Form NPORT-P FIDELITY SCHOOL STREET For: Mar 31

May 25, 2022 12:10 PM EDT

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    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
      2022-03-31
      N
    
    
      118407713.04
      3706662.61
      114701050.43
      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
      746496.98000000
      
        
          CAD
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        BANK OF IRELAND GROUP PLC
        635400C8EK6DRI12LJ39
        BANK OF IRELAND (UNGTD) 1.375%/VAR 08/11/2031 REGS
        N/A
        
          
        
        800000.00000000
        PA
        
        821290.62000000
        0.716027113022
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2031-08-11
          Variable
          0.01375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILIAD SA
        969500FZ9BTRZS3JNB97
        ILIAD SA 0.75% 02/11/2024 REGS
        N/A
        
          
        
        1700000.00000000
        PA
        
        1817624.07000000
        1.584662096106
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-02-11
          Fixed
          0.00750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADLER GROUP SA
        391200OYYFJ3DWAMEC69
        ADLER GROUP SA 2.25% 04/27/2027 REGS
        N/A
        
          
        
        200000.00000000
        PA
        
        180871.88000000
        0.157689820033
        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
        
        556167.19000000
        0.484884129582
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-02-07
          Variable
          0.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: EUR/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3422.34000000
        -0.00298370414
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            180643.20000000
            USD
            160000.00000000
            EUR
            2022-05-12
            -3422.34000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO BOARD OF TRADE
        N/A
        US 5YR NOTE (CBT) FUT JUN22 FVM2
        N/A
        
          
        
        87.00000000
        NC
        USD
        -239220.45000000
        -0.20855994701
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO BOARD OF TRADE
              N/A
            
            Long
            
              
                UST NOTES
                UST NOTES 0% 06/30/2040
                
                  
                
              
            
            2022-06-30
            10217032.95000000
            USD
            -239220.45000000
          
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC
        635400AKJBGNS5WNQL34
        AIB GROUP PLC 2.25%/VAR 04/04/2028 REGS
        N/A
        
          
        
        1200000.00000000
        PA
        
        1331551.53000000
        1.160888697189
        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
        
        165959.07000000
        0.144688361072
        Long
        DBT
        CORP
        CZ
        N
        
        2
        
          2027-04-06
          Fixed
          0.02375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BPLC ITXEX536 PAY 400 06/15/2022
        N/A
        
          
        
        2650000.00000000
        NC
        
        21416.24000000
        0.018671354725
        N/A
        DCR
        CORP
        GB
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            Put
            Purchased
            
              
                
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                  
                  
                    BARCLAYS BANK PLC
                    G5GSEF7VJP5I7OUK5573
                    BPLC SWAP ITXEX536 12/20/26 B
                    N/A
                    
                      
                    
                    N/A
                    NC
                    
                    N/A
                    N/A
                    DCR
                    CORP
                    GB
                  
                  
                    
                      N/A
                      ITXEX536
                    
                  
                  
                  
                  2026-12-20
                  0.00000000
                  EUR
                  0.00000000
                  EUR
                  2650000.00000000
                  EUR
                
              
            
            1.00000000
            400.00000000
            EUR
            2022-06-15
            XXXX
            -51132.69000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        FX Forward: USD/GBP settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        364.67000000
        0.000317930828
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              ROYAL BANK OF CANADA
              ES7IP3U3RHIGC71XBU11
            
            18000.00000000
            GBP
            24005.18000000
            USD
            2022-05-12
            364.67000000
          
        
        
          N
          N
          N
        
      
      
        THE BANK OF NOVA SCOTIA
        L3I9ZG2KFGXZ61BMYR72
        BANK NOVA SCOTIA BC 4.65%/VAR PERP
        064159KJ4
        
          
        
        800000.00000000
        PA
        USD
        772200.01000000
        0.673228368096
        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
        
        488834.73000000
        0.426181563435
        Long
        EP
        CORP
        NL
        N
        
        2
        
          N
          N
          N
        
      
      
        AUTOSTRADE PER L'ITALIA SPA
        815600149448CEB9B230
        AUTOSTRADE PER LITALIA SPA 2.25% 01/25/2032 REGS
        N/A
        
          
        
        700000.00000000
        PA
        
        726960.02000000
        0.633786715356
        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
        
        979446.10000000
        0.853912057760
        Long
        EP
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP PLC
        635400C8EK6DRI12LJ39
        BANK IRELAND GROUP PLC 3.125%/VAR 09/19/2027 REGS
        N/A
        
          
        
        650000.00000000
        PA
        
        854188.44000000
        0.744708471978
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2027-09-19
          Variable
          0.03125000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIB GROUP PLC
        635400AKJBGNS5WNQL34
        AIB GROUP PLC 1.875%/VAR 11/19/2029 REGS
        N/A
        
          
        
        1000000.00000000
        PA
        
        1081023.08000000
        0.942470078475
        Long
        DBT
        CORP
        IE
        N
        
        2
        
          2029-11-19
          Variable
          0.01875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: GBP/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -4623.23000000
        -0.00403067799
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            217387.80000000
            USD
            162000.00000000
            GBP
            2022-05-12
            -4623.23000000
          
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        FX Forward: USD/CAD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2644.91000000
        -0.00230591610
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              ROYAL BANK OF CANADA
              ES7IP3U3RHIGC71XBU11
            
            170000.00000000
            CAD
            133318.17000000
            USD
            2022-05-12
            -2644.91000000
          
        
        
          N
          N
          N
        
      
      
        GERMANY FEDERAL REPUBLIC OF
        529900AQBND3S6YJLY83
        GERMANY FEDERAL REPUBLIC OF 0% 08/15/2031 REGS
        N/A
        
          
        
        1050000.00000000
        PA
        
        1107498.74000000
        0.965552395421
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2031-08-15
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        JPSW ITXEX537 PAY 400 06/15/22
        N/A
        
          
        
        2000000.00000000
        NC
        
        22040.70000000
        0.019215778685
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            Put
            Purchased
            
              
                
                  
                    JPMORGAN CHASE BANK NA NEW YORK NY
                    7H6GLXDRUGQFU57RNE97
                  
                  
                    JPMORGAN CHASE BANK NA NEW YORK NY
                    7H6GLXDRUGQFU57RNE97
                    JPSW SWAP ITXEX537 06/20/27 B
                    N/A
                    
                      
                    
                    N/A
                    NC
                    
                    N/A
                    N/A
                    DCR
                    CORP
                    US
                  
                  
                    
                      N/A
                      N/A
                      
                        
                      
                    
                  
                  
                  
                  2027-06-20
                  0.00000000
                  EUR
                  0.00000000
                  EUR
                  2000000.00000000
                  EUR
                
              
            
            1.00000000
            400.00000000
            EUR
            2022-06-15
            XXXX
            -22059.24000000
          
        
        
          N
          N
          N
        
      
      
        SAMHALLSBYGGNADSBOLAGET I NORDEN AB
        549300HX9MRFY47AH564
        SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1% 08/12/2027 REGS
        N/A
        
          
        
        250000.00000000
        PA
        
        241309.08000000
        0.210380880641
        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
        
        330566.09000000
        0.288197962233
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2199-12-31
          Variable
          0.03748000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO BOARD OF TRADE
        N/A
        US 10YR ULTRA FUT JUN22 UXYM2
        N/A
        
          
        
        44.00000000
        NC
        USD
        -195690.88000000
        -0.17060949247
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO BOARD OF TRADE
              N/A
            
            Long
            
              
                UST NOTES
                $US 10YR NOTE ULTRA FUT CONTRACT UNDERLYING
                
                  
                
              
            
            2022-06-21
            6156315.88000000
            USD
            -195690.88000000
          
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN INTL FINANCE NV
        5299004PWNHKYTR23649
        VOLKSWAGEN INTL FINANCE NV 0 PERP REGS
        N/A
        
          
        
        1900000.00000000
        PA
        
        2196459.38000000
        1.914942689509
        Long
        EP
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        EUREX DEUTSCHLAND
        N/A
        EURO-BUXL 30Y BND FUT JUN22 UBM2
        N/A
        
          
        
        5.00000000
        NC
        
        -69305.21000000
        -0.06042247193
        N/A
        DIR
        CORP
        DE
        N
        
        1
        
          
            
              EUREX DEUTSCHLAND
              N/A
            
            Long
            
              
                GERMANY FEDERAL REPUBLIC OF
                UNDERLYING EURO BUXL 30YR BOND
                
                  
                
              
            
            2022-06-08
            1103464.44000000
            EUR
            -69305.21000000
          
        
        
          N
          N
          N
        
      
      
        MONTREAL EXCHANGE (THE)
        N/A
        CAN 10YR BOND FUT JUN22 CNM2
        N/A
        
          
        
        37.00000000
        NC
        
        -165502.19000000
        -0.14429003865
        N/A
        DIR
        CORP
        CA
        N
        
        1
        
          
            
              MONTREAL EXCHANGE (THE)
              N/A
            
            Long
            
              
                CANADA, GOVERNMENT OF
                CANADA BOND FUT UNDERLYING GENERIC IV FOR FUTURES TRADING
                
                  
                
              
            
            2022-06-21
            3949346.38000000
            CAD
            -165502.19000000
          
        
        
          N
          N
          N
        
      
      
        SIRIUS REAL ESTATE LTD
        213800NURUF5W8QSK566
        SIRIUS REAL ESTATE LTD 1.125% 06/22/2026 REGS
        N/A
        
          
        
        300000.00000000
        PA
        
        308155.23000000
        0.268659466364
        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
        
          
        
        950000.00000000
        PA
        USD
        982936.50000000
        0.856955098767
        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
        
        1054583.56000000
        0.919419269524
        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
        
        456881.25000000
        0.398323509930
        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
        1334450.00000000
        1.163415674919
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2050-08-15
          Variable
          0.05750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEATHROW FUNDING LTD
        7TI96JO3DYEIQWZ7Z726
        HEATHROW FUNDING LTD 2.625% 03/16/2028 REGS
        N/A
        
          
        
        650000.00000000
        PA
        
        798748.20000000
        0.696373918988
        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
        200175.15000000
        0.174519020749
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2029-09-15
          Variable
          0.02159000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIA GROUP LTD
        ZP5ILWVSYE4LJGMMVD57
        AIA GROUP LTD 0.88%/VAR 09/09/2033 REGS
        N/A
        
          
        
        300000.00000000
        PA
        
        300512.95000000
        0.261996685185
        Long
        DBT
        CORP
        HK
        N
        
        2
        
          2033-09-09
          Variable
          0.00880000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: GBP/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        39.20000000
        0.000034175798
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            80075.86000000
            USD
            61000.00000000
            GBP
            2022-05-12
            39.20000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: CAD/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1074.89000000
        0.000937123065
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            74904.48000000
            USD
            95000.00000000
            CAD
            2022-05-12
            1074.89000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3044.37000000
        0.002654177959
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            328000.00000000
            EUR
            366347.14000000
            USD
            2022-05-12
            3044.37000000
          
        
        
          N
          N
          N
        
      
      
        BAYER AG
        549300J4U55H3WP1XT59
        BAYER AG 0 04/02/2075 REGS
        N/A
        
          
        
        2500000.00000000
        PA
        
        2779453.13000000
        2.423215061745
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2075-04-02
          Variable
          0.02375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/GBP settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        660.18000000
        0.000575565783
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            58000.00000000
            GBP
            76835.15000000
            USD
            2022-05-12
            660.18000000
          
        
        
          N
          N
          N
        
      
      
        ILIAD SA
        969500FZ9BTRZS3JNB97
        ILIAD SA 1.875% 02/11/2028 REGS
        N/A
        
          
        
        200000.00000000
        PA
        
        198055.48000000
        0.172671025467
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-02-11
          Fixed
          0.01875000
          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
        
        331591.53000000
        0.289091973226
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2078-10-03
          Variable
          0.04875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        PETROLEOS MEXICANOS 2.5% 11/24/2022 REGS
        N/A
        
          
        
        300000.00000000
        PA
        
        331543.13000000
        0.289049776577
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2022-11-24
          Fixed
          0.02500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LAGARDERE SA
        969500VX2NV2AQQ65G45
        LAGARDERE SA 1.625% 06/21/2024 REGS
        N/A
        
          
        
        100000.00000000
        PA
        
        110066.12000000
        0.095959121200
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-06-21
          Fixed
          0.01625000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GSK CONSUMER HEALTHCARE CAPITAL NL B.V.
        549300RXQZBOJONY3Q97
        GSK CONSUMER HEALTHCARE CAPITAL NL B.V. 2.125% 03/29/2034 REGS
        N/A
        
          
        
        450000.00000000
        PA
        
        504712.18000000
        0.440024026029
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2034-03-29
          Fixed
          0.02125000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2601.49000000
        0.002268061181
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            98000.00000000
            EUR
            111149.27000000
            USD
            2022-05-12
            2601.49000000
          
        
        
          N
          N
          N
        
      
      
        CELLNEX FINANCE CO SA
        549300OUROMFTRFA7T23
        CELLNEX FINANCE CO SA 1% 09/15/2027 REGS
        N/A
        
          
        
        900000.00000000
        PA
        
        902388.70000000
        0.786730981640
        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
        
        1907451.57000000
        1.662976548906
        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
        665437.50000000
        0.580149438479
        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
        
        543133.57000000
        0.473521007840
        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
        
        306574.38000000
        0.267281231384
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-10-20
          Fixed
          0.02625000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROYAL BANK OF CANADA
        ES7IP3U3RHIGC71XBU11
        FX Forward: EUR/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        311.18000000
        0.000271296556
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              ROYAL BANK OF CANADA
              ES7IP3U3RHIGC71XBU11
            
            77222.95000000
            USD
            70000.00000000
            EUR
            2022-05-12
            311.18000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: EUR/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -20572.84000000
        -0.01793605195
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            1237858.65000000
            USD
            1099000.00000000
            EUR
            2022-05-12
            -20572.84000000
          
        
        
          N
          N
          N
        
      
      
        GERMANY FEDERAL REPUBLIC OF
        529900AQBND3S6YJLY83
        GERMANY FEDERAL REPUBLIC OF 0% 02/15/2032 REGS
        N/A
        
          
        
        330000.00000000
        PA
        
        346042.01000000
        0.301690358285
        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
        
        214590.38000000
        0.187086673744
        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
        1827776.56000000
        1.593513357678
        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
        
        310847.03000000
        0.271006262658
        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
        
        327533.67000000
        0.285554202661
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2030-08-14
          Variable
          0.03622000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN LEWIS PLC
        213800JSUFNZLZLCVJ25
        JOHN LEWIS PLC 6.125% 01/21/2025
        N/A
        
          
        
        1194000.00000000
        PA
        
        1663658.89000000
        1.450430387309
        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
        
        918404.33000000
        0.800693913924
        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
        201696.53000000
        0.175845407905
        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
        739912.50000000
        0.645079096683
        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
        
        916205.20000000
        0.798776642903
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-06-18
          Fixed
          0.03375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GRAND CITY PROPERTIES SA
        5299002QLUYKK2WBMB18
        GRAND CITY PROPERTIES SA 1.5%/VAR PERP REGS
        N/A
        
          
        
        1300000.00000000
        PA
        
        1274653.33000000
        1.111283048604
        Long
        EP
        CORP
        LU
        
        N
        
        2
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        CITI SWAP CDS 12/20/26 RDSALN B
        N/A
        
          
        
        1000000.00000000
        NC
        
        -34410.79000000
        -0.03000041400
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            
              
                SHELL INTERNATIONAL FINANCE BV
                SHELL INTL FIN B V 0.75% 05/12/2024 REGS
                
                  
                
              
            
            Y
            
            
            2026-12-20
            0.00000000
            EUR
            34569.94000000
            EUR
            1000000.00000000
            EUR
            -1791.79000000
          
        
        
          N
          N
          N
        
      
      
        VIA OUTLETS
        2594009AT1MND8D7E216
        VIA OUTLETS 1.75% 11/15/2028 REGS
        N/A
        
          
        
        450000.00000000
        PA
        
        458515.18000000
        0.399748021732
        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
        209000.00000000
        0.182212803820
        Long
        EP
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        ENEL SPA
        WOCMU6HCI0OJWNPRZS33
        ENEL SPA 2.5%/VAR PERP REGS
        N/A
        
          
        
        900000.00000000
        PA
        
        1009314.85000000
        0.879952577780
        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
        
        1122025.15000000
        0.978216978653
        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
        
        253254.62000000
        0.220795379859
        Long
        DBT
        CORP
        GR
        N
        
        2
        
          2030-02-13
          Variable
          0.04250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GERMANY FEDERAL REPUBLIC OF
        529900AQBND3S6YJLY83
        GERMANY FEDERAL REPUBLIC OF 1.25% 08/15/2048 REGS
        N/A
        
          
        
        1195000.00000000
        PA
        
        1530575.90000000
        1.334404431574
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2048-08-15
          Fixed
          0.01250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SSE PLC
        549300KI75VYLLMSK856
        SSE PLC 3.74%/VAR PERP REGS
        N/A
        
          
        
        400000.00000000
        PA
        
        506412.08000000
        0.441506052561
        Long
        EP
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3229.73000000
        -0.00281578066
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            499000.00000000
            EUR
            549477.84000000
            USD
            2022-05-12
            -3229.73000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: EUR/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1954.09000000
        0.001703637405
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            114347.10000000
            USD
            105000.00000000
            EUR
            2022-05-12
            1954.09000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT AGRICOLE ASSURANCES SA
        969500K2MUPSI57XK083
        CRDT AGR ASSR 4.75/VAR 9/27/48
        N/A
        
          
        
        400000.00000000
        PA
        
        487891.65000000
        0.425359356493
        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
        
        514613.67000000
        0.448656457870
        Long
        EP
        CORP
        IE
        N
        
        2
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNPI ITXEX536 PAY 450 06/15/22
        N/A
        
          
        
        5300000.00000000
        NC
        
        31339.58000000
        0.027322836087
        N/A
        DCR
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            Put
            Purchased
            
              
                
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                  
                  
                    BNP PARIBAS
                    R0MUWSFPU8MPRO8K5P83
                    BNPI SWAP ITXEX536 12/20/26 B
                    N/A
                    
                      
                    
                    N/A
                    NC
                    
                    N/A
                    N/A
                    DCR
                    CORP
                    FR
                  
                  
                    
                      N/A
                      ITXEX536
                    
                  
                  
                  
                  2026-12-20
                  0.00000000
                  EUR
                  0.00000000
                  EUR
                  5300000.00000000
                  EUR
                
              
            
            1.00000000
            450.00000000
            EUR
            2022-06-15
            XXXX
            -95275.82000000
          
        
        
          N
          N
          N
        
      
      
        VODAFONE GRP PLC
        213800TB53ELEUKM7Q61
        VODAFONE GROUP PLC 6.25%/VAR 10/03/2078 REGS
        N/A
        
          
        
        200000.00000000
        PA
        USD
        205500.00000000
        0.179161393230
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2078-10-03
          Variable
          0.06250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            0.00000000
            EUR
            0.00000000
            USD
            2022-05-12
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        DANSKE BANK A/S
        MAES062Z21O4RZ2U7M96
        DANSKE BANK AS (UNGTD) 2.25%/VAR 01/14/2028 REGS
        N/A
        
          
        
        705000.00000000
        PA
        
        886720.41000000
        0.773070871344
        Long
        DBT
        CORP
        DK
        N
        
        2
        
          2028-01-14
          Variable
          0.02250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        0.00000000
        0.000000
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            0.00000000
            EUR
            0.00000000
            USD
            2022-05-12
            0.00000000
          
        
        
          N
          N
          N
        
      
      
        BAYER AG
        549300J4U55H3WP1XT59
        BAYER AG 2.375%/VAR 11/12/2079 REGS
        N/A
        
          
        
        1400000.00000000
        PA
        
        1494543.75000000
        1.302990464688
        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
        1964125.00000000
        1.712386235903
        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
        
        1049262.64000000
        0.914780323341
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2028-05-04
          Fixed
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF IRELAND GROUP PLC
        635400C8EK6DRI12LJ39
        BANK IRELAND GROUP PLC 2.375%/VAR 10/14/2029 REGS
        N/A
        
          
        
        800000.00000000
        PA
        
        876045.57000000
        0.763764208536
        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
        
        154944.14000000
        0.135085197057
        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
        
        514128.98000000
        0.448233889814
        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
        
        1094326.62000000
        0.954068525002
        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
        130413.14000000
        0.113698296145
        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
        297662.36000000
        0.259511450753
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2028-01-09
          Fixed
          0.04282000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENEL SPA
        WOCMU6HCI0OJWNPRZS33
        ENEL SOCIETA PER AZIONI 3.375%/VAR PERP REGS
        N/A
        
          
        
        550000.00000000
        PA
        
        617542.16000000
        0.538392767707
        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
        
        207545.78000000
        0.180944968875
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2026-02-23
          Fixed
          0.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        M and G PLC
        254900TWUJUQ44TQJY84
        PRUDENTIAL PLC 5.625%/VAR 10/20/2051 REGS
        N/A
        
          
        
        750000.00000000
        PA
        
        1074994.61000000
        0.937214267846
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2051-10-20
          Variable
          0.05625000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2864.20000000
        -0.00249710006
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            626000.00000000
            EUR
            690512.43000000
            USD
            2022-05-12
            -2864.20000000
          
        
        
          N
          N
          N
        
      
      
        HEIMSTADEN AB
        549300WD2QBD89VBPV88
        HEIMSTADEN AB 4.375% 03/06/2027 REGS
        N/A
        
          
        
        500000.00000000
        PA
        
        520214.06000000
        0.453539054829
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2027-03-06
          Fixed
          0.04375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGLIAN WATER (OSPREY) FINANCING PLC
        21380072JDZ74GW9ZY87
        ANGLIAN WATER (OSPREY) FINANCING PLC 2% 07/31/2028 REGS
        N/A
        
          
        
        175000.00000000
        PA
        
        213683.89000000
        0.186296367120
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-07-31
          Fixed
          0.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        332.52000000
        0.000289901442
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            132000.00000000
            EUR
            146539.73000000
            USD
            2022-05-12
            332.52000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC (UNGTD)
        2138005O9XJIJN4JPN90
        NATWEST GRP PLC(UNGTD) 3.619%/VAR 03/29/2029 REGS
        N/A
        
          
        
        600000.00000000
        PA
        
        797478.03000000
        0.695266544648
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-03-29
          Variable
          0.03619000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVIVA  PLC
        YF0Y5B0IB8SM0ZFG9G81
        AVIVA PLC 6.125%/VAR PERP
        N/A
        
          
        
        1010000.00000000
        PA
        
        1340054.37000000
        1.168301741768
        Long
        EP
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        SOUTHERN COMPANY
        549300FC3G3YU2FBZD92
        SOUTHERN COMPANY EUSA5 1.875/VAR 09/15/2081
        N/A
        
          
        
        1000000.00000000
        PA
        
        985091.29000000
        0.858833712775
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2081-09-15
          Variable
          0.01875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA 1.5%/VAR 01/13/2042 REGS
        N/A
        
          
        
        800000.00000000
        PA
        
        829333.50000000
        0.723039149938
        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
        
        492781.28000000
        0.429622290425
        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
        
        259281.59000000
        0.226049882741
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-03-30
          Fixed
          0.01625000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SSE PLC
        549300KI75VYLLMSK856
        SSE PLC 4.75%/VAR 09/16/2077 REGS
        N/A
        
          
        
        2500000.00000000
        PA
        USD
        2509725.00000000
        2.188057555350
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2077-09-16
          Variable
          0.04750000
          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
        350000.00000000
        0.305141059029
        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
        2285625.00000000
        1.992680094411
        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
        
        337194.96000000
        0.293977220553
        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
        
        260102.70000000
        0.226765752384
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-02-17
          Fixed
          0.03750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SYDNEY FUTURES EXCHANGE LTD
        N/A
        AUST 10Y BOND FUT JUN22 XMM2
        N/A
        
          
        
        7.00000000
        NC
        
        -29289.75000000
        -0.02553572952
        N/A
        DIR
        CORP
        AU
        N
        
        1
        
          
            
              SYDNEY FUTURES EXCHANGE LTD
              N/A
            
            Long
            
              
                AUSTRALIA, COMMONWEALTH OF
                AUST 10YR BOND FUT UNDERLYING
                
                  
                
              
            
            2022-06-15
            678906.75000000
            AUD
            -29289.75000000
          
        
        
          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
        
        620361.99000000
        0.540851184600
        Long
        DBT
        CORP
        LU
        N
        
        2
        
          2029-03-12
          Fixed
          0.01750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/GBP settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3078.59000000
        0.002684012036
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            550000.00000000
            GBP
            725427.45000000
            USD
            2022-05-12
            3078.59000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP PARIBAS 2.50%/VAR 03/31/2032 REGS
        N/A
        
          
        
        900000.00000000
        PA
        
        998378.90000000
        0.870418271024
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-03-31
          Variable
          0.02500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DANONE SA
        969500KMUQ2B6CBAF162
        DANONE 1.75/VAR PERP REGS
        N/A
        
          
        
        600000.00000000
        PA
        
        667314.34000000
        0.581785726894
        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
        566032.50000000
        0.493485018557
        Long
        EP
        CORP
        FR
        N
        
        2
        
          N
          N
          N
        
      
      
        CITYCON OYJ
        549300P8N0P6KDGTJ206
        CITYCON OYJ 4.496%/VAR PERP REGS
        N/A
        
          
        
        300000.00000000
        PA
        
        308643.75000000
        0.269085373536
        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
        196499.62000000
        0.171314577559
        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
        
        177187.45000000
        0.154477617542
        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
        
        149343.75000000
        0.130202600098
        Long
        EP
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: GBP/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -250.96000000
        -0.00021879485
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            82992.74000000
            USD
            63000.00000000
            GBP
            2022-05-12
            -250.96000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO BOARD OF TRADE
        N/A
        US 2YR NOTE (CBT) FUT JUN22 TUM2
        N/A
        
          
        
        51.00000000
        NC
        USD
        -128729.68000000
        -0.11223060252
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO BOARD OF TRADE
              N/A
            
            Long
            
              
                UST NOTES
                UST NOTES 0% 06/30/2040
                
                  
                
              
            
            2022-06-30
            10936745.31000000
            USD
            -128729.68000000
          
        
        
          N
          N
          N
        
      
      
        UBS GROUP AG
        549300SZJ9VS8SGXAN81
        UBS GROUP AG 7/VAR PERP RGS
        N/A
        
          
        
        200000.00000000
        PA
        USD
        211791.60000000
        0.184646608907
        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
        
        492496.97000000
        0.429374419984
        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
        
          
        
        2000000.00000000
        PA
        USD
        2050000.00000000
        1.787254774315
        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
        
        668843.11000000
        0.583118556885
        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
        
        1519710.94000000
        1.324932016143
        Long
        EP
        CORP
        LU
        
        N
        
        2
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS BANK USA
        KD3XUN7C6T14HNAYLU02
        FX Forward: USD/GBP settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        667778.71000000
        0.582190579333
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS BANK USA
              KD3XUN7C6T14HNAYLU02
            
            16851000.00000000
            GBP
            22799234.49000000
            USD
            2022-05-12
            667778.71000000
          
        
        
          N
          N
          N
        
      
      
        AEROPORTI DI ROMA SPA
        8156007259ABDEA3F444
        AEROPORTI DI ROMA SPA 1.625% 02/02/2029 REGS
        N/A
        
          
        
        100000.00000000
        PA
        
        104838.83000000
        0.091401804610
        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
        
        384799.77000000
        0.335480598091
        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
        
        1054577.21000000
        0.919413733393
        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
        
        738975.00000000
        0.644261754560
        Long
        EP
        CORP
        LU
        
        N
        
        2
        
          N
          N
          N
        
      
      
        M and G PLC
        254900TWUJUQ44TQJY84
        PRUDENTIAL PLC 6.5%/VAR 10/20/2048 REGS
        N/A
        
          
        
        500000.00000000
        PA
        USD
        544305.00000000
        0.474542297528
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2048-10-20
          Variable
          0.06500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAT INTERNATIONAL FINANCE PLC
        21380041YBGOQDFAC823
        BAT INTL FINANCE PLC 2.25% 06/26/2028 REGS
        N/A
        
          
        
        1250000.00000000
        PA
        
        1481248.76000000
        1.291399472321
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-06-26
          Fixed
          0.02250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZF FINANCE GMBH
        5493001N9T6QDCCXB426
        ZF FINANCE GMBH 2% 05/06/2027 REGS
        N/A
        
          
        
        300000.00000000
        PA
        
        298544.79000000
        0.260280781109
        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
        
        1375889.04000000
        1.199543539350
        Long
        DBT
        NUSS
        DE
        N
        
        2
        
          2035-05-15
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLOVERIE PLC
        5493002N598MXOKUEF55
        CLOVERIE PLC 4.5/VAR 09/11/2044 REGS
        N/A
        
          
        
        902000.00000000
        PA
        USD
        897057.04000000
        0.782082671986
        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
        2354344.30000000
        2.052591751491
        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
        
        705324.43000000
        0.614924124370
        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
        246627.50000000
        0.215017647245
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2031-04-01
          Variable
          0.04194000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECHNIP ENERGIES NV
        724500FLODI49NSCIP70
        TECHNIP ENERGIES NV 1.125% 05/28/2028 REGS
        N/A
        
          
        
        500000.00000000
        PA
        
        490476.96000000
        0.427613311439
        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
        
        1831905.75000000
        1.597113315991
        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
        
        276194.91000000
        0.240795449531
        Long
        EP
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        TRAVIS PERKINS PLC
        2138001I27OUBAF22K83
        TRAVIS PERKINS PLC 4.5% 09/07/2023 REGS
        N/A
        
          
        
        350000.00000000
        PA
        
        464375.28000000
        0.404857042075
        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
        
          
        
        2786862.68200000
        NS
        USD
        2787420.05000000
        2.430160874334
        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
        
        218687.37000000
        0.190658559080
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-06-02
          Fixed
          0.00950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO BOARD OF TRADE
        N/A
        US ULTRA BOND CBT FUT JUN22 WNM2
        N/A
        
          
        
        35.00000000
        NC
        USD
        -227636.53000000
        -0.19846071953
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO BOARD OF TRADE
              N/A
            
            Long
            
              
                UNITED STATES TREASURY BOND
                UNITED STATES TREASURY BOND 0% 06/30/2040
                
                  
                
              
            
            2022-06-21
            6427011.53000000
            USD
            -227636.53000000
          
        
        
          N
          N
          N
        
      
      
        AKELIUS RESIDENTIAL AB
        213800REBFN6T3PU8L97
        AKELIUS RESIDENTIAL AB 3.875/VAR 10/05/2078 REGS
        N/A
        
          
        
        251000.00000000
        PA
        
        285304.64000000
        0.248737599987
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2078-10-05
          Variable
          0.03875000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AKZO NOBEL NV
        724500XYIJUGXAA5QD70
        AKZO NOBEL NV 2% 03/28/2032 REGS
        N/A
        
          
        
        550000.00000000
        PA
        
        613629.91000000
        0.534981944541
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2032-03-28
          Fixed
          0.02000000
          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
        860386.50000000
        0.750112136527
        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: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -986.73000000
        -0.00086026239
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            96000.00000000
            EUR
            105345.79000000
            USD
            2022-05-12
            -986.73000000
          
        
        
          N
          N
          N
        
      
      
        PRUDENTIAL PLC
        5493001Z3ZE83NGK8Y12
        PRUDENTIAL PLC 2.95%/VAR 11/03/2033 REGS
        N/A
        
          
        
        1300000.00000000
        PA
        USD
        1196325.00000000
        1.042993935552
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2033-11-03
          Variable
          0.02950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BARCLAYS 7.625% 11/21/22
        06740L8C2
        
          
        
        776000.00000000
        PA
        USD
        795378.36000000
        0.693435985998
        Long
        EP
        CORP
        GB
        N
        
        2
        
          N
          N
          N
        
      
      
        QBE INS GROUP LTD
        549300D2FBW76FPUSG65
        QBE INS GROUP LTD 6.75%/VAR 12/02/2044 REGS
        N/A
        
          
        
        570000.00000000
        PA
        USD
        596362.50000000
        0.519927670901
        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
        
        311166.90000000
        0.271285135431
        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
        
        201684.86000000
        0.175835233630
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-16
          Fixed
          0.00625000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VOLKSWAGEN INTL FINANCE NV
        5299004PWNHKYTR23649
        VOLKSWAGEN INTL FINANCE NV 3.375/VAR PERP REGS
        N/A
        
          
        
        100000.00000000
        PA
        
        112091.89000000
        0.097725251494
        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
        
        709645.00000000
        0.618690933814
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2029-05-28
          Fixed
          0.01500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -420.14000000
        -0.00036629132
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            170000.00000000
            EUR
            187877.03000000
            USD
            2022-05-12
            -420.14000000
          
        
        
          N
          N
          N
        
      
      
        SAMHALLSBYGGNADSBOLAGET I NORDEN AB
        549300HX9MRFY47AH564
        SAMHALLSBYGGNADSBOLAGET I NORDEN AB 1.75% 01/14/2025 REGS
        N/A
        
          
        
        200000.00000000
        PA
        
        213489.44000000
        0.186126839466
        Long
        DBT
        CORP
        SE
        N
        
        2
        
          2025-01-14
          Fixed
          0.01750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1161.35000000
        -0.00101250162
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            207000.00000000
            EUR
            228118.14000000
            USD
            2022-05-12
            -1161.35000000
          
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/CAD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1193.97000000
        -0.00104094077
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            61000.00000000
            CAD
            47592.78000000
            USD
            2022-05-12
            -1193.97000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        PETROLEOS MEXICANOS 6.5% 03/13/2027
        71654QCG5
        
          
        
        1980000.00000000
        PA
        USD
        2003265.00000000
        1.746509724618
        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
        
        243665.66000000
        0.212435421547
        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
        994982.96000000
        0.867457583230
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2052-08-15
          Variable
          0.05625000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO BOARD OF TRADE
        N/A
        US LONG BOND(CBT) FUT JUN22 USM2
        N/A
        
          
        
        8.00000000
        NC
        USD
        -34446.55000000
        -0.03003159070
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO BOARD OF TRADE
              N/A
            
            Long
            
              
                UST NOTES
                UST NOTES 0% 06/30/2040
                
                  
                
              
            
            2022-06-21
            1234946.55000000
            USD
            -34446.55000000
          
        
        
          N
          N
          N
        
      
      
        SAMHALLSBYGGNADSBOLAGET I NORDEN AB
        549300HX9MRFY47AH564
        SAMHALLSBYGGNADSBOLAGET I NORDEN AB 2.624/VAR PERP REGS
        N/A
        
          
        
        650000.00000000
        PA
        
        610889.62000000
        0.532592873133
        Long
        EP
        CORP
        SE
        N
        
        2
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        FX Forward: EUR/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        2539.02000000
        0.002213597861
        N/A
        DFE
        CORP
        FR
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            205695.50000000
            USD
            188000.00000000
            EUR
            2022-05-12
            2539.02000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        JPSW SWAP CDS 12/20/26 ISPIM B
        N/A
        
          
        
        1000000.00000000
        NC
        
        -7556.02000000
        -0.00658757698
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            
              
                INTESA SANPAOLO SPA
                INTESA SANPAOLO SPA 2.125% 05/26/2025 REGS
                
                  
                
              
            
            Y
            
            
            2026-12-20
            0.00000000
            EUR
            24340.22000000
            EUR
            1000000.00000000
            EUR
            15410.61000000
          
        
        
          N
          N
          N
        
      
      
        NATWEST GROUP PLC (UNGTD)
        2138005O9XJIJN4JPN90
        NATWEST GRP PLC(UNGTD) 2.105/VAR 11/28/2031 REGS
        N/A
        
          
        
        650000.00000000
        PA
        
        795117.54000000
        0.693208594881
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-11-28
          Variable
          0.02105000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPHA TRAINS FINANCE SA
        529900FR0E130P05IY43
        ALPHA TRAINS FINANCE SA 2.064% 06/30/2030 REGS
        N/A
        
          
        
        802000.00000000
        PA
        
        896563.72000000
        0.781652580023
        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
        1083796.64000000
        0.944888155720
        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
        
        212515.94000000
        0.185278111406
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-10-07
          Fixed
          0.01750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1131.66000000
        0.000986616945
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            131000.00000000
            EUR
            146231.24000000
            USD
            2022-05-12
            1131.66000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/AUD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -3018.13000000
        -0.00263130109
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            91000.00000000
            AUD
            65113.14000000
            USD
            2022-05-12
            -3018.13000000
          
        
        
          N
          N
          N
        
      
      
        THE BERKELEY GROUP PLC
        2138001V85JLYR7AUB61
        THE BERKELEY GROUP PLC 2.5% 08/11/2031 REGS
        N/A
        
          
        
        400000.00000000
        PA
        
        461587.19000000
        0.402426297117
        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
        
        460926.95000000
        0.401850679023
        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
        1008000.00000000
        0.878806250004
        Long
        EP
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        EUREX DEUTSCHLAND
        N/A
        EURO-BUND FUTURE JUN22 RXM2
        N/A
        
          
        
        15.00000000
        NC
        
        -104986.09000000
        -0.09153019053
        N/A
        DIR
        CORP
        DE
        N
        
        1
        
          
            
              EUREX DEUTSCHLAND
              N/A
            
            Long
            
              
                GERMANY FEDERAL REPUBLIC OF
                EURO-BUND FUT UNDERLYING GENERIC IV FOR FUTURES TRADING
                
                  
                
              
            
            2022-06-08
            2744769.99000000
            EUR
            -104986.09000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2801.49000000
        -0.00244242750
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            408000.00000000
            EUR
            449111.71000000
            USD
            2022-05-12
            -2801.49000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-04-14
        N/A
        
          
        
        1.00000000
        NC
        N/A
        854888.65000000
        0.745318937180
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            30187814.73000000
            EUR
            34260000.00000000
            USD
            2022-04-14
            854888.65000000
          
        
        
          N
          N
          N
        
      
      
        NGG FINANCE PLC
        549300MLDJ2T68G21W86
        NGG FINANCE PLC 2.125/VAR 09/05/2082 REGS
        N/A
        
          
        
        1000000.00000000
        PA
        
        1032960.94000000
        0.900567986193
        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
        173740.00000000
        0.151472021702
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2031-02-09
          Fixed
          0.02125000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ACCOR SA
        969500QZC2Q0TK11NV07
        ACCOR SA 2.375% 11/29/2028 REGS
        N/A
        
          
        
        300000.00000000
        PA
        
        318110.15000000
        0.277338480168
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-11-29
          Fixed
          0.02375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        3355.67000000
        0.002925579135
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            879000.00000000
            EUR
            976962.79000000
            USD
            2022-05-12
            3355.67000000
          
        
        
          N
          N
          N
        
      
      
        TELEFONICA EUROPE BV
        7245007FZS0M65WUGP67
        TELEFONICA EUROPE BV 2.625/VAR PERP REGS
        N/A
        
          
        
        500000.00000000
        PA
        
        557273.44000000
        0.485848593287
        Long
        EP
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -2297.08000000
        -0.00200266692
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            274000.00000000
            EUR
            301193.65000000
            USD
            2022-05-12
            -2297.08000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, N.A.
        E57ODZWZ7FF32TWEFA76
        FX Forward: EUR/USD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        673.38000000
        0.000587073960
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, N.A.
              E57ODZWZ7FF32TWEFA76
            
            73537.86000000
            USD
            67000.00000000
            EUR
            2022-05-12
            673.38000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        569327.94000000
        0.496358087276
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            18245000.00000000
            EUR
            20778044.58000000
            USD
            2022-05-12
            569327.94000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GRP AG
        549300506SI9CRFV9Z86
        CREDIT SUISSE GRP AG 2.125%/VAR 11/15/2029 REGS
        N/A
        
          
        
        500000.00000000
        PA
        
        598149.51000000
        0.521485642683
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2029-11-15
          Variable
          0.02125000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE STREET BANK AND TRUST COMPANY
        571474TGEMMWANRLN572
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        309.98000000
        0.000270250358
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              STATE STREET BANK AND TRUST COMPANY
              571474TGEMMWANRLN572
            
            68000.00000000
            EUR
            75628.85000000
            USD
            2022-05-12
            309.98000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/GBP settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        1291.85000000
        0.001126275648
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            57000.00000000
            GBP
            76153.46000000
            USD
            2022-05-12
            1291.85000000
          
        
        
          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
        158840.26000000
        0.138481957579
        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
        
        476362.31000000
        0.415307713586
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2081-08-31
          Variable
          0.01375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE FINANCIALS
        N/A
        LONG GILT FUTURE JUN22 G M2
        N/A
        
          
        
        -19.00000000
        NC
        
        18045.04000000
        0.015732236045
        N/A
        DIR
        CORP
        GB
        N
        
        1
        
          
            
              ICE FUTURES EUROPE FINANCIALS
              N/A
            
            Short
            
              
                UNITED KINGDOM,G.B. and N.IRELAND
                LONG GILT FUTURE UNDERLYING
                
                  
                
              
            
            2022-06-28
            -3103825.79000000
            GBP
            18045.04000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/CAD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1542.03000000
        -0.00134439047
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            80000.00000000
            CAD
            62440.60000000
            USD
            2022-05-12
            -1542.03000000
          
        
        
          N
          N
          N
        
      
      
        TELEFONICA EUROPE BV
        7245007FZS0M65WUGP67
        TELEFONICA EUROPE BV 3.875%/VAR PERP REGS
        N/A
        
          
        
        500000.00000000
        PA
        
        557964.85000000
        0.486451386372
        Long
        EP
        CORP
        NL
        
        N
        
        2
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/EUR settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -1467.88000000
        -0.00127974416
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            110000.00000000
            EUR
            120371.46000000
            USD
            2022-05-12
            -1467.88000000
          
        
        
          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
        541728.00000000
        0.472295587502
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2052-05-02
          Variable
          0.03500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX DEUTSCHLAND
        N/A
        EURO-BOBL FUTURE JUN22 OEM2
        N/A
        
          
        
        -37.00000000
        NC
        
        74989.92000000
        0.065378581729
        N/A
        DIR
        CORP
        DE
        N
        
        1
        
          
            
              EUREX DEUTSCHLAND
              N/A
            
            Short
            
              
                GERMANY FEDERAL REPUBLIC OF
                EURO-BOBL FUT UNDERLYING
                
                  
                
              
            
            2022-06-08
            -5346952.89000000
            EUR
            74989.92000000
          
        
        
          N
          N
          N
        
      
      
        HEIMSTADEN BOSTAD AB
        549300TJR3PR8EXILG79
        HEIMSTADEN BOSTAD AB 3.248%/VAR PERP REGS
        N/A
        
          
        
        1500000.00000000
        PA
        
        1565172.29000000
        1.364566657526
        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
        
        560039.06000000
        0.488259748189
        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
        
        273012.54000000
        0.238020958811
        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
        
        489506.41000000
        0.426767155283
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-12-15
          Variable
          0.01985000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK NA NEW YORK NY
        7H6GLXDRUGQFU57RNE97
        FX Forward: USD/CAD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -320.17000000
        -0.00027913432
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK NA NEW YORK NY
              7H6GLXDRUGQFU57RNE97
            
            51000.00000000
            CAD
            40468.75000000
            USD
            2022-05-12
            -320.17000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK AG 4%/VAR 06/24/2032 REGS
        N/A
        
          
        
        800000.00000000
        PA
        
        885920.40000000
        0.772373397347
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2032-06-24
          Variable
          0.04000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA NA
        1IE8VN30JCEQV1H4R804
        FX Forward: USD/CAD settle 2022-05-12
        N/A
        
          
        
        1.00000000
        NC
        N/A
        -459.21000000
        -0.00040035378
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA NA
              1IE8VN30JCEQV1H4R804
            
            90000.00000000
            CAD
            71521.25000000
            USD
            2022-05-12
            -459.21000000
          
        
        
          N
          N
          N
        
      
    
    
      2022-04-30
      Laura M. Del Prato
      Laura M. Del Prato
      Laura M. Del Prato
      President and Treasurer
    
  
  XXXX



Quarterly Holdings Report
for
Fidelity® Series International Credit Fund
March 31, 2022
SUN-NPRT1-0522
1.9882624.104
Nonconvertible Bonds - 60.7%
 
 
Principal
Amount (a)
 
Value ($)
 
Australia - 1.9%
 
 
 
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (b)
EUR
150,000
154,944
Leighton Finance U.S.A. Pty Ltd. 1.5% 5/28/29 (Reg. S)
EUR
700,000
709,645
QBE Insurance Group Ltd.:
 
 
 
 2.5% 9/13/38 (Reg. S) (b)
GBP
600,000
705,324
 6.75% 12/2/44 (Reg. S) (b)
 
570,000
596,363
TOTAL AUSTRALIA
 
 
2,166,276
Bailiwick of Guernsey - 0.3%
 
 
 
Sirius Real Estate Ltd. 1.125% 6/22/26 (Reg. S)
EUR
300,000
308,155
Bailiwick of Jersey - 1.6%
 
 
 
Heathrow Funding Ltd.:
 
 
 
 2.625% 3/16/28 (Reg. S)
GBP
650,000
798,748
 7.125% 2/14/24
GBP
750,000
1,054,584
TOTAL BAILIWICK OF JERSEY
 
 
1,853,332
Cayman Islands - 0.4%
 
 
 
Alibaba Group Holding Ltd. 2.125% 2/9/31
 
200,000
173,740
Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S)
GBP
208,000
259,282
TOTAL CAYMAN ISLANDS
 
 
433,022
Czech Republic - 0.1%
 
 
 
CEZ A/S 2.375% 4/6/27 (Reg. S)
EUR
150,000
165,959
Denmark - 0.8%
 
 
 
Danske Bank A/S 2.25% 1/14/28 (Reg. S) (b)
GBP
705,000
886,720
France - 5.4%
 
 
 
Accor SA 2.375% 11/29/28 (Reg. S)
EUR
300,000
318,110
BNP Paribas SA:
 
 
 
 2.159% 9/15/29 (b)(c)
 
225,000
200,175
 2.5% 3/31/32 (Reg. S) (b)
EUR
900,000
998,379
BPCE SA 1.5% 1/13/42 (Reg. S) (b)
EUR
800,000
829,334
Credit Agricole Assurances SA 4.75% 9/27/48 (b)
EUR
400,000
487,892
Holding d'Infrastructures et des Metiers de l'Environnement 0.625% 9/16/28 (Reg. S)
EUR
200,000
201,685
Iliad SA:
 
 
 
 0.75% 2/11/24 (Reg. S)
EUR
1,700,000
1,817,624
 1.5% 10/14/24 (Reg. S)
EUR
200,000
214,590
 1.875% 2/11/28 (Reg. S)
EUR
200,000
198,055
Lagardere S.C.A.:
 
 
 
 1.625% 6/21/24 (Reg. S)
EUR
100,000
110,066
 1.75% 10/7/27 (Reg. S)
EUR
200,000
212,516
Societe Generale 4.75% 11/24/25 (c)
 
200,000
201,697
Valeo SA 1% 8/3/28 (Reg. S)
EUR
400,000
384,800
TOTAL FRANCE
 
 
6,174,923
Germany - 4.8%
 
 
 
ACCENTRO Real Estate AG 3.625% 2/13/23 (Reg. S)
EUR
525,000
492,781
Bayer AG:
 
 
 
 2.375% 4/2/75 (Reg. S) (b)
EUR
2,500,000
2,779,446
 3.75% 7/1/74 (Reg. S) (b)
EUR
500,000
560,039
Deutsche Bank AG 4% 6/24/32 (Reg. S) (b)
EUR
800,000
885,920
EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (b)
EUR
500,000
476,362
ZF Finance GmbH 2% 5/6/27 (Reg. S)
EUR
300,000
298,545
TOTAL GERMANY
 
 
5,493,093
Greece - 0.2%
 
 
 
Alpha Bank SA 4.25% 2/13/30 (Reg. S) (b)
EUR
250,000
253,255
Hong Kong - 0.3%
 
 
 
AIA Group Ltd. 0.88% 9/9/33 (Reg. S) (b)
EUR
300,000
300,513
Ireland - 6.7%
 
 
 
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 6.5% 7/15/25
 
150,000
158,840
AIB Group PLC:
 
 
 
 1.875% 11/19/29 (Reg. S) (b)
EUR
1,000,000
1,081,023
 2.25% 4/4/28 (Reg. S) (b)
EUR
1,200,000
1,331,552
 2.875% 5/30/31 (Reg. S) (b)
EUR
250,000
273,013
Bank of Ireland Group PLC:
 
 
 
 1.375% 8/11/31 (Reg. S) (b)
EUR
800,000
821,291
 2.029% 9/30/27 (b)(c)
 
950,000
860,387
 2.375% 10/14/29 (Reg. S) (b)
EUR
800,000
876,046
 3.125% 9/19/27 (Reg. S) (b)
GBP
650,000
854,188
Cloverie PLC 4.5% 9/11/44 (Reg. S) (b)
 
902,000
897,057
Zurich Finance (Ireland) DAC 3.5% 5/2/52 (Reg. S) (b)
 
600,000
541,728
TOTAL IRELAND
 
 
7,695,125
Italy - 2.5%
 
 
 
Aeroporti di Roma SPA:
 
 
 
 1.625% 2/2/29 (Reg. S)
EUR
100,000
104,839
 1.75% 7/30/31 (Reg. S)
EUR
175,000
177,187
Autostrade per L'italia SpA 2.25% 1/25/32 (Reg. S)
EUR
700,000
726,960
Enel SpA 3.375% (Reg. S) (b)(d)
EUR
550,000
617,542
UniCredit SpA:
 
 
 
 2.731% 1/15/32 (Reg. S) (b)
EUR
1,050,000
1,094,327
 5.861% 6/19/32 (b)(c)
 
200,000
196,500
TOTAL ITALY
 
 
2,917,355
Luxembourg - 4.7%
 
 
 
ADLER Group SA:
 
 
 
 1.875% 1/14/26 (Reg. S)
EUR
2,000,000
1,831,906
 2.25% 4/27/27 (Reg. S)
EUR
200,000
180,872
Alpha Trains Finance SA 2.064% 6/30/30
EUR
802,000
896,564
Blackstone Property Partners Europe LP:
 
 
 
 1% 5/4/28 (Reg. S)
EUR
1,050,000
1,049,263
 1.75% 3/12/29 (Reg. S)
EUR
600,000
620,362
 2.625% 10/20/28 (Reg. S)
GBP
250,000
306,574
GTC Aurora Luxembourg SA 2.25% 6/23/26 (Reg. S)
EUR
500,000
492,497
TOTAL LUXEMBOURG
 
 
5,378,038
Mexico - 2.0%
 
 
 
Petroleos Mexicanos:
 
 
 
 2.5% 11/24/22 (Reg. S)
EUR
300,000
331,543
 6.5% 3/13/27
 
1,980,000
2,003,265
TOTAL MEXICO
 
 
2,334,808
Netherlands - 3.6%
 
 
 
Demeter Investments BV:
 
 
 
 5.625% 8/15/52 (Reg. S) (b)
 
964,000
994,983
 5.75% 8/15/50 (Reg. S) (b)
 
1,300,000
1,334,450
GSK Consumer Healthcare Capital 2.125% 3/29/34 (Reg. S)
EUR
450,000
504,712
JDE Peet's BV 2.25% 9/24/31 (c)
 
150,000
130,413
Technip Energies NV 1.125% 5/28/28
EUR
500,000
490,477
VIA Outlets 1.75% 11/15/28 (Reg. S)
EUR
450,000
458,515
ZF Europe Finance BV 2% 2/23/26 (Reg. S)
EUR
200,000
207,546
TOTAL NETHERLANDS
 
 
4,121,096
Portugal - 0.3%
 
 
 
Fidelidade-Companhia de Seguros SA 4.25% 9/4/31 (Reg. S) (b)
EUR
300,000
337,195
Spain - 0.8%
 
 
 
Cellnex Finance Co. SA 1% 9/15/27 (Reg. S)
EUR
900,000
902,389
Sweden - 1.1%
 
 
 
Akelius Residential Property AB 3.875% 10/5/78 (Reg. S) (b)
EUR
251,000
285,305
Heimstaden AB 4.375% 3/6/27 (Reg. S)
EUR
500,000
520,214
Samhallsbyggnadsbolaget I Norden AB:
 
 
 
 1% 8/12/27 (Reg. S)
EUR
250,000
241,309
 1.75% 1/14/25 (Reg. S)
EUR
200,000
213,489
TOTAL SWEDEN
 
 
1,260,317
Switzerland - 2.8%
 
 
 
Credit Suisse Group AG:
 
 
 
 2.125% 11/15/29 (Reg. S) (b)
GBP
500,000
598,150
 4.194% 4/1/31 (b)(c)
 
250,000
246,628
 4.282% 1/9/28 (c)
 
298,000
297,662
 6.5% 8/8/23 (Reg. S)
 
2,000,000
2,050,000
TOTAL SWITZERLAND
 
 
3,192,440
United Kingdom - 19.3%
 
 
 
Anglian Water (Osprey) Financing PLC 2% 7/31/28 (Reg. S)
GBP
175,000
213,684
Barclays PLC 2% 2/7/28 (Reg. S) (b)
EUR
500,000
556,167
BAT International Finance PLC 2.25% 6/26/28 (Reg. S)
GBP
1,250,000
1,481,249
Imperial Tobacco Finance PLC 3.5% 7/26/26 (c)
 
2,407,000
2,354,344
InterContinental Hotel Group PLC 3.375% 10/8/28 (Reg. S)
GBP
860,000
1,122,025
John Lewis PLC 6.125% 1/21/25
GBP
1,194,000
1,663,659
Lloyds Banking Group PLC 1.985% 12/15/31 (b)
GBP
400,000
489,506
M&G PLC:
 
 
 
 5.625% 10/20/51 (Reg. S) (b)
GBP
750,000
1,074,995
 6.5% 10/20/48 (Reg. S) (b)
 
500,000
544,305
Marks & Spencer PLC:
 
 
 
 3.75% 5/19/26 (Reg. S)
GBP
400,000
514,129
 4.5% 7/10/27 (Reg. S)
GBP
520,000
668,843
NatWest Group PLC:
 
 
 
 2.105% 11/28/31 (Reg. S) (b)
GBP
650,000
795,118
 3.619% 3/29/29 (Reg. S) (b)
GBP
600,000
797,478
 3.622% 8/14/30 (Reg. S) (b)
GBP
250,000
327,534
NGG Finance PLC 2.125% 9/5/82 (Reg. S) (b)
EUR
1,000,000
1,032,961
Prudential PLC 2.95% 11/3/33 (Reg. S) (b)
 
1,300,000
1,196,325
Rolls-Royce PLC 3.375% 6/18/26
GBP
740,000
916,205
SSE PLC 4.75% 9/16/77 (Reg. S) (b)
 
2,500,000
2,509,725
The Berkeley Group PLC 2.5% 8/11/31 (Reg. S)
GBP
400,000
461,587
Travis Perkins PLC:
 
 
 
 3.75% 2/17/26 (Reg. S)
GBP
200,000
260,103
 4.5% 9/7/23 (Reg. S)
GBP
350,000
464,375
Tritax EuroBox PLC 0.95% 6/2/26 (Reg. S)
EUR
210,000
218,687
Virgin Money UK PLC 5.125% 12/11/30 (Reg. S) (b)
GBP
400,000
543,134
Vodafone Group PLC:
 
 
 
 4.875% 10/3/78 (Reg. S) (b)
GBP
250,000
331,592
 6.25% 10/3/78 (Reg. S) (b)
 
200,000
205,500
Whitbread PLC:
 
 
 
 2.375% 5/31/27 (Reg. S)
GBP
250,000
310,847
 3.375% 10/16/25 (Reg. S)
GBP
800,000
1,054,577
TOTAL UNITED KINGDOM
 
 
22,108,654
United States of America - 1.1%
 
 
 
MPT Operating Partnership LP/MPT Finance Corp. 2.5% 3/24/26
GBP
250,000
311,167
Southern Co. 1.875% 9/15/81 (b)
EUR
1,000,000
985,091
TOTAL UNITED STATES OF AMERICA
 
 
1,296,258
 
TOTAL NONCONVERTIBLE BONDS
 (Cost $75,512,709)
 
 
 
69,578,923
 
 
 
 
U.S. Government and Government Agency Obligations - 1.6%
 
 
Principal
Amount (a)
 
Value ($)
 
U.S. Treasury Obligations - 1.6%
 
 
 
U.S. Treasury Notes 0.75% 3/31/26 (e)
  (Cost $1,953,787)
 
1,960,000
1,827,777
 
 
 
 
Foreign Government and Government Agency Obligations - 3.8%
 
 
Principal
Amount (a)
 
Value ($)
 
Germany - 3.8%
 
 
 
German Federal Republic:
 
 
 
 0% 8/15/31
EUR
1,050,000
1,107,499
 0% 2/15/32 (Reg. S)
EUR
330,000
346,042
 0% 5/15/35 (Reg. S)
EUR
1,350,000
1,375,889
 1.25% 8/15/48
EUR
1,195,000
1,530,576
 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
 (Cost $5,117,405)
 
 
 
4,360,006
 
 
 
 
Preferred Securities - 28.6%
 
 
Principal
Amount (a)
 
Value ($)
 
Australia - 1.5%
 
 
 
QBE Insurance Group Ltd.:
 
 
 
 5.25% (Reg. S) (b)(d)
 
1,100,000
1,083,797
 5.875% (b)(c)(d)
 
650,000
665,438
TOTAL AUSTRALIA
 
 
1,749,235
Canada - 1.0%
 
 
 
Bank of Nova Scotia:
 
 
 
 4.65% (b)(d)
 
800,000
772,200
 4.9% (b)(d)
 
350,000
350,000
TOTAL CANADA
 
 
1,122,200
Finland - 0.3%
 
 
 
Citycon Oyj 4.496% (Reg. S) (b)(d)
EUR
300,000
308,644
France - 4.0%
 
 
 
BNP Paribas SA 6.625% (Reg. S) (b)(d)
 
550,000
566,033
Danone SA 1.75% (Reg. S) (b)(d)
EUR
600,000
667,314
EDF SA 5.25% (Reg. S) (b)(d)
 
2,300,000
2,285,625
Societe Generale 7.875% (Reg. S) (b)(d)
 
200,000
209,000
Veolia Environnement SA 2% (Reg. S) (b)(d)
EUR
900,000
918,404
TOTAL FRANCE
 
 
4,646,376
Germany - 1.3%
 
 
 
Bayer AG 2.375% 11/12/79 (Reg. S) (b)
EUR
1,400,000
1,494,544
Ireland - 0.4%
 
 
 
AIB Group PLC 6.25% (Reg. S) (b)(d)
EUR
450,000
514,614
Italy - 0.9%
 
 
 
Enel SpA 2.5% (Reg. S) (b)(d)
EUR
900,000
1,009,315
Luxembourg - 3.1%
 
 
 
Aroundtown SA 3.375% (Reg. S) (b)(d)
EUR
1,400,000
1,519,711
CPI Property Group SA 3.75% (Reg. S) (b)(d)
EUR
800,000
738,975
Grand City Properties SA 1.5% (Reg. S) (b)(d)
EUR
1,300,000
1,274,653
TOTAL LUXEMBOURG
 
 
3,533,339
Netherlands - 6.1%
 
 
 
AerCap Holdings NV 5.875% 10/10/79 (b)
 
1,050,000
1,008,000
AT Securities BV 5.25% (Reg. S) (b)(d)
 
750,000
739,913
Stichting AK Rabobank Certificaten NETHERLANDS GOV 10YR BOND INDX + 1.500% 6.5% 12/31/99 (b)(d)(f)
EUR
379,300
488,835
Telefonica Europe BV:
 
 
 
 2.625% (Reg. S) (b)(d)
EUR
500,000
557,273
 3.875% (Reg. S) (b)(d)
EUR
500,000
557,965
Volkswagen International Finance NV:
 
 
 
 3.375% (Reg. S) (b)(d)
EUR
100,000
112,092
 3.748% (b)(d)
EUR
300,000
330,566
 3.875% (Reg. S) (b)(d)
EUR
900,000
979,446
 4.625% (Reg. S) (b)(d)
EUR
1,900,000
2,196,459
TOTAL NETHERLANDS
 
 
6,970,549
Spain - 0.4%
 
 
 
Banco Bilbao Vizcaya Argentaria SA 5.875% (Reg. S) (b)(d)
EUR
400,000
456,881
Sweden - 2.0%
 
 
 
Heimstaden Bostad AB:
 
 
 
 3.248% (Reg. S) (b)(d)
EUR
1,500,000
1,565,172
 3.625% (Reg. S) (b)(d)
EUR
150,000
149,344
Samhallsbyggnadsbolaget I Norden AB 2.624% (Reg. S) (b)(d)
EUR
650,000
610,890
TOTAL SWEDEN
 
 
2,325,406
Switzerland - 1.9%
 
 
 
Credit Suisse Group AG 7.5% (Reg. S) (b)(d)
 
1,900,000
1,964,125
UBS Group AG 7% (Reg. S) (b)(d)
 
200,000
211,792
TOTAL SWITZERLAND
 
 
2,175,917
United Kingdom - 5.7%
 
 
 
Aviva PLC 6.125% (b)(d)
GBP
1,010,000
1,340,054
Barclays Bank PLC 7.625% 11/21/22
 
776,000
795,378
Barclays PLC:
 
 
 
 5.875% (Reg. S) (b)(d)
GBP
350,000
460,927
 7.125% (b)(d)
GBP
200,000
276,195
British American Tobacco PLC 3% (Reg. S) (b)(d)
EUR
1,900,000
1,907,452
HSBC Holdings PLC 6.375% (b)(d)
 
950,000
982,937
National Express Group PLC 4.25% (Reg. S) (b)(d)
GBP
190,000
243,666
SSE PLC 3.74% (Reg. S) (b)(d)
GBP
400,000
506,412
TOTAL UNITED KINGDOM
 
 
6,513,021
 
TOTAL PREFERRED SECURITIES
 (Cost $35,637,104)
 
 
 
32,820,041
 
 
 
 
Money Market Funds - 2.4%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 0.31% (g)
 
 (Cost $2,787,420)
 
 
2,786,863
2,787,420
 
 
 
 
Purchased Swaptions - 0.1%
 
Expiration
Date
Notional
Amount (a)
Value ($)
Put Options - 0.1%
 
 
 
 
Option with an exercise rate of 4.0% on a credit default swap with Barclays Bank PLC to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly.
6/15/22
EUR
2,650,000
21,416
Option with an exercise rate of 4.0% on a credit default swap with JPMorgan Chase Bank N.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 37 Index expiring December 2026, paying 5% quarterly.
6/15/22
EUR
2,000,000
22,041
Option with an exercise rate of 4.5% on a credit default swap with BNP Paribas S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 36 Index expiring December 2026, paying 5% quarterly.
6/15/22
EUR
5,300,000
31,340
 
 
 
 
 
TOTAL PURCHASED SWAPTIONS
 (Cost $243,264)
 
 
 
 
74,797
 
TOTAL INVESTMENT IN SECURITIES - 97.2%
 (Cost $121,251,689)
 
 
 
111,448,964
NET OTHER ASSETS (LIABILITIES) - 2.8%  
3,245,765
NET ASSETS - 100.0%
114,694,729
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
 
 
 
 
 
 
 
 
 
 
 
Bond Index Contracts
 
 
 
 
 
ASX 10 Year Treasury Bond Index Contracts (Australia)
7
Jun 2022
663,893
(29,290)
(29,290)
Eurex Euro-Bund Contracts (Germany)
22
Jun 2022
3,861,388
(104,019)
(104,019)
Eurex Euro-Buxl 30 Year Bond Contracts (Germany)
5
Jun 2022
1,029,919
(69,326)
(69,326)
TME 10 Year Canadian Note Contracts (Canada)
37
Jun 2022
3,864,112
(165,477)
(165,477)
 
 
 
 
 
 
TOTAL BOND INDEX CONTRACTS
 
 
 
 
(368,112)
 
 
 
 
 
 
Treasury Contracts
 
 
 
 
 
CBOT 2-Year U.S. Treasury Note Contracts (United States)
51
Jun 2022
10,808,016
(128,730)
(128,730)
CBOT 5-Year U.S. Treasury Note Contracts (United States)
87
Jun 2022
9,977,813
(239,220)
(239,220)
CBOT Long Term U.S. Treasury Bond Contracts (United States)
8
Jun 2022
1,200,500
(34,447)
(34,447)
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States)
44
Jun 2022
5,960,625
(195,691)
(195,691)
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)
35
Jun 2022
6,199,375
(227,637)
(227,637)
 
 
 
 
 
 
TOTAL TREASURY CONTRACTS
 
 
 
 
(825,725)
 
 
 
 
 
 
TOTAL PURCHASED
 
 
 
 
(1,193,837)
 
 
 
 
 
 
Sold
 
 
 
 
 
 
 
 
 
 
 
Bond Index Contracts
 
 
 
 
 
Eurex Euro-Bobl Contracts (Germany)
38
Jun 2022
5,416,952
75,152
75,152
ICE Long Gilt Contracts (United Kingdom)
19
Jun 2022
3,025,822
18,068
18,068
 
 
 
 
 
 
TOTAL SOLD
 
 
 
 
93,220
 
 
 
 
 
 
TOTAL FUTURES CONTRACTS
 
 
 
 
(1,100,617)
The notional amount of futures purchased as a percentage of Net Assets is 38.0%
The notional amount of futures sold as a percentage of Net Assets is 7.3%
 
 Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
Counterparty
Settlement
Date
Unrealized  
Appreciation/
(Depreciation) ($)
 
 
 
 
 
 
 
EUR
649,000
USD
721,493
BNP Paribas
4/04/22
(3,537)
USD
34,260,000
EUR
30,187,815
JPMorgan Chase Bank, N.A.
4/14/22
854,889
CAD
246,000
USD
196,897
Goldman Sachs Bank USA
5/12/22
(151)
CAD
95,000
USD
74,904
JPMorgan Chase Bank, N.A.
5/12/22
1,075
EUR
160,000
USD
180,643
BNP Paribas
5/12/22
(3,422)
EUR
1,099,000
USD
1,237,859
BNP Paribas
5/12/22
(20,573)
EUR
105,000
USD
114,347
BNP Paribas
5/12/22
1,954
EUR
188,000
USD
205,696
BNP Paribas
5/12/22
2,539
EUR
155,000
USD
172,530
BNP Paribas
5/12/22
(847)
EUR
67,000
USD
73,538
Citibank NA
5/12/22
673
EUR
70,000
USD
77,223
Royal Bank Of Canada
5/12/22
311
GBP
162,000
USD
217,388
Goldman Sachs Bank USA
5/12/22
(4,623)
GBP
61,000
USD
80,076
Goldman Sachs Bank USA
5/12/22
39
GBP
97,000
USD
127,687
JPMorgan Chase Bank, N.A.
5/12/22
(291)
GBP
63,000
USD
82,993
State Street Bank And Trust Co
5/12/22
(251)
USD
65,113
AUD
91,000
HSBC Bank USA
5/12/22
(3,018)
USD
62,441
CAD
80,000
HSBC Bank USA
5/12/22
(1,542)
USD
71,521
CAD
90,000
HSBC Bank USA
5/12/22
(459)
USD
40,469
CAD
51,000
JPMorgan Chase Bank, N.A.
5/12/22
(320)
USD
133,318
CAD
170,000
Royal Bank Of Canada
5/12/22
(2,645)
USD
47,593
CAD
61,000
State Street Bank And Trust Co
5/12/22
(1,194)
USD
146,540
EUR
132,000
BNP Paribas
5/12/22
333
USD
120,371
EUR
110,000
HSBC Bank USA
5/12/22
(1,468)
USD
20,778,045
EUR
18,245,000
JPMorgan Chase Bank, N.A.
5/12/22
569,328
USD
111,149
EUR
98,000
JPMorgan Chase Bank, N.A.
5/12/22
2,601
USD
366,347
EUR
328,000
JPMorgan Chase Bank, N.A.
5/12/22
3,044
USD
146,231
EUR
131,000
JPMorgan Chase Bank, N.A.
5/12/22
1,132
USD
105,346
EUR
96,000
JPMorgan Chase Bank, N.A.
5/12/22
(987)
USD
301,194
EUR
274,000
JPMorgan Chase Bank, N.A.
5/12/22
(2,297)
USD
449,112
EUR
408,000
JPMorgan Chase Bank, N.A.
5/12/22
(2,801)
USD
976,963
EUR
879,000
JPMorgan Chase Bank, N.A.
5/12/22
3,356
USD
75,629
EUR
68,000
State Street Bank And Trust Co
5/12/22
310
USD
228,118
EUR
207,000
State Street Bank And Trust Co
5/12/22
(1,161)
USD
187,877
EUR
170,000
State Street Bank And Trust Co
5/12/22
(420)
USD
690,512
EUR
626,000
State Street Bank And Trust Co
5/12/22
(2,864)
USD
549,478
EUR
499,000
State Street Bank And Trust Co
5/12/22
(3,230)
USD
22,799,234
GBP
16,851,000
Goldman Sachs Bank USA
5/12/22
667,779
USD
76,153
GBP
57,000
HSBC Bank USA
5/12/22
1,292
USD
76,835
GBP
58,000
HSBC Bank USA
5/12/22
660
USD
24,005
GBP
18,000
Royal Bank Of Canada
5/12/22
365
USD
725,427
GBP
550,000
State Street Bank And Trust Co
5/12/22
3,079
 
 
 
 
 
 
 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
 
2,056,658
 
 
 
 
 
 
 
Unrealized Appreciation
 
 
2,114,759
Unrealized Depreciation
 
 
(58,101)
 Credit Default Swaps
Underlying Reference
Maturity
Date
Clearinghouse /
Counterparty
Fixed
Payment
Received/
(Paid)
Payment
Frequency
Notional
Amount(1)
Value ($)
Upfront
Premium
Received/
(Paid) ($)
Unrealized
Appreciation/
(Depreciation) ($)
Buy Protection
 
 
 
 
 
 
 
 
 
 
Intesa Sanpaolo SpA
 
Dec 2026
JPMorgan Chase Bank, N.A.
(1%)
Quarterly
EUR
1,000,000
(7,556)
24,340
16,784
Shell International Finance BV
 
Dec 2026
Citibank, N.A.
(1%)
Quarterly
EUR
1,000,000
(34,411)
34,570
159
 
 
 
 
 
 
 
 
 
 
 
TOTAL CREDIT DEFAULT SWAPS
 
 
 
 
 
 
 
(41,967)
58,910
16,943
 
(1)Notional amount is stated in U.S. Dollars unless otherwise noted
 
 
 
 
Currency Abbreviations
         AUD
-
Australian dollar
         CAD
-
Canadian dollar
         EUR
-
European Monetary Unit
         GBP
-
British pound sterling
         USD
-
U.S. dollar
 
Categorizations in Schedule of Investments are based on country or territory of incorporation.
 
Legend
 
(a)
Amount is stated in United States dollars unless otherwise noted.
 
(b)
Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
 
(c)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $5,153,244 or 4.5% of net assets.
 
(d)
Security is perpetual in nature with no stated maturity date.
 
(e)
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $737,668.
 
(f)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(g)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
%ownership,
end
of period
Fidelity Cash Central Fund 0.31%
4,833,648
6,833,025
8,879,253
1,825
-
-
2,787,420
0.0%
Total
4,833,648
6,833,025
8,879,253
1,825
-
-
2,787,420
 
 
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
 
 
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities.Nonconvertible Bonds, U.S. Government and Government Agency Obligations, Foreign Government and Government Agency Obligations and Preferred Securities are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
 
The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
 
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.
 
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
 
Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.
 
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.  
 
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
 
Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.
 
Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
 
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
 
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. 
 
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.  
 
Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.  
 
The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
 
Open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
 
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
 
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
 
Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.
 
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
 
The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.
 
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
 
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
 
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
 
Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.
 
Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.


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