0001752724-23-239273.txt : 20231027
0001752724-23-239273.hdr.sgml : 20231027
20231027092654
ACCESSION NUMBER: 0001752724-23-239273
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230831
FILED AS OF DATE: 20231027
DATE AS OF CHANGE: 20231027
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: 231352660
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
2023-08-31
N
33975033.16
1241435.54
32733597.62
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
857652.35000000
0.00000000
0.00000000
42691.20000000
USD
N
Bloomberg US Aggregate Bond Index
19808143
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.25% 06/30/2027
91282CEW7
170000.00000000
PA
USD
163200.00000000
0.498570312663
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
238710.41000000
0.729251983760
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
105567.98000000
0.322506499974
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
50000.00000000
PA
USD
40934.54000000
0.125053593177
Long
DBT
CORP
US
N
2
2032-01-15
Fixed
0.03750000
N
N
N
N
N
N
S and P GLOBAL INC
Y6X4K52KMJMZE7I7MY94
S and P GLOBAL INC 2.7% 03/01/2029
78409VBJ2
400000.00000000
PA
USD
357530.68000000
1.092243767857
Long
DBT
CORP
US
N
2
2029-03-01
Fixed
0.02700000
N
N
N
N
N
N
CAIXABANK SA
7CUNS533WID6K7DGFI87
CAIXABANK SA 1.25%/VAR 06/18/2031 REGS
N/A
100000.00000000
PA
96548.79000000
0.294953188833
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
390783.21000000
1.193829088194
Long
DBT
CORP
US
N
2
2032-09-30
Fixed
0.04750000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
59.79000000
0.000182656366
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
4000.00000000
EUR
4399.28000000
USD
2023-09-15
59.79000000
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
80484.00000000
0.245875815223
Long
DBT
CORP
NL
N
2
2031-05-11
Fixed
0.02500000
N
N
N
N
N
N
HEALTHPEAK OP LLC
N/A
HEALTHPEAK OP LLC 2.125% 12/01/2028
42250PAD5
150000.00000000
PA
USD
128163.94000000
0.391536370330
Long
DBT
CORP
US
N
2
2028-12-01
Fixed
0.02125000
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
89557.98000000
0.273596507905
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
588686.30400000
PA
USD
558734.42000000
1.706914181833
Long
ABS-MBS
USGSE
US
N
2
2052-12-01
Fixed
0.04500000
N
N
N
N
N
N
WISCONSIN PWR and LT CO
JWBYHVQVMY66CVCOSO49
WISCONSIN PWR and LT CO 4.95% 04/01/2033
976826BR7
50000.00000000
PA
USD
48442.24000000
0.147989355042
Long
DBT
CORP
US
N
2
2033-04-01
Fixed
0.04950000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.625% 02/15/2053
912810TN8
100000.00000000
PA
USD
90093.75000000
0.275233266584
Long
DBT
UST
US
N
2
2053-02-15
Fixed
0.03625000
N
N
N
N
N
N
KREDITANSTALT FUR WIEDERAUFB
549300GDPG70E3MBBU98
KREDITANSTALT FUR WIEDER(UNGTD 2.75% 02/14/2033 REGS
N/A
50000.00000000
PA
53256.77000000
0.162697576411
Long
DBT
CORP
DE
N
2
2033-02-14
Fixed
0.02750000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-49.30000000
-0.00015060978
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
3303.92000000
USD
3000.00000000
EUR
2023-09-15
-49.30000000
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.25% 02/15/2052
912810TD0
120000.00000000
PA
USD
80953.13000000
0.247308991024
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.02250000
N
N
N
N
N
N
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-29.75000000
-0.00009088521
N/A
DFE
CORP
US
N
2
STATE STREET BANK AND TRUST COMPANY
571474TGEMMWANRLN572
4369.24000000
USD
4000.00000000
EUR
2023-09-15
-29.75000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 03/01/2052#RA7065
3133KNZ63
247665.64100000
PA
USD
197308.01000000
0.602769094587
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02000000
N
N
N
N
N
N
PUGET SOUND ENERGY INC
8MNFJR7KOMBQ7X62LK44
PUGET SOUND ENERGY INC 5.448% 06/01/2053
745332CL8
100000.00000000
PA
USD
97700.91000000
0.298472875283
Long
DBT
CORP
US
N
2
2053-06-01
Fixed
0.05448000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
89.65000000
0.000273877625
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
4000.00000000
EUR
4429.14000000
USD
2023-09-15
89.65000000
N
N
N
PEPSICO INC
FJSUNZKFNQ5YPJ5OT455
PEPSICO INC 3.9% 07/18/2032
713448FM5
100000.00000000
PA
USD
94835.90000000
0.289720369575
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
957509.92900000
PA
USD
826414.18000000
2.524666520294
Long
ABS-MBS
USGSE
US
N
2
2052-01-01
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
372.82000000
0.001138952107
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
10000.00000000
EUR
11221.54000000
USD
2023-09-15
372.82000000
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-66.77000000
-0.00020398002
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
4406.26000000
USD
4000.00000000
EUR
2023-09-15
-66.77000000
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
196356.40000000
0.599861959200
Long
DBT
CORP
DE
N
2
2042-05-23
Variable
0.05875000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
81.45000000
0.000248826911
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
4000.00000000
EUR
4420.94000000
USD
2023-09-15
81.45000000
N
N
N
REPUBLICA ORIENTAL DEL URUGUAY
549300RDR012H2V82H43
URUGUAY REPUBLICA ORIENTAL DL 5.75% 10/28/2034
760942BE1
100000.00000000
PA
USD
107496.00000000
0.328396533885
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
532124.24000000
1.625621009268
Long
DBT
CORP
NL
N
2
2026-07-12
Fixed
0.01375000
N
N
N
N
N
N
NSTAR ELEC CO
54930080R72Y2Z31UR68
NSTAR ELEC CO 4.95% 09/15/2052
67021CAT4
400000.00000000
PA
USD
371923.62000000
1.136213697979
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
100000.00000000
PA
USD
78054.56000000
0.238453960686
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
47176.14000000
0.144121463664
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
224680.98000000
PA
USD
191596.91000000
0.585321883112
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
17304.77000000
0.052865469298
Long
DBT
CORP
AU
N
2
2027-10-27
Fixed
0.03400000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-44.37000000
-0.00013554880
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
5468.73000000
USD
5000.00000000
EUR
2023-09-15
-44.37000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
439.75000000
0.001343420925
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
11000.00000000
EUR
12373.35000000
USD
2023-09-15
439.75000000
N
N
N
DC COML MTG TR 2023-DC
N/A
DC COML MTG TR 2023-DC 6.3143% 09/10/2040 144A
24023AAA8
100000.00000000
PA
USD
101111.65000000
0.308892567122
Long
ABS-MBS
CORP
US
N
2
2040-09-10
Fixed
0.06314300
N
N
N
N
N
N
TENNESSEE VALLEY AUTHORITY
549300HE1ISW43LNKM54
TENNESSEE VALLEY AUTHORITY 1.5% 09/15/2031
880591EX6
200000.00000000
PA
USD
159755.10000000
0.488046263214
Long
DBT
USGSE
US
N
2
2031-09-15
Fixed
0.01500000
N
N
N
N
N
N
PNC FINANCIAL SERVICES GRP INC
CFGNEKW0P8842LEUIA51
PNC FINANCIAL SERVICES GRP INC 4.758%/VAR 01/26/2027
693475BL8
200000.00000000
PA
USD
196338.67000000
0.599807794667
Long
DBT
CORP
US
N
2
2027-01-26
Variable
0.04758000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 02/15/2026
91282CGL9
400000.00000000
PA
USD
393687.50000000
1.202701592932
Long
DBT
UST
US
N
2
2026-02-15
Fixed
0.04000000
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
460839.84000000
1.407849651449
Long
DBT
UST
US
N
2
2051-11-15
Fixed
0.01875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 0.25% 06/15/2024
91282CCG4
150000.00000000
PA
USD
144093.75000000
0.440201384744
Long
DBT
UST
US
N
2
2024-06-15
Fixed
0.00250000
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
168656.62000000
0.515240096606
Long
DBT
CORP
NL
N
2
2029-12-13
Variable
0.02470000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 30YR 2.5% 12/01/2051#CB2528
3140QMY24
199237.40600000
PA
USD
165190.40000000
0.504650915300
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
0.02500000
N
N
N
N
N
N
REXFORD INDUSTRIAL REALTY LP
549300028US163ELJN70
REXFORD INDUSTRIAL REALTY LP 2.15% 09/01/2031
76169XAB0
414000.00000000
PA
USD
319602.06000000
0.976373155527
Long
DBT
CORP
US
N
2
2031-09-01
Fixed
0.02150000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-121.87000000
-0.00037230860
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
4461.36000000
USD
4000.00000000
EUR
2023-09-15
-121.87000000
N
N
N
TESLA AUTO LEASE TRUST 23-A
N/A
TESLA AUTO LEASE TRUST 23-A 5.89% 06/22/2026 144A
88167PAC2
51000.00000000
PA
USD
50868.41000000
0.155401219843
Long
ABS-CBDO
CORP
US
N
2
2026-06-22
Fixed
0.05890000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 07/31/2030
91282CHR5
1600000.00000000
PA
USD
1581000.00000000
4.829899903926
Long
DBT
UST
US
N
2
2030-07-31
Fixed
0.04000000
N
N
N
N
N
N
AMPRION GMBH
529900ZIV0ETYHYZM863
AMPRION GMBH 3.875% 09/07/2028 REGS
N/A
100000.00000000
PA
108953.32000000
0.332848595699
Long
DBT
CORP
DE
N
2
2028-09-07
Fixed
0.03875000
N
N
N
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
98843.81000000
0.301964394954
Long
ABS-CBDO
CORP
US
N
2
2027-06-25
Fixed
0.05490000
N
N
N
N
N
N
DANSKE BANK A/S
MAES062Z21O4RZ2U7M96
DANSKE BANK AS (UNGTD) 4.75%/VAR 06/21/2030 REGS
N/A
100000.00000000
PA
109498.10000000
0.334512879614
Long
DBT
CORP
DK
N
2
2030-06-21
Variable
0.04750000
N
N
N
N
N
N
DNB BANK ASA
549300GKFG0RYRRQ1414
DNB BANK ASA 4%/VAR 03/14/2029 REGS
N/A
100000.00000000
PA
109002.33000000
0.332998319541
Long
DBT
CORP
NO
N
2
2029-03-14
Variable
0.04000000
N
N
N
N
N
N
PRUDENTIAL FINL INC
5PRBRS5FEH7NREC8OR45
PRUDENTIAL FINL INC 1.5% 03/10/2026
74432QCH6
325000.00000000
PA
USD
297620.31000000
0.909219675316
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
168404.99000000
0.514471375725
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
243531.11000000
0.743979054264
Long
DBT
CORP
US
N
2
2031-12-15
Fixed
0.02400000
N
N
N
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 5.45% 06/01/2028
00130HCH6
100000.00000000
PA
USD
98132.74000000
0.299792100884
Long
DBT
CORP
US
N
2
2028-06-01
Fixed
0.05450000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
19.82000000
0.000060549409
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2000.00000000
EUR
2189.56000000
USD
2023-09-15
19.82000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
US 5YR NOTE (CBT) FUT DEC23 FVZ3
N/A
3.00000000
NC
USD
2221.82000000
0.006787582672
N/A
DIR
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
UST NOTES
UST NOTES 0% 06/30/2040
2023-12-29
318543.81000000
USD
2221.82000000
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
179071.42000000
0.547056947662
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
94956.75000000
0.290089562113
Long
DBT
CORP
FR
N
2
2028-01-14
Variable
0.00500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
-15.44000000
-0.00004716866
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
5000.00000000
EUR
5408.92000000
USD
2023-09-15
-15.44000000
N
N
N
BOSTON PPTY LTD PARTNERSHIP
BVHHEFJI6SHNOKQT2572
BOSTON PPTYS LTD PARTNERSHIP 6.75% 12/01/2027
10112RBG8
22000.00000000
PA
USD
22469.42000000
0.068643295065
Long
DBT
CORP
US
N
2
2027-12-01
Fixed
0.06750000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
339.11000000
0.001035969232
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
9000.00000000
EUR
10102.96000000
USD
2023-09-15
339.11000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 4% 12/01/2052#RA8200
3133KQDD5
397441.49300000
PA
USD
366995.45000000
1.121158310370
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
93273.62000000
0.284947658619
Long
EP
CORP
IT
N
2
N
N
N
EUREX DEUTSCHLAND
N/A
EURO-BOBL FUTURE DEC23 OEZ3
N/A
-8.00000000
NC
-5992.55000000
-0.01830703141
N/A
DIR
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Short
GERMANY FEDERAL REPUBLIC OF
EURO-BOBL FUT UNDERLYING
2023-12-07
-1020369.93000000
EUR
-5992.55000000
N
N
N
LYB INTERNATIONAL FINANCE III LLC
N/A
LYB INTERNATIONAL FINANCE III LLC 5.625% 05/15/2033
50249AAL7
100000.00000000
PA
USD
99040.14000000
0.302564176262
Long
DBT
CORP
US
N
2
2033-05-15
Fixed
0.05625000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: GBP/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-15.79000000
-0.00004823789
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1282.65000000
USD
1000.00000000
GBP
2023-09-15
-15.79000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 5% 06/01/2053#RA8573
3133KQQ25
197608.81600000
PA
USD
191649.13000000
0.585481413393
Long
ABS-MBS
USGSE
US
N
2
2053-06-01
Fixed
0.05000000
N
N
N
N
N
N
FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD
S6XOOCT0IEG5ABCC6L87
FEDERAL HOME LN MTG MLT CTF GT 4.134% 05/25/2033
3137HAD86
100000.00000000
PA
USD
94492.58000000
0.288671538939
Long
ABS-MBS
USGSE
US
N
2
2033-05-25
Fixed
0.04134000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 01/31/2028
91282CGH8
23000.00000000
PA
USD
22240.82000000
0.067944930032
Long
DBT
UST
US
N
2
2028-01-31
Fixed
0.03500000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
21.76000000
0.000066476041
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
3000.00000000
EUR
3276.38000000
USD
2023-09-15
21.76000000
N
N
N
GERMANY FEDERAL REPUBLIC OF
529900AQBND3S6YJLY83
GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS
N/A
149000.00000000
PA
134190.95000000
0.409948675846
Long
DBT
NUSS
DE
N
2
2031-08-15
Fixed
0.00000000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5% 09/01/2053 #TBA
01F050692
300000.00000000
PA
USD
290894.52000000
0.888672621252
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05000000
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
97647.40000000
0.298309404097
Long
DBT
CORP
US
N
2
2026-08-15
Variable
0.04540000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-8.95000000
-0.00002734193
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
3263.57000000
USD
3000.00000000
EUR
2023-09-15
-8.95000000
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
83156.20000000
0.254039293099
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
225067.28000000
0.687572697058
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
103692.05000000
0.316775599198
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
229813.55000000
0.702072386505
Long
DBT
CORP
US
N
2
2025-07-02
Fixed
0.00950000
N
N
N
N
N
N
AIR PRODUCTS and CHEMICALS INC
7QEON6Y1RL5XR3R1W237
AIR PRODUCTS and CHEMICALS INC 4.8% 03/03/2033
009158BF2
100000.00000000
PA
USD
99372.27000000
0.303578821838
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
300000.00000000
PA
USD
260933.78000000
0.797143604650
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
127688.00000000
0.390082390216
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
290000.00000000
PA
USD
296666.54000000
0.906305941204
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
93159.25000000
0.284598262254
Long
DBT
CORP
US
N
2
2032-06-01
Fixed
0.04150000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-37.47000000
-0.00011446954
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
2207.21000000
USD
2000.00000000
EUR
2023-09-15
-37.47000000
N
N
N
EUREX DEUTSCHLAND
N/A
EURO-SCHATZ FUT DEC23 DUZ3
N/A
-11.00000000
NC
-3143.32000000
-0.00960273305
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
2023-12-07
-1264091.74000000
EUR
-3143.32000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
59.72000000
0.000182442518
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
3000.00000000
EUR
3314.34000000
USD
2023-09-15
59.72000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.5% 02/15/2033
91282CGM7
1030000.00000000
PA
USD
980914.06000000
2.996658269547
Long
DBT
UST
US
N
2
2033-02-15
Fixed
0.03500000
N
N
N
N
N
N
MICRON TECHNOLOGY INC
B3DXGBC8GAIYWI2Z0172
MICRON TECHNOLOGY INC 2.703% 04/15/2032
595112BS1
200000.00000000
PA
USD
157834.61000000
0.482179233191
Long
DBT
CORP
US
N
2
2032-04-15
Fixed
0.02703000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-40.18000000
-0.00012274849
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
6549.41000000
USD
6000.00000000
EUR
2023-09-15
-40.18000000
N
N
N
VERIZON COMMUNICATIONS INC
2S72QS2UO2OESLG6Y829
VERIZON COMMUNICATIONS INC 5.05% 05/09/2033
92343VGT5
100000.00000000
PA
USD
97031.86000000
0.296428950848
Long
DBT
CORP
US
N
2
2033-05-09
Fixed
0.05050000
N
N
N
N
N
N
ACEF HOLDING SCA
213800KW7LHVG5QUS111
ACEF HOLDING SCA 1.25% 04/26/2030 REGS
N/A
100000.00000000
PA
82499.95000000
0.252034472219
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
100000.00000000
PA
USD
89169.59000000
0.272409989989
Long
DBT
CORP
GB
N
2
2028-06-15
Fixed
0.04125000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
BNP PARIBAS 1.675%/VAR 06/30/2027 144A
09659W2Q6
200000.00000000
PA
USD
178513.15000000
0.545351452267
Long
DBT
CORP
FR
N
2
2027-06-30
Variable
0.01675000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/GBP settle 2023-09-15
N/A
1.00000000
NC
N/A
1228.55000000
0.003753177436
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
78000.00000000
GBP
100043.58000000
USD
2023-09-15
1228.55000000
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2.875% 05/15/2052
912810TG3
955000.00000000
PA
USD
741356.05000000
2.264816897324
Long
DBT
UST
US
N
2
2052-05-15
Fixed
0.02875000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 4% 09/01/2053 #TBA
01F040693
200000.00000000
PA
USD
184625.00000000
0.564022941026
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.04000000
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
182015.57000000
PA
USD
145454.74000000
0.444359161765
Long
ABS-CBDO
CORP
US
N
2
2057-01-30
Fixed
0.02270000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/GBP settle 2023-09-15
N/A
1.00000000
NC
N/A
36.96000000
0.000112911511
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
2000.00000000
GBP
2570.68000000
USD
2023-09-15
36.96000000
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 20YR 2% 11/01/2041#RB0708
3133KTYD6
231428.83700000
PA
USD
191532.45000000
0.585124960059
Long
ABS-MBS
USGSE
US
N
2
2041-11-01
Fixed
0.02000000
N
N
N
N
N
N
DEUTSCHE BANK AG
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AG 3.25%/VAR 05/24/2028 REGS
N/A
100000.00000000
PA
101547.86000000
0.310225173471
Long
DBT
CORP
DE
N
2
2028-05-24
Variable
0.03250000
N
N
N
N
N
N
JPMORGAN CHASE and CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE and CO 0.768%/VAR 08/09/2025
46647PCM6
200000.00000000
PA
USD
190006.15000000
0.580462166749
Long
DBT
CORP
US
N
2
2025-08-09
Variable
0.00768000
N
N
N
N
N
N
BANK OF IRELAND GROUP PLC
635400C8EK6DRI12LJ39
BANK IRELAND GROUP PLC 5.0%/VAR 07/04/2031 REGS
N/A
100000.00000000
PA
110225.91000000
0.336736313800
Long
DBT
CORP
IE
N
2
2031-07-04
Variable
0.05000000
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 5% 01/15/2033
62954HBB3
200000.00000000
PA
USD
189258.00000000
0.578176594571
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
235000.00000000
PA
USD
187274.80000000
0.572117987683
Long
DBT
UST
US
N
2
2052-08-15
Fixed
0.03000000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
37710.70000000
0.115204874324
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
2594000.00000000
EUR
2851869.54000000
USD
2023-09-15
37710.70000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-138.48000000
-0.00042305157
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
10987.20000000
USD
10000.00000000
EUR
2023-09-15
-138.48000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 01/01/2052#RA6694
3133KNNK5
456838.73000000
PA
USD
364235.65000000
1.112727217546
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
96100.52000000
0.293583739604
Long
DBT
CORP
DE
N
2
2027-05-06
Fixed
0.02000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-40.64000000
-0.00012415378
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
4380.13000000
USD
4000.00000000
EUR
2023-09-15
-40.64000000
N
N
N
ENERGIAS DE PORTUGAL SA
529900CLC3WDMGI9VH80
ENERGIAS DE PORTUGAL SA 1.7%/VAR 07/20/2080 REGS
N/A
100000.00000000
PA
99792.30000000
0.304861998850
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
100000.00000000
PA
USD
83590.79000000
0.255366950404
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
193354.61000000
0.590691595359
Long
DBT
CORP
US
N
2
2029-10-15
Fixed
0.05400000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
91.04000000
0.000278124027
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
6000.00000000
EUR
6600.27000000
USD
2023-09-15
91.04000000
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
847543.77200000
NS
USD
847713.28000000
2.589734528544
Long
STIV
RF
US
N
1
N
N
N
NTT FINANCE CORP
3538007PR116187GD960
NTT FINANCE CORP 4.372% 07/27/2027 144A
62954WAK1
100000.00000000
PA
USD
97439.75000000
0.297675040584
Long
DBT
CORP
JP
N
2
2027-07-27
Fixed
0.04372000
N
N
N
N
N
N
UDR INC
P3CH2EG5X6Z1XWU1OO74
UDR INC 1.9% 03/15/2033
90265EAU4
375000.00000000
PA
USD
273592.21000000
0.835814667168
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.01900000
N
N
N
N
N
N
SAN DIEGO GAS and ELECTRIC CO
KNIRVXKVNJJ4P8OTMS63
SAN DIEGO GAS and ELECTRIC CO 4.95% 08/15/2028
797440CE2
100000.00000000
PA
USD
98986.21000000
0.302399421991
Long
DBT
CORP
US
N
2
2028-08-15
Fixed
0.04950000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 2% 11/15/2041
912810TC2
1870000.00000000
PA
USD
1308488.67000000
3.997387287489
Long
DBT
UST
US
N
2
2041-11-15
Fixed
0.02000000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4% 06/30/2028
91282CHK0
1300000.00000000
PA
USD
1284460.94000000
3.923983409679
Long
DBT
UST
US
N
2
2028-06-30
Fixed
0.04000000
N
N
N
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
175411.50000000
0.535876019606
Long
ABS-MBS
USGSE
US
N
2
2032-08-25
Fixed
0.03123000
N
N
N
N
N
N
EUREX DEUTSCHLAND
N/A
EURO-BUND FUTURE DEC23 RXZ3
N/A
-2.00000000
NC
-2322.24000000
-0.00709436227
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
2023-12-07
-287377.92000000
EUR
-2322.24000000
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
97407.16000000
0.297575479269
Long
DBT
CORP
DE
N
2
2080-06-29
Variable
0.01875000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-53.44000000
-0.00016325733
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
5477.80000000
USD
5000.00000000
EUR
2023-09-15
-53.44000000
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
127887.12000000
0.390690694877
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
260701.73000000
0.796434699987
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
99409.96000000
0.303693963474
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
134187.51300000
PA
USD
117997.83000000
0.360479258558
Long
ABS-MBS
USGSE
US
N
2
2036-06-01
Fixed
0.02000000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
27.27000000
0.000083308899
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2000.00000000
EUR
2197.01000000
USD
2023-09-15
27.27000000
N
N
N
PUBLIC SERVICE ELEC and GAS CO
549300RUHPVD434XUK18
PUBLIC SERVICE ELEC and GAS CO 4.65% 03/15/2033
74456QCL8
100000.00000000
PA
USD
96915.99000000
0.296074972036
Long
DBT
CORP
US
N
2
2033-03-15
Fixed
0.04650000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-34.49000000
-0.00010536574
N/A
DFE
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
2204.23000000
USD
2000.00000000
EUR
2023-09-15
-34.49000000
N
N
N
RWE AG
529900GB7KCA94ACC940
RWE AG 2.125% 05/24/2026 REGS
N/A
100000.00000000
PA
103941.02000000
0.317536193872
Long
DBT
CORP
DE
N
2
2026-05-24
Fixed
0.02125000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-27.41000000
-0.00008373659
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
2197.15000000
USD
2000.00000000
EUR
2023-09-15
-27.41000000
N
N
N
AES CORP
2NUNNB7D43COUIRE5295
AES CORP 2.45% 01/15/2031
00130HCG8
400000.00000000
PA
USD
317612.26000000
0.970294385869
Long
DBT
CORP
US
N
2
2031-01-15
Fixed
0.02450000
N
N
N
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
293057.44000000
0.895280266477
Long
DBT
CORP
US
N
2
2030-04-01
Fixed
0.03350000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CANADIAN IMPERIAL BK OF COMM 0.95% 10/23/2025
13607GRR7
325000.00000000
PA
USD
296077.11000000
0.904505253095
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
562717.46300000
PA
USD
466644.49000000
1.425582654913
Long
ABS-MBS
USGSE
US
N
2
2052-02-01
Fixed
0.02500000
N
N
N
N
N
N
CENTERPOINT ENERGY HOUSTON ELECTRIC LLC
549300S8SEQBOJLKHW63
CENTERPOINT ENERGY HOUSTON ELECTRIC LLC 5.3% 04/01/2053
15189XBC1
100000.00000000
PA
USD
99330.41000000
0.303450940996
Long
DBT
CORP
US
N
2
2053-04-01
Fixed
0.05300000
N
N
N
N
N
N
FNMA GTD MTG PASS THRU CTF
B1V7KEBTPIMZEU4LTD58
FNMA 15YR 2% 08/01/2035#FM3313
3140X6VF5
200000.27800000
PA
USD
176807.81000000
0.540141697996
Long
ABS-MBS
USGSE
US
N
2
2035-08-01
Fixed
0.02000000
N
N
N
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2.5% 03/01/2052#RA7091
3133KN2Y8
952504.23200000
PA
USD
789882.80000000
2.413064427471
Long
ABS-MBS
USGSE
US
N
2
2052-03-01
Fixed
0.02500000
N
N
N
N
N
N
GENERAL MILLS INC
2TGYMUGI08PO8X8L6150
GENERAL MILLS INC 2.25% 10/14/2031
370334CQ5
450000.00000000
PA
USD
363578.06000000
1.110718303013
Long
DBT
CORP
US
N
2
2031-10-14
Fixed
0.02250000
N
N
N
N
N
N
UNITED STATES TREASURY BOND
254900HROIFWPRGM1V77
UNITED STATES TREASURY BOND 3.625% 05/15/2053
912810TR9
405000.00000000
PA
USD
365259.38000000
1.115854677020
Long
DBT
UST
US
N
2
2053-05-15
Fixed
0.03625000
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
84969.90000000
0.259580083394
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
96183.18000000
0.293836263024
Long
DBT
CORP
LU
N
2
2026-01-26
Fixed
0.00875000
N
N
N
N
N
N
COMCAST CORP
51M0QTTNCGUN7KFCFZ59
COMCAST CORP 4.65% 02/15/2033
20030NEC1
250000.00000000
PA
USD
243854.05000000
0.744965624710
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
450000.00000000
PA
USD
420477.02000000
1.284542642948
Long
DBT
CORP
US
N
2
2029-02-08
Fixed
0.03875000
N
N
N
N
N
N
ING GROEP NV
549300NYKK9MWM7GGW15
ING GROEP NV 0.875%/VAR 06/09/2032 REGS
N/A
100000.00000000
PA
92665.30000000
0.283089262218
Long
DBT
CORP
NL
N
2
2032-06-09
Variable
0.00875000
N
N
N
N
N
N
NBN CO LTD
2549007CRZ2NT7S96A24
NBN CO LTD 4.125% 03/15/2029 REGS
N/A
100000.00000000
PA
108843.72000000
0.332513771518
Long
DBT
CORP
AU
N
2
2029-03-15
Fixed
0.04125000
N
N
N
N
N
N
WP CAREY INC
54930042CRNE713E3Q67
WP CAREY INC 2.45% 02/01/2032
92936UAJ8
150000.00000000
PA
USD
116806.16000000
0.356838748236
Long
DBT
CORP
US
N
2
2032-02-01
Fixed
0.02450000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-21.61000000
-0.00006601779
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2191.35000000
USD
2000.00000000
EUR
2023-09-15
-21.61000000
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3% 07/15/2025
91282CEY3
725000.00000000
PA
USD
700248.05000000
2.139233389892
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.03000000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
61.52000000
0.000187941456
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
4000.00000000
EUR
4401.01000000
USD
2023-09-15
61.52000000
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 5.5% 09/01/2053 #TBA
01F052698
200000.00000000
PA
USD
197562.50000000
0.603546552668
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.05500000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 2.875% 05/15/2032
91282CEP2
65000.00000000
PA
USD
59071.29000000
0.180460732381
Long
DBT
UST
US
N
2
2032-05-15
Fixed
0.02875000
N
N
N
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
51.12000000
0.000156169818
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
2000.00000000
EUR
2220.86000000
USD
2023-09-15
51.12000000
N
N
N
BANK OF AMERICA CORPORATION
9DJT3UXIJIZJI4WXO774
BANK OF AMERICA CORPORATION 2.456%/VAR 10/22/2025
06051GHW2
200000.00000000
PA
USD
192241.17000000
0.587290074961
Long
DBT
CORP
US
N
2
2025-10-22
Variable
0.02456000
N
N
N
N
N
N
NORTHERN STATES POWER CO (MN)
3S1GHB0TEH85KX44SB51
NORTHERN STATES POWER CO (MN) 2.25% 04/01/2031
665772CT4
500000.00000000
PA
USD
413718.00000000
1.263894072392
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
94991.23000000
0.290194897312
Long
DBT
CORP
LU
N
2
2026-11-15
Fixed
0.00375000
N
N
N
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: USD/AUD settle 2023-09-15
N/A
1.00000000
NC
N/A
1112.70000000
0.003399259723
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
27000.00000000
AUD
18613.82000000
USD
2023-09-15
1112.70000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 3.5% 06/01/2052#RA7258
3133KPB31
98615.82700000
PA
USD
88165.54000000
0.269342652229
Long
ABS-MBS
USGSE
US
N
2
2052-06-01
Fixed
0.03500000
N
N
N
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-336.65000000
-0.00102845401
N/A
DFE
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
37222.31000000
USD
34000.00000000
EUR
2023-09-15
-336.65000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 10YR 1.5% 12/01/2031#RD0016
3133LJAR2
246126.12000000
PA
USD
221040.77000000
0.675271849327
Long
ABS-MBS
USGSE
US
N
2
2031-12-01
Fixed
0.01500000
N
N
N
N
N
N
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
FX Forward: EUR/USD settle 2023-09-15
N/A
1.00000000
NC
N/A
-273.15000000
-0.00083446373
N/A
DFE
CORP
US
N
2
BROWN BROTHERS HARRIMAN and CO.
5493006KMX1VFTPYPW14
61026.00000000
USD
56000.00000000
EUR
2023-09-15
-273.15000000
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
FX Forward: USD/EUR settle 2023-09-15
N/A
1.00000000
NC
N/A
83.11000000
0.000253898153
N/A
DFE
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
9000.00000000
EUR
9846.96000000
USD
2023-09-15
83.11000000
N
N
N
FED HOME LOAN MTG CORP - GOLD
S6XOOCT0IEG5ABCC6L87
FHLG 30YR 2% 04/01/2051#RA5180
3133KLXH5
82934.97200000
PA
USD
66331.05000000
0.202639046187
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
245536.72000000
0.750106122921
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
42598.95000000
0.130138307724
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
323141.39000000
PA
USD
249084.33000000
0.760943947840
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
80461.59000000
0.245807353453
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
94403.08000000
0.288398119558
Long
DBT
CORP
FR
N
2
2028-05-30
Variable
0.00500000
N
N
N
N
N
N
MIZUHO FINANCIAL GROUP INC
353800CI5L6DDAN5XZ33
MIZUHO FINL GROUP INC 5.778%/VAR 07/06/2029
60687YCZ0
200000.00000000
PA
USD
200324.54000000
0.611984488614
Long
DBT
CORP
JP
N
2
2029-07-06
Variable
0.05778000
N
N
N
N
N
N
FNMA/FHLG TBA ISSUER
N/A
UMBS 30YR 3.5% 09/01/2053 #TBA
01F032690
200000.00000000
PA
USD
178710.94000000
0.545955693824
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
0.03500000
N
N
N
N
N
N
ANALOG DEVICES INC
GYVOE5EZ4GDAVTU4CQ61
ANALOG DEVICES INC 1.7% 10/01/2028
032654AU9
300000.00000000
PA
USD
257287.25000000
0.786003582578
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
125461.46000000
0.383280388109
Long
DBT
CORP
IE
N
2
2031-05-30
Variable
0.02875000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 4.125% 07/31/2028
91282CHQ7
1850000.00000000
PA
USD
1839160.15000000
5.618570165585
Long
DBT
UST
US
N
2
2028-07-31
Fixed
0.04125000
N
N
N
N
N
N
STATE STREET CORP
549300ZFEEJ2IP5VME73
STATE STREET CORP 5.751%/VAR 11/04/2026
857477BX0
100000.00000000
PA
USD
100206.95000000
0.306128740150
Long
DBT
CORP
US
N
2
2026-11-04
Variable
0.05751000
N
N
N
N
N
N
UST NOTES
254900HROIFWPRGM1V77
UST NOTES 3.875% 08/15/2033
91282CHT1
850000.00000000
PA
USD
834859.38000000
2.550466311988
Long
DBT
UST
US
N
2
2033-08-15
Fixed
0.03875000
N
N
N
N
N
N
2023-09-30
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer