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 2022-12-31 N 101964614.73 1157057.26 100807557.47 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 701532.35000000 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 720859.87000000 0.715085146482 Long DBT CORP IE N 2 2031-08-11 Variable 0.01375000 N N N N N N ADLER GROUP SA 391200OYYFJ3DWAMEC69 ADLER GROUP SA 2.25% 04/27/2027 REGS N/A 200000.00000000 PA 73861.05000000 0.073269357827 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 530953.90000000 0.526700490841 Long DBT CORP GB N 2 2028-02-07 Variable 0.02000000 N N N N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: USD/GBP settle 2023-01-12 N/A 1.00000000 NC N/A 2034.10000000 0.002017805064 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 171000.00000000 GBP 208812.20000000 USD 2023-01-12 2034.10000000 N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 BARCLAYS PLC (UNGTD) 5.262%/VAR 01/29/2034 REGS N/A 190000.00000000 PA 200811.86000000 0.199203179840 Long DBT CORP GB N 2 2034-01-29 Variable 0.05262000 N N N N N N AIB GROUP PLC 635400AKJBGNS5WNQL34 AIB GROUP PLC 2.25%/VAR 04/04/2028 REGS N/A 1200000.00000000 PA 1146053.74000000 1.136872838468 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 144836.70000000 0.143676430254 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 6.567140%/VAR PERP 064159KJ4 800000.00000000 PA USD 743615.25000000 0.737658235813 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 389216.44000000 0.386098472940 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 300000.00000000 PA 244018.92000000 0.242064113171 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 797225.34000000 0.790838861696 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 976250.40000000 0.968429773026 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 911687.81000000 0.904384386330 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 184652.62000000 0.183173389609 Long DBT CORP SE N 2 2027-08-12 Fixed 0.01000000 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 272402.63000000 0.270220444614 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 1927077.61000000 1.911640018233 Long EP CORP NL N 2 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: USD/CAD settle 2023-01-12 N/A 1.00000000 NC N/A -113.58000000 -0.00011267012 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 98000.00000000 CAD 72267.42000000 USD 2023-01-12 -113.58000000 N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 BARCLAYS PLC (UNGTD) 8.407%/VAR 11/14/2032 REGS N/A 300000.00000000 PA 374073.31000000 0.371076652771 Long DBT CORP GB N 2 2032-11-14 Variable 0.08407000 N N N N N N UNITED KINGDOM,G.B. and N.IRELAND ECTRVYYCEF89VWYS6K36 UNITED KINGDOM G.B. and N.IRELAND 2.25% 09/07/2023 REGS N/A 3407000.00000000 PA 4080254.13000000 4.047567694727 Long DBT NUSS GB N 2 2023-09-07 Fixed 0.02250000 N N N N N N ORSTED A/S W9NG6WMZIYEU8VEDOG48 ORSTED A/S 5.125% 09/13/2034 REGS N/A 300000.00000000 PA 356831.99000000 0.353973450954 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 249652.92000000 0.247652979861 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 726807.92000000 0.720985547354 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 907414.29000000 0.900145100996 Long DBT CORP JE N 2 2024-02-14 Fixed 0.07125000 N N N 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 410837.85000000 0.407546676371 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 1238250.00000000 1.228330525088 Long DBT CORP NL N 2 2050-08-15 Variable 0.05750000 N N N N N N THAMES WATER UTILITY FINANCE PLC 213800ESMPQ4RQ7G8351 THAMES WATER UTILITY FIN PLC 1.875% 01/24/2024 REGS N/A 130000.00000000 PA 151568.95000000 0.150354748993 Long DBT CORP GB N 2 2024-01-24 Fixed 0.01875000 N N N N N N HEATHROW FUNDING LTD 7TI96JO3DYEIQWZ7Z726 HEATHROW FUNDING LTD 2.625% 03/16/2028 REGS N/A 650000.00000000 PA 630242.92000000 0.625194118196 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 183424.80000000 0.181955405530 Long DBT CORP FR N 2 2029-09-15 Variable 0.02159000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: GBP/USD settle 2023-01-12 N/A 1.00000000 NC N/A -8058.84000000 -0.00799428158 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 307947.55000000 USD 248000.00000000 GBP 2023-01-12 -8058.84000000 N N N AIA GROUP LTD ZP5ILWVSYE4LJGMMVD57 AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS N/A 300000.00000000 PA 248634.92000000 0.246643134939 Long DBT CORP HK N 2 2033-09-09 Variable 0.00880000 N N N N N N EUREX DEUTSCHLAND N/A EURO-BUND FUTURE MAR23 RXH3 N/A 22.00000000 NC -196872.44000000 -0.19529531807 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 2023-03-08 3276107.93000000 EUR -196872.44000000 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A 325.59000000 0.000322981736 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 58583.42000000 USD 55000.00000000 EUR 2023-01-12 325.59000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GSCM ITXEX538 PAY 525 01/18/23 N/A 3950000.00000000 NC 14804.17000000 0.014685575537 N/A DCR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GSCM SWAP ITXEX538 12/20/27 B N/A N/A NC N/A N/A DCR CORP US N/A ITXEX538 2027-12-20 0.00000000 EUR 0.00000000 EUR 3950000.00000000 EUR 1.00000000 525.00000000 EUR 2023-01-18 XXXX -54559.46000000 N N N WELLS FARGO and CO PBLD0EJDB5FWOLXP3B76 WELLS FARGO and CO NEW 2.125% 12/20/2023 REGS N/A 130000.00000000 PA 153163.16000000 0.151936187964 Long DBT CORP US N 2 2023-12-20 Fixed 0.02125000 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 183638.07000000 0.182166967049 Long DBT CORP GB N 2 2033-08-11 Variable 0.04976000 N N N N N N ILIAD SA 969500FZ9BTRZS3JNB97 ILIAD SA 1.875% 02/11/2028 REGS N/A 200000.00000000 PA 176020.52000000 0.174610440345 Long DBT CORP FR N 2 2028-02-11 Fixed 0.01875000 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC 213800MBWEIJDM5CU638 LLOYDS BANK CORPORATE MARKETS PLC 1.75% 07/11/2024 REGS N/A 140000.00000000 PA 161131.56000000 0.159840754050 Long DBT CORP GB N 2 2024-07-11 Fixed 0.01750000 N N N N N N NATIONWIDE BUILDING SOCIETY 549300XFX12G42QIKN82 NATIONWIDE BUILDING SOC(UNGTD) 6.178%/VAR 12/07/2027 REGS N/A 300000.00000000 PA 363461.15000000 0.360549505535 Long DBT CORP GB N 2 2027-12-07 Variable 0.06178000 N N N N N N BARCLAYS PLC (UNGTD) 213800LBQA1Y9L22JB70 BARCLAYS PLC (UNGTD) 7.437%/VAR 11/02/2033 06738ECE3 200000.00000000 PA USD 209560.25000000 0.207881487518 Long DBT CORP GB N 2 2033-11-02 Variable 0.07437000 N N N N N N RWE AG 529900GB7KCA94ACC940 RWE AG 2.75% 05/24/2030 REGS N/A 1250000.00000000 PA 1218437.44000000 1.208676681173 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 282521.94000000 0.280258690013 Long DBT CORP GB N 2 2078-10-03 Variable 0.04875000 N N N N N N LAGARDERE SA 969500VX2NV2AQQ65G45 LAGARDERE SA 1.625% 06/21/2024 REGS N/A 100000.00000000 PA 103338.67000000 0.102510836085 Long DBT CORP FR N 2 2024-06-21 Fixed 0.01625000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 CITIGROUP INC 5.875% 07/01/2024 REGS N/A 200000.00000000 PA 242558.89000000 0.240615779300 Long DBT CORP US N 2 2024-07-01 Fixed 0.05875000 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 801429.64000000 0.795009481544 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 1574830.19000000 1.562214410827 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 612740.82000000 0.607832225458 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 447340.05000000 0.443756461546 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 225939.46000000 0.224129485596 Long DBT CORP LU N 2 2028-10-20 Fixed 0.02625000 N N N N N N LLOYDS BANK CORPORATE MARKETS PLC 213800MBWEIJDM5CU638 LLOYDS BANK CORPORATE MARKETS PLC 1.5% 06/23/2023 REGS N/A 130000.00000000 PA 154932.41000000 0.153691264711 Long DBT CORP GB N 2 2023-06-23 Fixed 0.01500000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC 7.39%/VAR 11/03/2028 404280DR7 350000.00000000 PA USD 367832.63000000 0.364885966123 Long DBT CORP GB N 2 2028-11-03 Variable 0.07390000 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 582205.42000000 0.577541440951 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 202741.09000000 0.201116955006 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 1756726.56000000 1.742653630431 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 253885.54000000 0.251851692841 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 277872.74000000 0.275646734207 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 1474000.00000000 PA 1706111.50000000 1.692444041715 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 786379.33000000 0.780079737805 Long EP CORP FR N 2 N N N SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 SOCIETE GENERALE FRANCE 4.75% 11/24/2025 144A 83367TBR9 200000.00000000 PA USD 191968.77000000 0.190430930793 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 345060.00000000 0.342295764980 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 766978.19000000 0.760834018052 Long DBT CORP GB N 2 2026-06-18 Fixed 0.03375000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A 330.65000000 0.000328001201 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 96065.91000000 USD 90000.00000000 EUR 2023-01-12 330.65000000 N N N GRAND CITY PROPERTIES SA 5299002QLUYKK2WBMB18 GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS N/A 1300000.00000000 PA 575142.08000000 0.570534684536 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 362881.91000000 0.359974905758 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 197963.72000000 0.196377855954 Long EP CORP FR N 2 N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 ENEL SPA 2.5%/VAR PERP REGS N/A 900000.00000000 PA 938317.93000000 0.930801175575 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 897501.80000000 0.890312018785 Long DBT CORP GB N 2 2028-10-08 Fixed 0.03375000 N N N N N N ALPHA BANK SA 5299009N55YRQC69CN08 ALPHA BANK SA 4.25%/VAR 02/13/2030 REGS N/A 250000.00000000 PA 216819.65000000 0.215082733320 Long DBT CORP GR N 2 2030-02-13 Variable 0.04250000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: USD/GBP settle 2023-01-12 N/A 1.00000000 NC N/A 2152.32000000 0.002135078017 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 119000.00000000 GBP 146050.53000000 USD 2023-01-12 2152.32000000 N N N GERMANY FEDERAL REPUBLIC OF 529900AQBND3S6YJLY83 GERMANY FEDERAL REPUBLIC OF 1.25% 08/15/2048 REGS N/A 1195000.00000000 PA 994952.23000000 0.986981784868 Long DBT NUSS DE N 2 2048-08-15 Fixed 0.01250000 N N N N N N ICE FUTURES EUROPE FINANCIALS N/A LONG GILT FUTURE MAR23 G H3 N/A -22.00000000 NC 161239.84000000 0.159948166632 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 2023-03-29 -2811343.30000000 GBP 161239.84000000 N N N SSE PLC 549300KI75VYLLMSK856 SSE PLC 3.74%/VAR PERP REGS N/A 400000.00000000 PA 438848.85000000 0.435333283549 Long EP CORP GB N 2 N N N CREDIT AGRICOLE ASSURANCES SA 969500K2MUPSI57XK083 CRDT AGR ASSR 4.75/VAR 9/27/48 N/A 400000.00000000 PA 412388.48000000 0.409084884456 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 449887.98000000 0.446283980379 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 190560.00000000 0.189033446283 Long DBT CORP GB N 2 2078-10-03 Variable 0.06250000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A 1707.16000000 0.001693484142 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 103257.99000000 USD 98000.00000000 EUR 2023-01-12 1707.16000000 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 1393000.00000000 PA 1627600.57000000 1.614562053528 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 727485.58000000 0.721657778700 Long DBT CORP DK N 2 2028-01-14 Variable 0.02250000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GRP AG 7.75%/VAR 03/01/2029 REGS N/A 500000.00000000 PA 531456.88000000 0.527199441528 Long DBT CORP CH N 2 2029-03-01 Variable 0.07750000 N N N N N N BAYER AG 549300J4U55H3WP1XT59 BAYER AG 2.375%/VAR 11/12/2079 REGS N/A 1100000.00000000 PA 1053881.57000000 1.045439048866 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 1653000.00000000 1.639758011686 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 819263.55000000 0.812700526192 Long DBT CORP LU N 2 2028-05-04 Fixed 0.01000000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A -188.72000000 -0.00018720818 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 75163.83000000 USD 70000.00000000 EUR 2023-01-12 -188.72000000 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 794496.55000000 0.788131931712 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 130862.51000000 0.129814185845 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 420735.88000000 0.417365414418 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 944184.10000000 0.936620352378 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 113385.63000000 0.112477311072 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 246997.64000000 0.245018970996 Long DBT CORP CH N 2 2028-01-09 Fixed 0.04282000 N N N N N N SYDNEY FUTURES EXCHANGE LTD N/A AUST 10Y BOND FUT MAR23 XMH3 N/A 8.00000000 NC -37935.38000000 -0.03763148413 N/A DIR CORP AU N 1 SYDNEY FUTURES EXCHANGE LTD N/A Long AUSTRALIA, COMMONWEALTH OF AUST 10YR BOND FUT UNDERLYING 2023-03-15 662773.29000000 AUD -37935.38000000 N N N ENEL SPA WOCMU6HCI0OJWNPRZS33 ENEL SOCIETA PER AZIONI 3.375%/VAR PERP REGS N/A 550000.00000000 PA 530613.39000000 0.526362708627 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 184096.42000000 0.182621645261 Long DBT CORP NL N 2 2026-02-23 Fixed 0.02000000 N N N N N N MONTREAL EXCHANGE (THE) N/A CAN 10YR BOND FUT MAR23 CNH3 N/A 36.00000000 NC -63064.24000000 -0.06255903980 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 2023-03-22 3363596.66000000 CAD -63064.24000000 N N N CREDIT AGRICOLE SA 969500TJ5KRTCJQWXH05 CREDIT AGRICOLE SA 1.25% 10/02/2024 REGS N/A 100000.00000000 PA 113343.41000000 0.112435429291 Long DBT CORP FR N 2 2024-10-02 Fixed 0.01250000 N N N N N N HEIMSTADEN AB 549300WD2QBD89VBPV88 HEIMSTADEN AB 4.375% 03/06/2027 REGS N/A 500000.00000000 PA 351692.06000000 0.348874696328 Long DBT CORP SE N 2 2027-03-06 Fixed 0.04375000 N N N N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A 927.49000000 0.000920059986 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 67621.18000000 USD 64000.00000000 EUR 2023-01-12 927.49000000 N N N ANGLIAN WATER (OSPREY) FINANCING PLC 21380072JDZ74GW9ZY87 ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS N/A 175000.00000000 PA 161750.86000000 0.160455092911 Long DBT CORP GB N 2 2028-07-31 Fixed 0.02000000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: USD/GBP settle 2023-01-12 N/A 1.00000000 NC N/A 742.67000000 0.000736720558 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 89000.00000000 GBP 108364.02000000 USD 2023-01-12 742.67000000 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: USD/GBP settle 2023-01-12 N/A 1.00000000 NC N/A 495858.53000000 0.491886265717 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 22155000.00000000 GBP 27286319.55000000 USD 2023-01-12 495858.53000000 N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 NATWEST GRP PLC(UNGTD) 3.619%/VAR 03/29/2029 REGS N/A 600000.00000000 PA 632817.14000000 0.627747716423 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 832531.78000000 0.825862465964 Long DBT CORP US N 2 2081-09-15 Variable 0.01875000 N N N N N N COMMERZBANK AG 851WYGNLUQLFZBSYGB56 COMMERZBANK AG 8.625%/VAR 02/28/2033 REGS N/A 100000.00000000 PA 121236.89000000 0.120265675553 Long DBT CORP DE N 2 2033-02-28 Variable 0.08625000 N N N N N N SEVERN TRENT WATER UTIL FIN 213800KY9PT6WBH33232 SEVERN TRENT WATER UTIL FIN 6.125% 02/26/2024 REGS N/A 65000.00000000 PA 79279.87000000 0.078644768298 Long DBT CORP GB N 2 2024-02-26 Fixed 0.06125000 N N N N N N EUREX DEUTSCHLAND N/A EURO-BUXL 30Y BND FUT MAR23 UBH3 N/A 6.00000000 NC -133410.14000000 -0.13234140708 N/A DIR CORP DE N 1 EUREX DEUTSCHLAND N/A Long GERMANY FEDERAL REPUBLIC OF UNDERLYING EURO BUXL 30YR BOND 2023-03-08 987863.00000000 EUR -133410.14000000 N N N BPCE SA 9695005MSX1OYEMGDF46 BPCE SA 1.5%/VAR 01/13/2042 REGS N/A 800000.00000000 PA 717261.44000000 0.711515543081 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 268157.36000000 0.266009182972 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 214301.11000000 0.212584369047 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 335562.50000000 0.332874348334 Long EP CORP CA N 2 N N N ELECTRICITE DE FRANCE 549300X3UK4GG3FNMO06 EDF SA 5.25/VAR PERP REGS N/A 2300000.00000000 PA USD 2300000.00000000 2.281574970888 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 259197.69000000 0.257121287833 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 213802.96000000 0.212090209668 Long DBT CORP GB N 2 2026-02-17 Fixed 0.03750000 N N N N N N CHICAGO BOARD OF TRADE N/A US 2YR NOTE (CBT) FUT MAR23 TUH3 N/A 53.00000000 NC USD 12731.93000000 0.012629936008 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2023-03-31 10856408.70000000 USD 12731.93000000 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 468259.79000000 0.464508615972 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 852170.26000000 0.845343624413 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 341119.02000000 0.338386355707 Long DBT CORP GB N 2 2032-06-27 Fixed 0.05000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 HSBC HOLDINGS PLC 8.201%/VAR 11/16/2034 REGS N/A 400000.00000000 PA 500403.75000000 0.496395074495 Long DBT CORP GB N 2 2034-11-16 Variable 0.08201000 N N N N N N DANONE SA 969500KMUQ2B6CBAF162 DANONE 1.75/VAR PERP REGS N/A 600000.00000000 PA 631874.22000000 0.626812350044 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 531465.00000000 0.527207496479 Long EP CORP FR N 2 N N N CITYCON OYJ 549300P8N0P6KDGTJ206 CITYCON OYJ 4.496%/VAR PERP REGS N/A 300000.00000000 PA 187944.26000000 0.186438660668 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 175575.01000000 0.174168499273 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 139189.38000000 0.138074350270 Long DBT CORP IT N 2 2031-07-30 Fixed 0.01750000 N N N N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 HEIMSTADEN BOSTAD AB 3.625/VAR PERP REGS N/A 150000.00000000 PA 83495.10000000 0.082826230587 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 395141.63000000 0.391976196940 Long DBT CORP DE N 2 2028-05-24 Variable 0.03250000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 UBS GROUP AG 7/VAR PERP RGS N/A 200000.00000000 PA USD 197500.00000000 0.195917850761 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 390981.86000000 0.387849750368 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 795000.00000000 PA USD 768765.00000000 0.762606514128 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 538410.72000000 0.534097575134 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 693311.19000000 0.687757155713 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 87144.26000000 0.086446157596 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 329057.19000000 0.326421151606 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 891237.94000000 0.884098337830 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 437171.78000000 0.433669648359 Long EP CORP LU N 2 N N N BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 FX Forward: USD/EUR settle 2023-01-12 N/A 1.00000000 NC N/A -1449.23000000 -0.00143762038 N/A DFE CORP US N 2 BROWN BROTHERS HARRIMAN and CO. 5493006KMX1VFTPYPW14 193000.00000000 EUR 205267.85000000 USD 2023-01-12 -1449.23000000 N N N GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GSCM ITXEX538 PAY 487.5 01/18/23 N/A 3850000.00000000 NC 31170.98000000 0.030921272950 N/A DCR CORP US N 2 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 Put Purchased GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GOLDMAN SACHS BANK USA KD3XUN7C6T14HNAYLU02 GSCM SWAP ITXEX538 12/20/27 B N/A N/A NC N/A N/A DCR CORP US N/A ITXEX538 2027-12-20 0.00000000 EUR 0.00000000 EUR 3850000.00000000 EUR 1.00000000 487.50000000 EUR 2023-01-18 XXXX -16770.73000000 N N N M and G PLC 254900TWUJUQ44TQJY84 PRUDENTIAL PLC 6.5%/VAR 10/20/2048 REGS N/A 500000.00000000 PA USD 488750.00000000 0.484834681313 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 510000.00000000 PA 496884.40000000 0.492903917593 Long DBT CORP GB N 2 2028-06-26 Fixed 0.02250000 N N N N N N IBERDROLA FINANZAS SAU 5493004PZNZWWBOUV388 IBERDROLA FINANZAS SAU 7.375% 01/29/2024 N/A 100000.00000000 PA 123573.62000000 0.122583686284 Long DBT CORP ES N 2 2024-01-29 Fixed 0.07375000 N N N N N N ZF FINANCE GMBH 5493001N9T6QDCCXB426 ZF FINANCE GMBH 2% 05/06/2027 REGS N/A 300000.00000000 PA 261789.25000000 0.259692087151 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 1053691.46000000 1.045250461815 Long DBT NUSS DE N 2 2035-05-15 Fixed 0.00000000 N N N N N N STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 FX Forward: USD/CAD settle 2023-01-12 N/A 1.00000000 NC N/A 387.85000000 0.000384742979 N/A DFE CORP US N 2 STATE STREET BANK AND TRUST COMPANY 571474TGEMMWANRLN572 53000.00000000 CAD 39532.68000000 USD 2023-01-12 387.85000000 N N N CLOVERIE PLC 5493002N598MXOKUEF55 CLOVERIE PLC 4.5/VAR 09/11/2044 REGS N/A 902000.00000000 PA USD 852390.00000000 0.845561604102 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 2207560.70000000 2.189876191233 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 548913.03000000 0.544515752366 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 194073.57000000 0.192518869488 Long DBT CORP CH N 2 2031-04-01 Variable 0.04194000 N N N N N N HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A 482.11000000 0.000478247873 N/A DFE CORP US N 2 HSBC BANK USA NA 1IE8VN30JCEQV1H4R804 94843.38000000 USD 89000.00000000 EUR 2023-01-12 482.11000000 N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: USD/EUR settle 2023-01-12 N/A 1.00000000 NC N/A -373503.38000000 -0.37051128841 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 41533000.00000000 EUR 44111368.64000000 USD 2023-01-12 -373503.38000000 N N N TECHNIP ENERGIES NV 724500FLODI49NSCIP70 TECHNIP ENERGIES NV 1.125% 05/28/2028 REGS N/A 600000.00000000 PA 519740.45000000 0.515576870468 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 856360.00000000 0.849499800900 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 228188.34000000 0.226360350083 Long EP CORP GB N 2 N N N WESTERN POWER DISTRIBUTION PLC 549300HFCD0G1TPU4N09 WESTERN POWER DISTRIBUTION PLC 3.625% 11/06/2023 REGS N/A 130000.00000000 PA 155380.95000000 0.154136211509 Long DBT CORP GB N 2 2023-11-06 Fixed 0.03625000 N N N N N N TRAVIS PERKINS PLC 2138001I27OUBAF22K83 TRAVIS PERKINS PLC 4.5% 09/07/2023 REGS N/A 350000.00000000 PA 416785.51000000 0.413446690367 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 3368283.93300000 NS USD 3368957.59000000 3.341969267534 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 182393.29000000 0.180932158835 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 257591.18000000 0.255527647395 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 801617.60000000 0.795195935819 Long DBT CORP IE N 2 2027-09-30 Variable 0.02029000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A 1618.68000000 0.001605712945 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 264007.41000000 USD 248000.00000000 EUR 2023-01-12 1618.68000000 N N N PRUDENTIAL PLC 5493001Z3ZE83NGK8Y12 PRUDENTIAL PLC 2.95%/VAR 11/03/2033 REGS N/A 1300000.00000000 PA USD 1063498.80000000 1.054979236369 Long DBT CORP GB N 2 2033-11-03 Variable 0.02950000 N N N 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 552900.00000000 0.548470783219 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 239810.34000000 0.237889247610 Long DBT CORP US N 2 2026-03-24 Fixed 0.02500000 N N N 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 166684.05000000 0.165348763707 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 5YR NOTE (CBT) FUT MAR23 FVH3 N/A 88.00000000 NC USD 1198.34000000 0.001188740239 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2023-03-31 9496614.16000000 USD 1198.34000000 N N N VOLKSWAGEN INTL FINANCE NV 5299004PWNHKYTR23649 VOLKSWAGEN INTL FINANCE NV 3.375/VAR PERP REGS N/A 100000.00000000 PA 101558.09000000 0.100744520102 Long EP CORP NL N 2 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 560298.10000000 0.555809617911 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 182408.96000000 0.180947703305 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 185136.28000000 0.183653175065 Long DBT CORP CH N 2 2033-08-05 Variable 0.04988000 N N N N N N PETROLEOS MEXICANOS 549300CAZKPF4HKMPX17 PETROLEOS MEXICANOS 6.5% 03/13/2027 71654QCG5 1980000.00000000 PA USD 1799325.00000000 1.784910819345 Long DBT CORP MX N 2 2027-03-13 Fixed 0.06500000 N N N N N N NATIONAL EXPRESS GROUP PLC 213800A8IQEMY8PA5X34 NATIONAL EXPRESS GROUP 4.25%/VAR PERP REGS N/A 190000.00000000 PA 188671.40000000 0.187159975635 Long EP CORP GB N 2 N N N ARGENTUM NETHERLANDS BV 724500RPEZI5VVQQWE89 ARGENTUM NETHERLANDS BV 5.625%/VAR 08/15/2052 REGS N/A 964000.00000000 PA USD 882060.00000000 0.874993921227 Long DBT CORP NL N 2 2052-08-15 Variable 0.05625000 N N N N N N EUREX DEUTSCHLAND N/A EURO-BOBL FUTURE MAR23 OEH3 N/A -9.00000000 NC 35252.98000000 0.034970572529 N/A DIR CORP DE N 1 EUREX DEUTSCHLAND N/A Short GERMANY FEDERAL REPUBLIC OF EURO-BOBL FUT UNDERLYING 2023-03-08 -1133805.80000000 EUR 35252.98000000 N N N SAMHALLSBYGGNADSBOLAGET I NORDEN AB 549300HX9MRFY47AH564 SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624/VAR PERP REGS N/A 650000.00000000 PA 259182.71000000 0.257106427836 Long EP CORP SE N 2 N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 NATWEST GRP PLC(UNGTD) 2.105/VAR 11/28/2031 REGS N/A 650000.00000000 PA 650831.74000000 0.645618003584 Long DBT CORP GB N 2 2031-11-28 Variable 0.02105000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: EUR/USD settle 2023-01-12 N/A 1.00000000 NC N/A 418.70000000 0.000415345843 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 130252.20000000 USD 122000.00000000 EUR 2023-01-12 418.70000000 N N N ALPHA TRAINS FINANCE SA 529900FR0E130P05IY43 ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS N/A 802000.00000000 PA 805325.35000000 0.798873983470 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 979049.57000000 0.971206519205 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 197450.50000000 0.195868747299 Long DBT CORP FR N 2 2027-10-07 Fixed 0.01750000 N N N N N N NATWEST GROUP PLC (UNGTD) 2138005O9XJIJN4JPN90 NATWEST GRP PLC(UNGTD) 7.416%/VAR 06/06/2033 REGS N/A 300000.00000000 PA 365249.18000000 0.362323211837 Long DBT CORP GB N 2 2033-06-06 Variable 0.07416000 N N N N N N THE BERKELEY GROUP PLC 2138001V85JLYR7AUB61 THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS N/A 400000.00000000 PA 321714.17000000 0.319136955674 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 386772.72000000 0.383674329293 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 955972.50000000 0.948314316894 Long EP CORP NL N 2 N N N SSE PLC 549300KI75VYLLMSK856 SSE PLC 4%/VAR PERP REGS N/A 500000.00000000 PA 486958.41000000 0.483057443530 Long EP CORP GB N 2 N N N CHICAGO BOARD OF TRADE N/A US LONG BOND(CBT) FUT MAR23 USH3 N/A 95.00000000 NC USD -28973.07000000 -0.02874097014 N/A DIR CORP US N 1 CHICAGO BOARD OF TRADE N/A Long UST NOTES UST NOTES 0% 06/30/2040 2023-03-22 11936629.32000000 USD -28973.07000000 N N N NGG FINANCE PLC 549300MLDJ2T68G21W86 NGG FINANCE PLC 2.125/VAR 09/05/2082 REGS N/A 1000000.00000000 PA 885583.28000000 0.878488976645 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 157752.00000000 0.156488267307 Long DBT CORP KY N 2 2031-02-09 Fixed 0.02125000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 JPSW SWAP CDS 12/20/27 ISPIM B N/A 1000000.00000000 NC 5125.95000000 0.005084886618 N/A DCR CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 INTESA SANPAOLO SPA INTESA SANPAOLO SPA 1.75% 03/20/2028 REGS Y 2027-12-20 6095.81000000 EUR 0.00000000 EUR 1000000.00000000 EUR -1148.59000000 N N N DUKE ENERGY CORP NEW I1BZKREC126H0VB1BL91 DUKE ENERGY CORP NEW 3.85% 06/15/2034 N/A 550000.00000000 PA 543962.01000000 0.539604394404 Long DBT CORP US N 2 2034-06-15 Fixed 0.03850000 N N N N N N SEVERN TRENT WATER UTIL FIN 213800KY9PT6WBH33232 SEVERN TRENT WATER UTIL FIN 4.625% 11/30/2034 REGS N/A 140000.00000000 PA 158530.15000000 0.157260183639 Long DBT CORP GB N 2 2034-11-30 Fixed 0.04625000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 FX Forward: USD/EUR settle 2023-01-12 N/A 1.00000000 NC N/A -18933.85000000 -0.01878217315 N/A DFE CORP FR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1396000.00000000 EUR 1476283.96000000 USD 2023-01-12 -18933.85000000 N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GRP AG 2.125%/VAR 11/15/2029 REGS N/A 500000.00000000 PA 428143.60000000 0.424713792046 Long DBT CORP CH N 2 2029-11-15 Variable 0.02125000 N N N N N N CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 FX Forward: USD/EUR settle 2023-01-12 N/A 1.00000000 NC N/A -1179.42000000 -0.00116997180 N/A DFE CORP US N 2 CITIBANK, N.A. E57ODZWZ7FF32TWEFA76 220000.00000000 EUR 234456.62000000 USD 2023-01-12 -1179.42000000 N N N UNITED STATES TREASURY BOND 254900HROIFWPRGM1V77 UNITED STATES TREASURY BOND 3.25% 05/15/2042 912810TH1 400000.00000000 PA USD 350687.50000000 0.347878183740 Long DBT UST US N 2 2042-05-15 Fixed 0.03250000 N N N N N N BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 FX Forward: USD/AUD settle 2023-01-12 N/A 1.00000000 NC N/A 32.55000000 0.000032289245 N/A DFE CORP US N 2 BANK OF AMERICA, N.A. B4TYDEB6GKMZO031MB27 77000.00000000 AUD 52476.46000000 USD 2023-01-12 32.55000000 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 151991.69000000 0.150774102472 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 395389.62000000 0.392222200322 Long DBT CORP DE N 2 2081-08-31 Variable 0.01375000 N N N N N N CREDIT SUISSE GRP AG 549300506SI9CRFV9Z86 CREDIT SUISSE GRP AG 7.375%/VAR 09/07/2033 REGS N/A 250000.00000000 PA 274371.20000000 0.272173244631 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 237882.67000000 0.235977019947 Long EP CORP GB N 2 N N N GERMANY FEDERAL REPUBLIC OF 529900AQBND3S6YJLY83 GERMANY FEDERAL REPUBLIC OF 0% 10/10/2025 REGS N/A 1850000.00000000 PA 1849036.45000000 1.834224036774 Long DBT NUSS DE N 2 2025-10-10 Fixed 0.00000000 N N N N N N TELEFONICA EUROPE BV 7245007FZS0M65WUGP67 TELEFONICA EUROPE BV 3.875%/VAR PERP REGS N/A 500000.00000000 PA 484378.62000000 0.480498319924 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 185204.62000000 0.183720967602 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 460500.00000000 0.456810988736 Long DBT CORP IE N 2 2052-05-02 Variable 0.03500000 N N N N N N JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 FX Forward: GBP/USD settle 2023-01-12 N/A 1.00000000 NC N/A -327.59000000 -0.00032496571 N/A DFE CORP US N 2 JPMORGAN CHASE BANK NA NEW YORK NY 7H6GLXDRUGQFU57RNE97 69253.62000000 USD 57000.00000000 GBP 2023-01-12 -327.59000000 N N N HEIMSTADEN BOSTAD AB 549300TJR3PR8EXILG79 HEIMSTADEN BOSTAD AB 3.248%/VAR PERP REGS N/A 1500000.00000000 PA 1158735.36000000 1.149452867504 Long DBT CORP SE N 2 2199-12-31 Variable 0.03248000 N N N N N N BAYER AG 549300J4U55H3WP1XT59 BAYER AG 3.75% 07/01/2074 REGS N/A 500000.00000000 PA 512696.31000000 0.508589160244 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 240101.93000000 0.238178501717 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 404750.66000000 0.401508250133 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 866325.83000000 0.859385795809 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 757660.85000000 0.751591318166 Long DBT CORP DE N 2 2032-06-24 Variable 0.04000000 N N N N N N 2023-01-30 Laura M. Del Prato Laura M. Del Prato Laura M. Del Prato President and Treasurer