0001752724-23-090229.txt : 20230427
0001752724-23-090229.hdr.sgml : 20230427
20230427143207
ACCESSION NUMBER: 0001752724-23-090229
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230228
FILED AS OF DATE: 20230427
DATE AS OF CHANGE: 20230427
PERIOD START: 20230831
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY INCOME FUND /MA/
CENTRAL INDEX KEY: 0000751199
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04085
FILM NUMBER: 23855426
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 MORTGAGE SECURITIES FUND
DATE OF NAME CHANGE: 19851103
0000751199
S000072130
Fidelity Environmental Bond Fund
C000227901
Fidelity Advisor Environmental Bond Fund: Class M
FEBEX
C000227902
Fidelity Advisor Environmental Bond Fund: Class A
FEBBX
C000227903
Fidelity Environmental Bond Fund
FFEBX
C000227904
Fidelity Advisor Environmental Bond Fund: Class I
FEBFX
C000227905
Fidelity Advisor Environmental Bond Fund: Class C
FEBDX
C000227906
Fidelity Advisor Environmental Bond Fund: Class Z
FEBGX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000751199
XXXXXXXX
S000072130
C000227902
C000227903
C000227904
C000227905
C000227901
C000227906
Fidelity Income Fund
811-04085
0000751199
D66RCKM57LC8ELZCAY58
245 Summer Street
Boston
02210
1-800-FIDELITY
Fidelity Environmental Bond Fund
S000072130
549300CM673U4XQN4K40
2023-08-31
2023-02-28
N
30341204.38
619782.96
29721421.42
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
99839.84000000
0.00000000
0.00000000
47393.49000000
USD
N
Bloomberg US Aggregate Bond Index
19808143
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.25% 06/30/2027
91282CEW7
2320000.00000000
PA
USD
2226021.88000000
7.489621201299
Long
DBT
UST
US
N
2
2027-06-30
Fixed
0.03250000
N
N
N
N
N
N
THE BANK OF NOVA SCOTIA
L3I9ZG2KFGXZ61BMYR72
BANK OF NOVA SCOTIA 0.65% 07/31/2024
0641596E1
250000.00000000
PA
USD
233828.75000000
0.786734748300
Long
DBT
CORP
CA
N
2
2024-07-31
Fixed
0.00650000
N
N
N
N
N
N
IBERDROLA INTERNATIONAL BV
549300ZMLFJKWC63XN87
IBERDROLA INTL BV 3.25%/VAR PERP REGS
N/A
100000.00000000
PA
101867.09000000
0.342739630653
Long
EP
CORP
NL
N
2
N
N
N
CLEARWAY ENERGY OPERATING LLC
549300Z3NFMM54NWBB87
CLEARWAY ENERGY OPER LLC 3.75% 01/15/2032 144A
18539UAE5
100000.00000000
PA
USD
79250.00000000
0.266642698140
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
0.03750000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.25%/VAR 06/18/2031 REGS
N/A
100000.00000000
PA
92035.34000000
0.309659954345
Long
DBT
CORP
ES
N
2
2031-06-18
Variable
0.01250000
N
N
N
N
N
N
WISCONSIN ELEC PWR CO
AENKIFMULUAWOUU8Q584
WISCONSIN ELEC PWR CO 4.75% 09/30/2032
976656CN6
400000.00000000
PA
USD
390938.07000000
1.315341095150
Long
DBT
CORP
US
N
2
2032-09-30
Fixed
0.04750000
N
N
N
N
N
N
NXP B V/NXP FDG LLC/NXP USA INC
N/A
NXP B V/NXP FDG LLC/NXP USA INC 2.5% 05/11/2031
62954HBA5
100000.00000000
PA
USD
78465.00000000
0.264001505483
Long
DBT
CORP
NL
N
2
2031-05-11
Fixed
0.02500000
N
N
N
N
N
N
EVONIK INDUSTRIES AG
41GUOJQTALQHLF39XJ34
EVONIK INDUSTRIES AG 1.375%/VAR 09/02/2081 REGS
N/A
100000.00000000
PA
89375.65000000
0.300711223521
Long
DBT
CORP
DE
N
2
2081-09-02
Variable
0.01375000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 4.5% 12/01/2052#CB5401
3140QRAB9
199999.79800000
PA
USD
192892.27000000
0.649000824268
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.04500000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-77.69000000
-0.00026139395
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
4321.04000000
USD
4000.00000000
EUR
2023-04-20
-77.69000000
N
N
N
S and P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S and P GLOBAL INC 2.7% 03/01/2029 144A
78409VBB9
400000.00000000
PA
USD
351281.62000000
1.181913930144
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
0.02700000
N
N
N
N
N
N
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
FX Forward: USD/AUD settle 2023-04-20
N/A
1.00000000
NC
N/A
1009.01000000
0.003394891468
N/A
DFE
CORP
US
N
2
HSBC BANK USA NA
1IE8VN30JCEQV1H4R804
44000.00000000
AUD
30669.49000000
USD
2023-04-20
1009.01000000
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.25% 02/15/2052
912810TD0
170000.00000000
PA
USD
121211.33000000
0.407824808535
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.02250000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/GBP settle 2023-04-20
N/A
1.00000000
NC
N/A
47.09000000
0.000158437913
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2000.00000000
GBP
2455.02000000
USD
2023-04-20
47.09000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
415.57000000
0.001398217111
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
17000.00000000
EUR
18449.79000000
USD
2023-04-20
415.57000000
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.9% 07/18/2032
713448FM5
100000.00000000
PA
USD
94046.97000000
0.316428237637
Long
DBT
CORP
US
N
2
2032-07-18
Fixed
0.03900000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 3% 01/01/2052#CB2786
3140QNCY6
979609.90900000
PA
USD
863208.06000000
2.904329667823
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV 2.125%/VAR 05/23/2026 REGS
N/A
100000.00000000
PA
100795.64000000
0.339134655020
Long
DBT
CORP
NL
N
2
2026-05-23
Variable
0.02125000
N
N
N
N
N
N
MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG IN MUENCHEN
529900MUF4C20K50JS49
MUNICH RE GROUP 5.875%/VAR 05/23/2042 144A
62582PAA8
200000.00000000
PA
USD
201000.00000000
0.676279903170
Long
DBT
CORP
DE
N
2
2042-05-23
Variable
0.05875000
N
N
N
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 5.75% 10/28/2034
760942BE1
100000.00000000
PA
USD
107500.00000000
0.361691988013
Long
DBT
NUSS
UY
N
2
2034-10-28
Fixed
0.05750000
N
N
N
N
N
N
ENEL FINANCE INTL NV
0YQH6LCEF474UTUV4B96
ENEL FINANCE INTL NV 1.375% 07/12/2026 144A
29278GAM0
600000.00000000
PA
USD
520674.49000000
1.751849222290
Long
DBT
CORP
NL
N
2
2026-07-12
Fixed
0.01375000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 03/01/2053 #TBA
01F050635
100000.00000000
PA
USD
98265.59000000
0.330622107911
Long
ABS-MBS
USGA
US
N
2
2053-03-01
Fixed
0.05000000
N
N
N
N
N
N
NSTAR ELEC CO
54930080R72Y2Z31UR68
NSTAR ELEC CO 4.95% 09/15/2052
67021CAT4
400000.00000000
PA
USD
382002.50000000
1.285276685128
Long
DBT
CORP
US
N
2
2052-09-15
Fixed
0.04950000
N
N
N
N
N
N
FORD MOTOR CO
20S05OYHG0MQM4VUIC57
FORD MOTOR CO 3.25% 02/12/2032
345370DA5
200000.00000000
PA
USD
151157.72000000
0.508581732562
Long
DBT
CORP
US
N
2
2032-02-12
Fixed
0.03250000
N
N
N
N
N
N
KAISER FNDTN HOSPS
DW4Z57L3G4IRMHYZYK62
KAISER FNDTN HOSPS 3.15% 05/01/2027
48305QAC7
50000.00000000
PA
USD
46905.26000000
0.157816341746
Long
DBT
CORP
US
N
2
2027-05-01
Fixed
0.03150000
N
N
N
N
N
N
SUNNOVA HELIOS VIII ISSUER LLC
N/A
SUNNOVA HELIOS VIII ISSUER LLC 2.79% 02/22/2049 144A
86745AAA4
233381.64000000
PA
USD
198631.18000000
0.668309826751
Long
ABS-CBDO
CORP
US
N
2
2049-02-22
Fixed
0.02790000
N
N
N
N
N
N
LEND LEASE FINANCE LTD
5493002EE2IQRQ3JUP44
LEND LEASE FINANCE LTD 3.4% 10/27/2027 REGS
N/A
30000.00000000
PA
17912.07000000
0.060266532165
Long
DBT
CORP
AU
N
2
2027-10-27
Fixed
0.03400000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: GBP/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-2850.81000000
-0.00959176871
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
107595.95000000
USD
87000.00000000
GBP
2023-04-20
-2850.81000000
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TENNESSEE VALLEY AUTHORITY 1.5% 09/15/2031
880591EX6
200000.00000000
PA
USD
158678.64000000
0.533886444250
Long
DBT
USGSE
US
N
2
2031-09-15
Fixed
0.01500000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
91149.98000000
0.306681092777
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
4141000.00000000
EUR
4484073.57000000
USD
2023-04-20
91149.98000000
N
N
N
PNC FINANCIAL SERVICES GRP INC
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GRP INC 4.758%/VAR 01/26/2027
693475BL8
100000.00000000
PA
USD
98500.78000000
0.331413422689
Long
DBT
CORP
US
N
2
2027-01-26
Variable
0.04758000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 1.875% 11/15/2051
912810TB4
750000.00000000
PA
USD
487792.97000000
1.641216828451
Long
DBT
UST
US
N
2
2051-11-15
Fixed
0.01875000
N
N
N
N
N
N
EUREX DEUTSCHLAND
N/A
EURO-SCHATZ FUT MAR23 DUH3
N/A
-13.00000000
NC
22867.07000000
0.076938009380
N/A
DIR
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Short
GERMANY FEDERAL REPUBLIC OF
EURO-SCHATZ FUT UNDERLYING GENERIC IV FOR FUTURES TRADING
2023-03-08
-1463138.88000000
EUR
22867.07000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-379.71000000
-0.00127756339
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
38569.82000000
USD
36000.00000000
EUR
2023-04-20
-379.71000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: GBP/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
1.09000000
0.000003667388
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
2406.84000000
USD
2000.00000000
GBP
2023-04-20
1.09000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 06/15/2024
91282CCG4
150000.00000000
PA
USD
140964.84000000
0.474287006694
Long
DBT
UST
US
N
2
2024-06-15
Fixed
0.00250000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.75% 08/15/2032
91282CFF3
850000.00000000
PA
USD
772437.50000000
2.598925162711
Long
DBT
UST
US
N
2
2032-08-15
Fixed
0.02750000
N
N
N
N
N
N
ABN AMRO BANK NV
BFXS5XCH7N0Y05NIXW11
ABN AMRO BANK NV 2.47%/VAR 12/13/2029 144A
00084DAW0
200000.00000000
PA
USD
166689.31000000
0.560838957344
Long
DBT
CORP
NL
N
2
2029-12-13
Variable
0.02470000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
763.29000000
0.002568147697
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
28000.00000000
EUR
30466.71000000
USD
2023-04-20
763.29000000
N
N
N
REXFORD INDUSTRIAL REALTY LP
549300028US163ELJN70
REXFORD INDUSTRIAL REALTY LP 2.15% 09/01/2031
76169XAB0
314000.00000000
PA
USD
242924.34000000
0.817337557875
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
0.02150000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-28921.73000000
-0.09730937693
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
931693.52000000
USD
851000.00000000
EUR
2023-04-20
-28921.73000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-40.63000000
-0.00013670274
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
4283.98000000
USD
4000.00000000
EUR
2023-04-20
-40.63000000
N
N
N
HERTZ VEHICLE FINANCING III LLC
549300MNOMKDMDFI8J66
HERTZ VEHICLE FINANCING III LLC 5.49% 06/25/2027 144A
42806MBS7
100000.00000000
PA
USD
99769.53000000
0.335682229292
Long
ABS-CBDO
CORP
US
N
2
2027-06-25
Fixed
0.05490000
N
N
N
N
N
N
PRUDENTIAL FINL INC
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINL INC 1.5% 03/10/2026
74432QCH6
325000.00000000
PA
USD
292919.59000000
0.985550407770
Long
DBT
CORP
US
N
2
2026-03-10
Fixed
0.01500000
N
N
N
N
N
N
TELUS CORPORATION
L2TEUTQ8OSHMJWVLCE40
TELUS CORPORATION 3.4% 05/13/2032
87971MBW2
200000.00000000
PA
USD
170491.30000000
0.573631044056
Long
DBT
CORP
CA
N
2
2032-05-13
Fixed
0.03400000
N
N
N
N
N
N
AUTODESK INC
FRKKVKAIQEF3FCSTPG55
AUTODESK INC 2.4% 12/15/2031
052769AH9
300000.00000000
PA
USD
239973.16000000
0.807408086608
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
0.02400000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
1292.16000000
0.004347571341
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
35000.00000000
EUR
38421.43000000
USD
2023-04-20
1292.16000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.375% 10/31/2024
91282CFQ9
375000.00000000
PA
USD
371484.38000000
1.249887664356
Long
DBT
UST
US
N
2
2024-10-31
Fixed
0.04375000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-4.95000000
-0.00001665465
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
3187.46000000
USD
3000.00000000
EUR
2023-04-20
-4.95000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 11/15/2032
91282CFV8
200000.00000000
PA
USD
203187.50000000
0.683639914554
Long
DBT
UST
US
N
2
2032-11-15
Fixed
0.04125000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
72.18000000
0.000242855141
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2000.00000000
EUR
2193.85000000
USD
2023-04-20
72.18000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FHMS KSG4 A2 3.4% 8/32
3137H92X6
200000.00000000
PA
USD
182914.70000000
0.615430525395
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Variable
0.03400000
N
N
N
N
N
N
BPCE SA
9695005MSX1OYEMGDF46
BPCE SA 0%/VAR 01/14/2028 REGS
N/A
100000.00000000
PA
90339.21000000
0.303953194981
Long
DBT
CORP
FR
N
2
2028-01-14
Variable
0.00500000
N
N
N
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027
10112RBG8
22000.00000000
PA
USD
22834.23000000
0.076827516683
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.06750000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-2264.18000000
-0.00761800712
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
81826.91000000
USD
75000.00000000
EUR
2023-04-20
-2264.18000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 12/01/2052#RA8200
3133KQDD5
199494.28000000
PA
USD
187435.75000000
0.630641944580
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.04000000
N
N
N
N
N
N
TERNA - RETE ELETTRICA NAZIONALE
8156009E94ED54DE7C31
TERNA - RETE ELETTRICA NAZIONALE 2.375%/VAR PERP REGS
N/A
100000.00000000
PA
88047.18000000
0.296241484402
Long
EP
CORP
IT
N
2
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-20.56000000
-0.00006917569
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
3203.07000000
USD
3000.00000000
EUR
2023-04-20
-20.56000000
N
N
N
CTP BV
3157000YTVO4TN65UM14
CTP BV 0.5% 06/21/2025 REGS
N/A
100000.00000000
PA
94248.47000000
0.317106199828
Long
DBT
CORP
NL
N
2
2025-06-21
Fixed
0.00500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 01/31/2028
91282CGH8
120000.00000000
PA
USD
116353.13000000
0.391479022338
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.03500000
N
N
N
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS
N/A
431000.00000000
PA
367649.90000000
1.236986262550
Long
DBT
NUSS
DE
N
2
2031-08-15
Fixed
0.00000000
N
N
N
N
N
N
WELLS FARGO and CO
PBLD0EJDB5FWOLXP3B76
WELLS FARGO and CO NEW 4.54%/VAR 08/15/2026
95000U3C5
100000.00000000
PA
USD
97577.81000000
0.328308019394
Long
DBT
CORP
US
N
2
2026-08-15
Variable
0.04540000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: EUR/USD settle 2023-03-01
N/A
1.00000000
NC
N/A
-52.52000000
-0.00017670756
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
55052.92000000
USD
52000.00000000
EUR
2023-03-01
-52.52000000
N
N
N
CBRE GLOBAL INVESTOR PAN EUROPEAN CORE FUND
529900J5H3JGJ83AUZ88
CBRE GLOBAL INVESTOR PAN EUROPEAN CORE FUND 0.9% 10/12/2029 REGS
N/A
100000.00000000
PA
76263.41000000
0.256594087215
Long
DBT
CORP
LU
N
2
2029-10-12
Fixed
0.00900000
N
N
N
N
N
N
PACIFIC LIFE GLOBAL FUNDING II
6354003EUPCHXTWUU869
PACIFIC LIFE GF II 1.375% 04/14/2026 144A
6944PL2E8
250000.00000000
PA
USD
222219.03000000
0.747672955676
Long
DBT
CORP
US
N
2
2026-04-14
Fixed
0.01375000
N
N
N
N
N
N
ORSTED A/S
W9NG6WMZIYEU8VEDOG48
ORSTED A/S 2.25%/VAR 11/24/3017 REGS
N/A
100000.00000000
PA
99991.78000000
0.336430006448
Long
EP
CORP
DK
N
2
N
N
N
METROPOLITAN LIFE GLOBAL FUNDING I
635400MMSOCXNNNZDZ82
METROPOLITAN LIFE GLBL FDG I 0.95% 07/02/2025 144A
59217GEJ4
250000.00000000
PA
USD
226773.98000000
0.762998434009
Long
DBT
CORP
US
N
2
2025-07-02
Fixed
0.00950000
N
N
N
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT JUN23 FVM3
N/A
3.00000000
NC
USD
-404.47000000
-0.00136087031
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-06-30
321568.53000000
USD
-404.47000000
N
N
N
AIR PRODUCTS and CHEMICALS INC
7QEON6Y1RL5XR3R1W237
AIR PRODUCTS and CHEMICALS INC 4.8% 03/03/2033
009158BF2
100000.00000000
PA
USD
99619.47000000
0.335177340922
Long
DBT
CORP
US
N
2
2033-03-03
Fixed
0.04800000
N
N
N
N
N
N
FIFTH THIRD BANCORP
THRNG6BD57P9QWTQLG42
FIFTH THIRD BANCORP SOFR 1.707%/VAR 11/01/2027
316773DD9
200000.00000000
PA
USD
177465.05000000
0.597094760348
Long
DBT
CORP
US
N
2
2027-11-01
Variable
0.01707000
N
N
N
N
N
N
HUDSON PACIFIC PROPERTIES LP
5493007NTUGLGZ8T3526
HUDSON PAC PPTYS LP 5.95% 02/15/2028
44409MAD8
151000.00000000
PA
USD
140371.70000000
0.472291341710
Long
DBT
CORP
US
N
2
2028-02-15
Fixed
0.05950000
N
N
N
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 6.204%/VAR 11/10/2028
06051GLC1
140000.00000000
PA
USD
143944.81000000
0.484313344122
Long
DBT
CORP
US
N
2
2028-11-10
Variable
0.06204000
N
N
N
N
N
N
ONCOR ELEC DELIVERY CO LLC
549300SP2X2BS1KERD24
ONCOR ELEC DELIVERY CO LLC 4.15% 06/01/2032
68233JCF9
100000.00000000
PA
USD
93964.27000000
0.316149987149
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
0.04150000
N
N
N
N
N
N
PUBLIC SERVICE CO OF CO
5BANEF6PGSEK0SNMQF44
PUBLIC SERVICE CO OF CO 3.7% 06/15/2028
744448CP4
325000.00000000
PA
USD
306878.91000000
1.032517609650
Long
DBT
CORP
US
N
2
2028-06-15
Fixed
0.03700000
N
N
N
N
N
N
TELEFONICA EUROPE BV
7245007FZS0M65WUGP67
TELEFONICA EUROPE BV 2.502%/VAR PERP REGS
N/A
100000.00000000
PA
90592.00000000
0.304803726308
Long
EP
CORP
NL
N
2
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 10YR ULTRA FUT JUN23 UXYM3
N/A
-5.00000000
NC
USD
-1729.80000000
-0.00582004465
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
UST NOTES
$US 10YR NOTE ULTRA FUT CONTRACT UNDERLYING
2023-06-21
-584207.70000000
USD
-1729.80000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-2719.83000000
-0.00915107646
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
93951.76000000
USD
86000.00000000
EUR
2023-04-20
-2719.83000000
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 2.703% 04/15/2032
595112BS1
200000.00000000
PA
USD
151749.87000000
0.510574066615
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
0.02703000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-167.89000000
-0.00056487877
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
11837.09000000
USD
11000.00000000
EUR
2023-04-20
-167.89000000
N
N
N
ACEF HOLDING SCA
213800KW7LHVG5QUS111
ACEF HOLDING SCA 1.25% 04/26/2030 REGS
N/A
100000.00000000
PA
77630.95000000
0.261195280343
Long
DBT
CORP
LU
N
2
2030-04-26
Fixed
0.01250000
N
N
N
N
N
N
ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC
549300ITBBGKJ651R879
ATLANTICA SUSTAINABLE INFRASTRUCTURE PLC 4.125% 06/15/2028 144A
04916WAA2
200000.00000000
PA
USD
176516.54000000
0.593903425766
Long
DBT
CORP
GB
N
2
2028-06-15
Fixed
0.04125000
N
N
N
N
N
N
ASML HOLDING NV
724500Y6DUVHQD6OXN27
ASML HOLDING NV 2.25% 05/17/2032 REGS
N/A
100000.00000000
PA
95998.97000000
0.322995891224
Long
DBT
CORP
NL
N
2
2032-05-17
Fixed
0.02250000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.875% 05/15/2052
912810TG3
1360000.00000000
PA
USD
1113659.38000000
3.746992326721
Long
DBT
UST
US
N
2
2052-05-15
Fixed
0.02875000
N
N
N
N
N
N
SUNRUN CALLISTO ISSUER LLC 2021
N/A
SUNRUN CALLISTO ISSUER LLC 2021 2.27% 01/30/2057 144A
86772HAA5
187785.53000000
PA
USD
147571.50000000
0.496515620550
Long
ABS-CBDO
CORP
US
N
2
2057-01-30
Fixed
0.02270000
N
N
N
N
N
N
PUBLIC SERVICE CO OF CO
5BANEF6PGSEK0SNMQF44
PUBLIC SERVICE CO OF CO 2.7% 01/15/2051
744448CU3
300000.00000000
PA
USD
195139.98000000
0.656563416811
Long
DBT
CORP
US
N
2
2051-01-15
Fixed
0.02700000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#RB0708
3133KTYD6
236863.76700000
PA
USD
199629.61000000
0.671669120998
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
CITYCON OYJ
549300P8N0P6KDGTJ206
CITYCON OYJ 4.496%/VAR PERP REGS
N/A
100000.00000000
PA
64612.78000000
0.217394649761
Long
EP
CORP
FI
N
2
N
N
N
BANCO BILBAO VIZCAYA ARGENTARIA S.A
K8MS7FD7N5Z2WQ51AZ71
BANCO BILBAO VIZ ARGENTARIA SA 6%/VAR PERP REGS
N/A
200000.00000000
PA
202784.36000000
0.682283519130
Long
EP
CORP
ES
N
2
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS
N/A
100000.00000000
PA
98244.46000000
0.330551014407
Long
DBT
CORP
DE
N
2
2028-05-24
Variable
0.03250000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: AUD/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-612.96000000
-0.00206235089
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
12072.69000000
USD
17000.00000000
AUD
2023-04-20
-612.96000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/GBP settle 2023-04-20
N/A
1.00000000
NC
N/A
61.24000000
0.000206046672
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
3000.00000000
GBP
3673.14000000
USD
2023-04-20
61.24000000
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-102.25000000
-0.00034402796
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
14953.96000000
USD
14000.00000000
EUR
2023-04-20
-102.25000000
N
N
N
NXP B V/NXP FDG LLC/NXP USA INC
N/A
NXP B V/NXP FDG LLC/NXP USA INC 5% 01/15/2033
62954HBB3
200000.00000000
PA
USD
186787.50000000
0.628460857778
Long
DBT
CORP
NL
N
2
2033-01-15
Fixed
0.05000000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3% 08/15/2052
912810TJ7
385000.00000000
PA
USD
323640.63000000
1.088913701086
Long
DBT
UST
US
N
2
2052-08-15
Fixed
0.03000000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-90.24000000
-0.00030361939
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
5394.42000000
USD
5000.00000000
EUR
2023-04-20
-90.24000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 01/01/2052#RA6694
3133KNNK5
472126.50000000
PA
USD
384926.39000000
1.295114337098
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.02000000
N
N
N
N
N
N
ZF FINANCE GMBH
5493001N9T6QDCCXB426
ZF FINANCE GMBH 2% 05/06/2027 REGS
N/A
100000.00000000
PA
90861.72000000
0.305711219917
Long
DBT
CORP
DE
N
2
2027-05-06
Fixed
0.02000000
N
N
N
N
N
N
ENERGIAS DE PORTUGAL SA
529900CLC3WDMGI9VH80
ENERGIAS DE PORTUGAL SA 1.7%/VAR 07/20/2080 REGS
N/A
100000.00000000
PA
95193.00000000
0.320284143395
Long
DBT
CORP
PT
N
2
2080-07-20
Variable
0.01700000
N
N
N
N
N
N
VMED O2 UK FINANCING I
213800MRR46ECNGZ7L69
VMED O2 UK FINANCING I 4.75% 07/15/2031 144A
92858RAB6
200000.00000000
PA
USD
165640.00000000
0.557308473438
Long
DBT
CORP
GB
N
2
2031-07-15
Fixed
0.04750000
N
N
N
N
N
N
GENERAL MOTORS CO
54930070NSV60J38I987
GENERAL MOTORS CO 5.4% 10/15/2029
37045VAY6
200000.00000000
PA
USD
192049.82000000
0.646166336683
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
0.05400000
N
N
N
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
1852423.27400000
NS
USD
1852793.76000000
6.233866590085
Long
STIV
RF
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
491.31000000
0.001653050145
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
17000.00000000
EUR
18525.53000000
USD
2023-04-20
491.31000000
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT FINANCE CORP 4.372% 07/27/2027 144A
62954WAK1
100000.00000000
PA
USD
97668.48000000
0.328613085558
Long
DBT
CORP
JP
N
2
2027-07-27
Fixed
0.04372000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
356.76000000
0.001200346359
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
13000.00000000
EUR
14147.63000000
USD
2023-04-20
356.76000000
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
137.18000000
0.000461552622
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
7000.00000000
EUR
7563.03000000
USD
2023-04-20
137.18000000
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR INC 1.9% 03/15/2033
90265EAU4
375000.00000000
PA
USD
271682.12000000
0.914095312471
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.01900000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-113.33000000
-0.00038130746
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
10721.69000000
USD
10000.00000000
EUR
2023-04-20
-113.33000000
N
N
N
BANK OF IRELAND GROUP PLC
635400C8EK6DRI12LJ39
BANK IRELAND GROUP PLC 0.375%/VAR 05/10/2027 REGS
N/A
155000.00000000
PA
143376.79000000
0.482402197303
Long
DBT
CORP
IE
N
2
2027-05-10
Variable
0.00375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 10/31/2027
91282CFU0
690000.00000000
PA
USD
686550.00000000
2.309950087171
Long
DBT
UST
US
N
2
2027-10-31
Fixed
0.04125000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2% 11/15/2041
912810TC2
2820000.00000000
PA
USD
2038221.10000000
6.857751085311
Long
DBT
UST
US
N
2
2041-11-15
Fixed
0.02000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-113.11000000
-0.00038056726
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
4356.46000000
USD
4000.00000000
EUR
2023-04-20
-113.11000000
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 3.123% 08/25/2032
3137H8TZ4
200000.00000000
PA
USD
178831.54000000
0.601692420671
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
0.03123000
N
N
N
N
N
N
ENBW ENERGIE BADEN-WUERTTEM AG
529900JSFZ4TS59HKD79
ENBW ENERGIE BADEN-WUERTTEM AG 1.875%/VAR 06/29/2080 REGS
N/A
100000.00000000
PA
93474.24000000
0.314501243662
Long
DBT
CORP
DE
N
2
2080-06-29
Variable
0.01875000
N
N
N
N
N
N
TENNET HOLDING BV
724500LTUWK3JQG63903
TENNET HOLDING BV 2.993%/VAR PERP REGS
N/A
125000.00000000
PA
129402.98000000
0.435386242708
Long
EP
CORP
NL
N
2
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 1.329% 06/25/2030
3137FVED0
160000.00000000
PA
USD
128182.30000000
0.431279171304
Long
ABS-MBS
USGSE
US
N
2
2030-06-25
Fixed
0.01297000
N
N
N
N
N
N
MERCK and CO INC
4YV9Y5M8S0BRK1RP0397
MERCK and CO INC 1.9% 12/10/2028
58933YBD6
300000.00000000
PA
USD
257233.30000000
0.865481150329
Long
DBT
CORP
US
N
2
2028-12-10
Fixed
0.01900000
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 0.125% 09/16/2025 REGS
N/A
100000.00000000
PA
94601.11000000
0.318292684132
Long
DBT
CORP
FR
N
2
2025-09-16
Fixed
0.00125000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 06/01/2036#CB1048
3140QLEW2
152189.85300000
PA
USD
135511.90000000
0.455940172191
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
RWE AG
529900GB7KCA94ACC940
RWE AG 2.125% 05/24/2026 REGS
N/A
100000.00000000
PA
99962.17000000
0.336330381334
Long
DBT
CORP
DE
N
2
2026-05-24
Fixed
0.02125000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 2.45% 01/15/2031
00130HCG8
400000.00000000
PA
USD
317734.06000000
1.069040593685
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.02450000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-383.69000000
-0.00129095440
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
13113.73000000
USD
12000.00000000
EUR
2023-04-20
-383.69000000
N
N
N
CONSOLIDATED EDISON CO OF NEW YORK INC
VZFZPMWDHTQCFKYOBP05
CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030
209111FX6
325000.00000000
PA
USD
290468.02000000
0.977301912635
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.03350000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/GBP settle 2023-04-20
N/A
1.00000000
NC
N/A
3090.47000000
0.010398123146
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
171000.00000000
GBP
208968.84000000
USD
2023-04-20
3090.47000000
N
N
N
EUREX DEUTSCHLAND
N/A
EURO-BOBL FUTURE MAR23 OEH3
N/A
-12.00000000
NC
56546.37000000
0.190254595165
N/A
DIR
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Short
GERMANY FEDERAL REPUBLIC OF
EURO-BOBL FUT UNDERLYING
2023-03-08
-1510719.11000000
EUR
56546.37000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BK OF COMM 0.95% 10/23/2025
13607GRR7
325000.00000000
PA
USD
291272.15000000
0.980007469642
Long
DBT
CORP
CA
N
2
2025-10-23
Fixed
0.00950000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 02/01/2052#RA6528
3133KNHD8
367715.49000000
PA
USD
311703.23000000
1.048749403991
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 03/01/2052#RA7091
3133KN2Y8
987112.40200000
PA
USD
836750.51000000
2.815311213335
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
212.31000000
0.000714333264
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
7000.00000000
EUR
7638.16000000
USD
2023-04-20
212.31000000
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC 2.25% 10/14/2031
370334CQ5
450000.00000000
PA
USD
360820.71000000
1.214008929455
Long
DBT
CORP
US
N
2
2031-10-14
Fixed
0.02250000
N
N
N
N
N
N
THE BERKELEY GROUP PLC
2138001V85JLYR7AUB61
THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS
N/A
100000.00000000
PA
85063.63000000
0.286203101789
Long
DBT
CORP
GB
N
2
2031-08-11
Fixed
0.02500000
N
N
N
N
N
N
P3 GROUP SARL
529900GR62MT0O5VW110
P3 GROUP SARL 0.875% 01/26/2026 REGS
N/A
100000.00000000
PA
93250.60000000
0.313748789744
Long
DBT
CORP
LU
N
2
2026-01-26
Fixed
0.00875000
N
N
N
N
N
N
COMCAST CORP NEW
51M0QTTNCGUN7KFCFZ59
COMCAST CORP NEW 4.65% 02/15/2033
20030NEC1
50000.00000000
PA
USD
48290.87000000
0.162478332774
Long
DBT
CORP
US
N
2
2033-02-15
Fixed
0.04650000
N
N
N
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 3.875% 02/08/2029
92343VES9
300000.00000000
PA
USD
279208.25000000
0.939417553603
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
0.03875000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
42.76000000
0.000143869296
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
43000.00000000
EUR
45658.73000000
USD
2023-04-20
42.76000000
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV 0.875%/VAR 06/09/2032 REGS
N/A
100000.00000000
PA
89272.63000000
0.300364604836
Long
DBT
CORP
NL
N
2
2032-06-09
Variable
0.00875000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
-131.00000000
-0.00044075953
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
6496.02000000
USD
6000.00000000
EUR
2023-04-20
-131.00000000
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 2.45% 02/01/2032
92936UAJ8
150000.00000000
PA
USD
118528.96000000
0.398799769112
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
0.02450000
N
N
N
N
N
N
ACCIONA ENERGIA FINANCIACION FILIALES SA
254900CO48EPLIMJDK17
ACCIONA ENERGIA FINANCIACION FILIALES SA 0.375% 10/07/2027 REGS
N/A
100000.00000000
PA
91289.57000000
0.307150754030
Long
DBT
CORP
ES
N
2
2027-10-07
Fixed
0.00375000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3% 07/15/2025
91282CEY3
1375000.00000000
PA
USD
1323920.90000000
4.454433323667
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.03000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2032
91282CEP2
80000.00000000
PA
USD
73575.00000000
0.247548725750
Long
DBT
UST
US
N
2
2032-05-15
Fixed
0.02875000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/GBP settle 2023-04-20
N/A
1.00000000
NC
N/A
102.39000000
0.000344499001
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
3000.00000000
GBP
3714.29000000
USD
2023-04-20
102.39000000
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
153.70000000
0.000517135428
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
4000.00000000
EUR
4397.05000000
USD
2023-04-20
153.70000000
N
N
N
NORTHERN STATES POWER CO (MN)
3S1GHB0TEH85KX44SB51
NORTHERN STATES POWER CO (MN) 2.25% 04/01/2031
665772CT4
500000.00000000
PA
USD
412759.99000000
1.388762617262
Long
DBT
CORP
US
N
2
2031-04-01
Fixed
0.02250000
N
N
N
N
N
N
AXA LOGISTICS EUROPE MASTER SCA
213800IWFTNKN5BPH814
AXA LOGISTICS EUROPE MASTER SCA 0.375% 11/15/2026 REGS
N/A
100000.00000000
PA
88284.32000000
0.297039360104
Long
DBT
CORP
LU
N
2
2026-11-15
Fixed
0.00375000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/EUR settle 2023-04-20
N/A
1.00000000
NC
N/A
59.65000000
0.000200696996
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
2000.00000000
EUR
2181.32000000
USD
2023-04-20
59.65000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2052#RA7258
3133KPB31
99583.78700000
PA
USD
90795.20000000
0.305487408280
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.03500000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 10YR 1.5% 12/01/2031#RD0016
3133LJAR2
300557.46000000
PA
USD
269965.31000000
0.908318973662
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.01500000
N
N
N
N
N
N
EUREX DEUTSCHLAND
N/A
EURO-BUND FUTURE MAR23 RXH3
N/A
-3.00000000
NC
27735.07000000
0.093316768427
N/A
DIR
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Short
GERMANY FEDERAL REPUBLIC OF
EURO-BUND FUT UNDERLYING GENERIC IV FOR FUTURES TRADING
2023-03-08
-447110.52000000
EUR
27735.07000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 04/01/2051#RA5180
3133KLXH5
85104.03200000
PA
USD
69545.19000000
0.233990121189
Long
ABS-MBS
USGSE
US
N
2
2051-04-01
Fixed
0.02000000
N
N
N
N
N
N
WALMART INC
Y87794H0US1R65VBXU25
WALMART INC 1.8% 09/22/2031
931142ET6
300000.00000000
PA
USD
242130.18000000
0.814665545696
Long
DBT
CORP
US
N
2
2031-09-22
Fixed
0.01800000
N
N
N
N
N
N
SANTANDER HLDGS USA INC
549300SMVCQN2P0O6I58
SANTANDER HLDGS USA INC SOFR 5.807%/VAR 09/09/2026
80282KBE5
43000.00000000
PA
USD
42992.27000000
0.144650787028
Long
DBT
CORP
US
N
2
2026-09-09
Variable
0.05807000
N
N
N
N
N
N
GOODLEAP SUSTAINABLE HOME SOLUTION TRUST 2021-5
N/A
GOODLEAP SUSTAINABLE HOME SOLUTION TRUST 2021-5 2.31% 10/20/2048 144A
38237HAA5
340150.02000000
PA
USD
268920.09000000
0.904802250874
Long
ABS-CBDO
CORP
US
N
2
2048-10-20
Fixed
0.02310000
N
N
N
N
N
N
BLACKSTONE PROPERTY PARTNERS EUROPE HOLDINGS SARL
213800Y3B5GQFBGVHP79
BLACKSTONE PROP PARTNERS EUR HOLD 1.625% 04/20/2030 REGS
N/A
100000.00000000
PA
74173.75000000
0.249563266008
Long
DBT
CORP
LU
N
2
2030-04-20
Fixed
0.01625000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS 0.5%/VAR 05/30/2028 REGS
N/A
100000.00000000
PA
89848.65000000
0.302302668268
Long
DBT
CORP
FR
N
2
2028-05-30
Variable
0.00500000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES INC 1.7% 10/01/2028
032654AU9
300000.00000000
PA
USD
252788.24000000
0.850525405322
Long
DBT
CORP
US
N
2
2028-10-01
Fixed
0.01700000
N
N
N
N
N
N
AIB GROUP PLC
635400AKJBGNS5WNQL34
AIB GROUP PLC 2.875%/VAR 05/30/2031 REGS
N/A
125000.00000000
PA
119690.39000000
0.402707489351
Long
DBT
CORP
IE
N
2
2031-05-30
Variable
0.02875000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
STATE STREET CORP 5.751%/VAR 11/04/2026
857477BX0
100000.00000000
PA
USD
101385.17000000
0.341118173883
Long
DBT
CORP
US
N
2
2026-11-04
Variable
0.05751000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: EUR/USD settle 2023-04-20
N/A
1.00000000
NC
N/A
209.77000000
0.000705787240
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
82535.47000000
USD
78000.00000000
EUR
2023-04-20
209.77000000
N
N
N
2023-03-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer