2 N/A 16.00000000 NC -92793.55000000 -0.09384381362 N/A DIR CORP DE N 1 EUREX DEUTSCHLAND N/A Long GERMANY FEDERAL REPUBLIC OF EURO-BUND FUT UNDERLYING GENERIC IV FOR FUTURES TRADING 2022-12-08 2298406.17000000 EUR -92793.55000000 N N N NGG FINANCE PLC 549300MLDJ2T68G21W86 NGG FINANCE PLC 2.125/VAR 09/05/2082 REGS N/A 1000000.00000000 PA 772861.55000000 0.781609015462 Long DBT CORP GB N 2 2082-09-05 Variable 0.02125000 N N N N N N ALIBABA GROUP HOLDING LTD 5493001NTNQJDH60PM02 ALIBABA GROUP HOLDING LTD 2.125% 02/09/2031 01609WAX0 200000.00000000 PA USD 153716.00000000 0.155455801133 Long DBT CORP KY N 2 2031-02-09 Fixed 0.02125000 N N N N N N EUREX DEUTSCHLAND N/A EURO-BUXL 30Y BND FUT DEC22 UBZ2 N/A 4.00000000 NC -52709.26000000 -0.05330583830 N/A DIR CORP DE N 1 EUREX DEUTSCHLAND N/A Long GERMANY FEDERAL REPUBLIC OF UNDERLYING EURO BUXL 30YR BOND 2022-12-08 637148.10000000 EUR -52709.26000000 N N N ACCOR SA 969500QZC2Q0TK11NV07 ACCOR SA 2.375% 11/29/2028 REGS N/A 300000.00000000 PA 223974.75000000 0.226509759524 Long DBT CORP FR N 2 2028-11-29 Fixed 0.02375000 N N N N N N DUKE ENERGY CORP NEW I1BZKREC126H0VB1BL91 DUKE ENERGY CORP NEW 3.85% 06/15/2034 N/A 550000.00000000 PA 471846.35000000 0.477186840350 Long DBT CORP US N 2 2034-06-15 Fixed 0.03850000 N N N N N N TELEFONICA EUROPE BV 7245007FZS0M65WUGP67 TELEFONICA EUROPE BV 2.625/VAR PERP REGS N/A 500000.00000000 PA 479146.45000000 0.484569564945 Long EP CORP NL N 2 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: GBP/USD settle 2022-11-18 N/A 1.00000000 NC N/A -832.66000000 -0.00084208428 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 89104.10000000 USD 79000.00000000 GBP 2022-11-18 -832.66000000 N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GRP AG 2.125%/VAR 11/15/2029 REGS N/A 500000.00000000 PA 388951.31000000 0.393353570858 Long DBT CORP CH N 2 2029-11-15 Variable 0.02125000 N N N N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.25% 05/15/2042 912810TH1 400000.00000000 PA USD 355000.00000000 0.359017990336 Long DBT UST US N 2 2042-05-15 Fixed 0.03250000 N N N N N N AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR N/A AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 6.5% 07/15/2025 00774MAN5 150000.00000000 PA USD 149729.30000000 0.151423978536 Long DBT CORP IE N 2 2025-07-15 Fixed 0.06500000 N N N N N N ENBW ENERGIE BADEN-WUERTTEM AG 529900JSFZ4TS59HKD79 ENBW ENERGIE BADEN-WUERTTEM AG 1.375%/VAR 08/31/2081 REGS N/A 500000.00000000 PA 334865.45000000 0.338655551808 Long DBT CORP DE N 2 2081-08-31 Variable 0.01375000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: EUR/USD settle 2022-11-18 N/A 1.00000000 NC N/A 1168.95000000 0.001182180506 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 96168.20000000 USD 99000.00000000 EUR 2022-11-18 1168.95000000 N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GRP AG 7.375%/VAR 09/07/2033 REGS N/A 250000.00000000 PA 257801.35000000 0.260719218543 Long DBT CORP CH N 2 2033-09-07 Variable 0.07375000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 BARCLAYS PLC (UNGTD) 8.875%/VAR PERP REGS N/A 200000.00000000 PA 202370.67000000 0.204661158440 Long EP CORP GB N 2 N N N TELEFONICA EUROPE BV 7245007FZS0M65WUGP67 TELEFONICA EUROPE BV 3.875%/VAR PERP REGS N/A 500000.00000000 PA 427546.81000000 0.432385905636 Long EP CORP NL N 2 N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC 5.402%/VAR 08/11/2033 404280DH9 200000.00000000 PA USD 177838.70000000 0.179851528670 Long DBT CORP GB N 2 2033-08-11 Variable 0.05402000 N N N N N N ZURICH FINANCE (IRELAND) DAC 549300E0FVHYR37EGX65 ZURICH FINANCE (IRELAND) DAC 3.5%/VAR 05/02/2052 REGS N/A 600000.00000000 PA USD 415650.00000000 0.420354444177 Long DBT CORP IE N 2 2052-05-02 Variable 0.03500000 N N N N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 HEIMSTADEN BOSTAD AB 3.248%/VAR PERP REGS N/A 1500000.00000000 PA 1053676.26000000 1.065602065718 Long DBT CORP SE N 2 2199-12-31 Variable 0.03248000 N N N N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: USD/GBP settle 2022-11-18 N/A 1.00000000 NC N/A 3325.84000000 0.003363482797 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 78000.00000000 GBP 90479.92000000 USD 2022-11-18 3325.84000000 N N N BAYER AG 549300J4U55H3WP1XT59 BAYER AG 3.75% 07/01/2074 REGS N/A 500000.00000000 PA 459163.23000000 0.464360169213 Long DBT CORP DE N 2 2074-07-01 Variable 0.03750000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS N/A 250000.00000000 PA 212898.71000000 0.215308357772 Long DBT CORP IE N 2 2031-05-30 Variable 0.02875000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 LLOYDS BANKING GROUP PLC 1.985%/VAR 12/15/2031 N/A 400000.00000000 PA 346668.23000000 0.350591919008 Long DBT CORP GB N 2 2031-12-15 Variable 0.01985000 N N N N N N BLACKSTONE PRIVATE CREDIT FUND 549300ORP3TTCNXSYO43 BLACKSTONE PRIVATE CREDIT FUND 4.875% 04/14/2026 REGS N/A 800000.00000000 PA 755454.16000000 0.764004603702 Long DBT CORP US N 2 2026-04-14 Fixed 0.04875000 N N N N N N DEUTSCHE BANK AG 7LTWFZYICNSX8D621K86 DEUTSCHE BANK AG 4%/VAR 06/24/2032 REGS N/A 800000.00000000 PA 664746.75000000 0.672270541598 Long DBT CORP DE N 2 2032-06-24 Variable 0.04000000 N N N N N N 2022-10-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer XXXX