Quarterly Holdings Report
for
Fidelity® International Bond Index Fund
March 31, 2024
IBI-NPRT1-0524
1.9896129.104
Nonconvertible Bonds - 25.1%
 
  
Principal
Amount (a)
 
Value ($)
 
Australia - 1.0%
 
  
  
Amcor UK Finance PLC 1.125% 6/23/27
EUR
1,384,000
1,384,936
APT Pipelines Ltd. 2% 7/15/30 (Reg. S)
EUR
110,000
107,709
AusNet Services Holdings Pty Ltd. 1.625% 3/11/81 (Reg. S) (b)
EUR
100,000
99,254
Australia & New Zealand Banking Group Ltd.:
  
  
  
 1.125% 11/21/29 (Reg. S) (b)
EUR
260,000
274,095
 1.65% 1/16/25
AUD
160,000
101,888
 5.906% 8/12/32 (b)
AUD
330,000
218,793
Commonwealth Bank of Australia:
  
  
  
 Australian Bank Bill 3 Months Rate + 2.700% 6.86% 11/9/32 (Reg. S) (b)(c)
AUD
230,000
157,388
 0.125% 10/15/29 (Reg. S)
EUR
120,000
110,087
 4.2% 8/18/25
AUD
580,000
376,146
Glencore Capital Finance DAC 0.75% 3/1/29 (Reg. S)
EUR
100,000
93,782
National Australia Bank Ltd.:
  
  
  
 2.125% 5/24/28 (Reg. S)
EUR
160,000
165,291
 2.347% 8/30/29
EUR
130,000
134,899
 6.163% 3/9/33 (b)
AUD
120,000
80,304
New South Wales Treasury Corp.:
  
  
  
 1.25% 3/20/25 (Reg. S)
AUD
803,000
509,008
 1.75% 3/20/34 (Reg. S)
AUD
840,000
421,829
 2% 3/20/31
AUD
1,106,000
622,930
 3% 4/20/29 (Reg. S)
AUD
860,000
534,445
Treasury Corp. of Victoria:
  
  
  
 2.25% 11/20/34
AUD
350,000
180,102
 5.25% 9/15/38
AUD
410,000
271,395
Western Australia Treasury Corp. 3% 10/21/26
AUD
1,842,000
1,174,022
Westpac Banking Corp.:
  
  
  
 2.7% 3/17/25
AUD
400,000
256,058
 4.6% 2/16/26
AUD
300,000
195,549
TOTAL AUSTRALIA
  
  
7,469,910
Austria - 0.2%
 
  
  
Autobahn Schnell AG 0.1% 7/16/35 (Reg. S)
EUR
710,000
560,225
BAWAG PSK Bank fuer Arbeit und Wirtschaft und Oesterreichische Postsparkasse AG 0.1% 5/12/31
EUR
300,000
262,798
Erste Group Bank AG:
  
  
  
 0.25% 9/14/29 (Reg. S)
EUR
100,000
91,203
 1% 6/10/30 (Reg. S) (b)
EUR
100,000
103,101
Oesterreichische Kontrollbank AG 0.5% 12/15/25 (Reg. S)
GBP
152,000
178,657
OMV AG 2.375% 4/9/32 (Reg. S)
EUR
76,000
77,518
Raiffeisen International Bank-Holding AG:
  
  
  
 1.5% 3/12/30 (Reg. S) (b)
EUR
100,000
100,837
 4.75% 1/26/27 (Reg. S) (b)
EUR
100,000
108,733
TOTAL AUSTRIA
  
  
1,483,072
Belgium - 0.2%
 
  
  
Anheuser-Busch InBev SA NV:
  
  
  
 1.5% 4/18/30 (Reg. S)
EUR
49,000
48,091
 2% 3/17/28 (Reg. S)
EUR
32,000
33,211
 2.25% 5/24/29 (Reg. S)
GBP
53,000
61,035
 2.85% 5/25/37 (Reg. S)
GBP
200,000
207,519
 3.7% 4/2/40 (Reg. S)
EUR
131,000
141,445
Belfius Bank SA/NV 0% 8/28/26 (Reg. S)
EUR
100,000
99,427
Elia Transmission Belgium SA 0.875% 4/28/30 (Reg. S)
EUR
100,000
93,218
Flemish Community 1.875% 6/2/42
EUR
100,000
85,888
Fluvius System Operator CVBA 0.25% 6/14/28 (Reg. S)
EUR
100,000
94,980
KBC Group NV:
  
  
  
 0.125% 1/14/29 (Reg. S) (b)
EUR
100,000
94,661
 0.5% 12/3/29 (b)
EUR
100,000
104,718
 4.375% 4/19/30 (Reg. S) (b)
EUR
100,000
111,443
Walloon Region 1.25% 5/3/34 (Reg. S)
EUR
400,000
357,495
TOTAL BELGIUM
  
  
1,533,131
Canada - 2.4%
 
  
  
407 International, Inc.:
  
  
  
 2.84% 3/7/50
CAD
73,000
38,180
 3.65% 9/8/44
CAD
295,000
184,899
Altalink LP 3.717% 12/3/46
CAD
338,000
212,537
Bank of Montreal 3.19% 3/1/28
CAD
585,000
415,471
Bank of Nova Scotia:
  
  
  
 0.01% 1/14/27 (Reg. S)
EUR
500,000
493,423
 3.1% 2/2/28
CAD
85,000
60,177
 5.5% 12/29/25
CAD
840,000
627,754
Bell Canada 4.45% 2/27/47
CAD
40,000
26,008
Brookfield Corp. 3.8% 3/16/27
CAD
260,000
187,272
Canada Housing Trust No. 1:
  
  
  
 1.6% 12/15/31 (d)
CAD
320,000
202,104
 1.9% 9/15/26 (d)
CAD
480,000
336,764
Canadian Imperial Bank of Commerce:
  
  
  
 0.01% 4/30/29 (Reg. S)
EUR
3,019,000
2,790,105
 1.7% 7/15/26
CAD
498,000
345,863
 5.33% 1/20/33 (b)
CAD
150,000
111,943
Canadian National Railway Co. 3.6% 8/1/47
CAD
229,000
140,494
Choice Properties REIT 4.178% 3/8/28
CAD
128,000
92,359
CPPIB Capital, Inc.:
  
  
  
 1.25% 12/7/27 (Reg. S)
GBP
544,000
615,340
 3% 6/15/28
CAD
1,310,000
933,949
 4.2% 5/2/28 (Reg. S)
AUD
90,000
58,291
CU, Inc. 3.548% 11/22/47
CAD
280,000
169,964
Enbridge Gas, Inc. 3.65% 4/1/50
CAD
290,000
176,292
Enbridge Pipelines, Inc. 4.13% 8/9/46
CAD
406,000
247,278
EPCOR Utilities, Inc. 3.554% 11/27/47
CAD
571,000
347,739
Fairfax Financial Holdings Ltd. 4.7% 12/16/26
CAD
234,000
171,096
Great-West Lifeco, Inc. 5.998% 11/16/39
CAD
50,000
40,446
Greater Toronto Airports Authority 2.75% 10/17/39
CAD
516,000
298,675
Hydro One, Inc.:
  
  
  
 1.69% 1/16/31
CAD
417,000
261,778
 1.76% 2/28/25
CAD
1,270,000
912,041
 3.02% 4/5/29
CAD
30,000
20,921
Hydro-Quebec:
  
  
  
 2.1% 2/15/60
CAD
70,000
31,232
 4% 2/15/55
CAD
220,000
153,247
 4% 2/15/63
CAD
500,000
349,740
 5% 2/15/50
CAD
50,000
40,551
Inter Pipeline Ltd. 4.232% 6/1/27
CAD
1,526,000
1,098,522
Keyera Corp. 3.959% 5/29/30
CAD
761,000
532,590
Manulife Financial Corp. 2.237% 5/12/30 (b)
CAD
460,000
329,514
National Bank of Canada 2.237% 11/4/26
CAD
360,000
250,683
North West Redwater Partnership/NWR Financing Co. Ltd. 4.35% 1/10/39
CAD
591,000
408,056
Nova Scotia Province 3.45% 6/1/45
CAD
150,000
94,639
Ontario Power Generation, Inc.:
  
  
  
 2.893% 4/8/25
CAD
390,000
282,157
 3.215% 4/8/30
CAD
100,000
69,121
 4.248% 1/18/49
CAD
50,000
33,301
Ontario Teachers' Finance Trust 0.95% 11/24/51 (Reg. S)
EUR
110,000
66,706
Pembina Pipeline Corp. 4.74% 1/21/47
CAD
402,000
262,847
PSP Capital, Inc. 1.5% 3/15/28 (Reg. S)
CAD
340,000
228,980
Rogers Communications, Inc. 2.9% 12/9/30
CAD
968,000
625,529
Royal Bank of Canada:
  
  
  
 0.625% 9/10/25 (Reg. S)
EUR
756,000
784,471
 2.088% 6/30/30 (b)
CAD
710,000
505,494
 2.125% 4/26/29 (Reg. S)
EUR
110,000
111,482
 2.609% 11/1/24
CAD
102,000
74,281
 4.612% 7/26/27
CAD
530,000
392,264
Saskatchewan Province 3.3% 6/2/48
CAD
150,000
92,580
SmartCentres (REIT) 2.307% 12/18/28
CAD
100,000
64,486
Sun Life Financial, Inc.:
  
  
  
 2.06% 10/1/35 (b)
CAD
110,000
68,660
 2.8% 11/21/33 (b)
CAD
50,000
33,935
TELUS Corp. 3.95% 2/16/50
CAD
33,000
19,226
The Toronto-Dominion Bank:
  
  
  
 1.707% 7/28/25 (Reg. S)
EUR
360,000
379,787
 1.943% 3/13/25
CAD
252,000
181,024
 2.496% 12/2/24
CAD
60,000
43,581
 3.631% 12/13/29 (Reg. S)
EUR
320,000
348,965
Toronto Hydro Corp. 2.43% 12/11/29
CAD
80,000
53,666
TransCanada PipeLines Ltd.:
  
  
  
 3% 9/18/29
CAD
30,000
20,403
 4.18% 7/3/48
CAD
33,000
19,933
 4.35% 6/6/46
CAD
456,000
284,332
TOTAL CANADA
  
  
18,855,148
China - 3.0%
 
  
  
Agricultural Development Bank of China:
  
  
  
 2.99% 8/11/26
CNY
31,790,000
4,481,223
 3.52% 5/24/31
CNY
38,250,000
5,646,565
Export-Import Bank of China:
  
  
  
 3.22% 5/14/26
CNY
57,740,000
8,156,955
 3.38% 7/16/31
CNY
32,570,000
4,769,610
TOTAL CHINA
  
  
23,054,353
Czech Republic - 0.0%
 
  
  
CPI Property Group SA 2.75% 5/12/26 (Reg. S)
EUR
153,000
149,589
Denmark - 0.2%
 
  
  
Danske Bank A/S:
  
  
  
 0.5% 8/27/25 (Reg. S) (b)
EUR
140,000
148,898
 2.5% 6/21/29 (Reg. S) (b)
EUR
126,000
135,254
 4% 1/12/27 (Reg. S) (b)
EUR
210,000
227,765
 4.625% 4/13/27 (Reg. S) (b)
GBP
100,000
125,105
KommuneKredit 0.125% 9/26/40 (Reg. S)
EUR
100,000
68,011
Nykredit Realkredit A/S:
  
  
  
 0.5% 7/10/25 (Reg. S)
EUR
144,000
149,069
 0.75% 1/20/27
EUR
130,000
129,407
ORSTED A/S:
  
  
  
 2.125% 5/17/27 (Reg. S)
GBP
104,000
120,389
 2.5% 5/16/33 (Reg. S)
GBP
104,000
106,856
 5.125% 9/13/34 (Reg. S)
GBP
290,000
362,970
TOTAL DENMARK
  
  
1,573,724
Finland - 0.2%
 
  
  
Kuntarahoitus OYJ 5.125% 7/22/27 (Reg. S)
GBP
120,000
154,925
Nordea Bank Abp:
  
  
  
 0.5% 3/19/31 (Reg. S)
EUR
120,000
107,250
 1% 6/27/29 (Reg. S) (b)
EUR
135,000
144,326
 2.5% 5/23/29 (Reg. S)
EUR
144,000
148,257
Nordea Mortgage Bank PLC:
  
  
  
 1% 11/5/24 (Reg. S)
EUR
180,000
191,107
 2.5% 9/14/32 (Reg. S)
EUR
110,000
115,063
OP Mortgage Bank PLC:
  
  
  
 0.01% 11/19/30 (Reg. S)
EUR
180,000
160,145
 1% 11/28/24 (Reg. S)
EUR
170,000
180,133
Pohjola Bank PLC:
  
  
  
 0.1% 11/16/27 (Reg. S)
EUR
130,000
125,202
 1.375% 9/4/26 (Reg. S)
GBP
160,000
184,488
TOTAL FINLAND
  
  
1,510,896
France - 3.7%
 
  
  
Action Logement Services 0.375% 10/5/31 (Reg. S)
EUR
600,000
532,866
Aeroports de Paris SA 2.125% 10/2/26 (Reg. S)
EUR
500,000
523,448
Airbus Group NV 2.375% 6/9/40 (Reg. S)
EUR
166,000
152,997
ALD SA 4% 7/5/27 (Reg. S)
EUR
200,000
217,583
Arkea Public Sector SCF SA 0.875% 3/31/28 (Reg. S)
EUR
200,000
198,515
Autoroutes du Sud de la France 2.75% 9/2/32 (Reg. S)
EUR
300,000
311,570
AXA SA:
  
  
  
 1.875% 7/10/42 (Reg. S) (b)
EUR
253,000
229,705
 3.375% 7/6/47 (Reg. S) (b)
EUR
100,000
105,684
Banque Federative du Credit Mutuel SA:
  
  
  
 0.625% 11/19/27 (Reg. S)
EUR
100,000
97,192
 0.75% 1/17/30 (Reg. S)
EUR
200,000
182,803
 0.875% 12/7/27 (Reg. S)
GBP
600,000
662,823
 1% 7/16/26 (Reg. S)
GBP
100,000
115,632
 1.125% 11/19/31 (Reg. S)
EUR
100,000
87,139
 1.25% 5/26/27 (Reg. S)
EUR
100,000
100,963
 1.25% 6/3/30 (Reg. S)
EUR
100,000
93,506
 2.5% 5/25/28 (Reg. S)
EUR
300,000
308,404
 2.625% 11/6/29 (Reg. S)
EUR
100,000
102,318
 4.375% 5/2/30 (Reg. S)
EUR
100,000
111,695
BNP Paribas SA:
  
  
  
 0.625% 12/3/32 (Reg. S)
EUR
100,000
83,380
 0.875% 7/11/30 (Reg. S) (b)
EUR
100,000
93,476
 1.25% 7/13/31 (Reg. S)
GBP
100,000
97,760
 1.625% 7/2/31 (Reg. S)
EUR
100,000
92,002
 1.875% 12/14/27 (Reg. S)
GBP
200,000
226,824
 2% 5/24/31 (Reg. S) (b)
GBP
200,000
231,993
 2% 9/13/36 (Reg. S)
GBP
100,000
91,366
 2.5% 3/31/32 (Reg. S) (b)
EUR
100,000
102,352
 2.538% 7/13/29 (b)
CAD
250,000
167,549
 3.375% 1/23/26 (Reg. S)
GBP
550,000
672,378
Bouygues SA:
  
  
  
 0.5% 2/11/30 (Reg. S)
EUR
100,000
92,449
 2.25% 6/29/29 (Reg. S)
EUR
100,000
102,663
BPCE SA:
  
  
  
 0.25% 1/15/26 (Reg. S)
EUR
100,000
101,813
 0.25% 1/14/31 (Reg. S)
EUR
200,000
174,851
 0.5% 9/15/27 (Reg. S) (b)
EUR
600,000
598,631
 1% 1/14/32 (Reg. S)
EUR
200,000
177,319
 1.625% 1/31/28 (Reg. S)
EUR
100,000
100,492
 2.25% 3/2/32 (Reg. S) (b)
EUR
100,000
101,846
 2.5% 11/30/32 (Reg. S) (b)
GBP
100,000
111,812
BPCE SFH:
  
  
  
 0.01% 10/16/28 (Reg. S)
EUR
500,000
471,802
 3.375% 6/27/33 (Reg. S)
EUR
400,000
444,719
Caisse d'Amort de la Dette Sociale:
  
  
  
 0% 2/25/28 (Reg. S)
EUR
600,000
579,143
 0% 11/25/30 (Reg. S)
EUR
900,000
806,790
 0% 5/25/31 (Reg. S)
EUR
300,000
264,963
 1.75% 11/25/27 (Reg. S)
EUR
500,000
518,255
Caisse Francaise de Finance:
  
  
  
 0.125% 6/30/31 (Reg. S)
EUR
1,200,000
1,058,701
 0.125% 2/15/36 (Reg. S)
EUR
900,000
692,042
Carrefour Banque SA 0.107% 6/14/25 (Reg. S)
EUR
500,000
516,018
CNP Assurances 2.5% 6/30/51 (Reg. S) (b)
EUR
100,000
95,340
Compagnie de St.-Gobain 3.875% 11/29/30 (Reg. S)
EUR
100,000
110,117
Compagnie Financiere du Credit Mutuel:
  
  
  
 0.375% 10/3/28 (Reg. S)
EUR
100,000
94,349
 0.875% 10/25/31 (Reg. S)
EUR
100,000
88,887
 1.875% 10/25/29 (b)
EUR
100,000
106,158
Credit Agricole Assurances SA 1.5% 10/6/31 (Reg. S)
EUR
100,000
89,704
Credit Agricole Home Loan SFH:
  
  
  
 0.05% 12/6/29 (Reg. S)
EUR
200,000
183,436
 1.5% 9/28/38
EUR
300,000
262,889
Credit Agricole SA:
  
  
  
 0.375% 4/20/28 (Reg. S)
EUR
100,000
95,459
 1% 9/18/25 (Reg. S)
EUR
200,000
208,160
 1.125% 7/12/32 (Reg. S)
EUR
300,000
270,538
 1.625% 6/5/30 (Reg. S) (b)
EUR
100,000
104,468
 1.874% 12/9/31 (b)
GBP
200,000
227,066
 2.625% 3/17/27 (Reg. S)
EUR
107,000
111,659
 3.875% 11/28/34 (Reg. S)
EUR
100,000
111,939
 4% 1/18/33 (Reg. S)
EUR
100,000
112,922
 4.875% 10/23/29 (Reg. S)
GBP
100,000
127,237
Credit Commercial de France:
  
  
  
 0.1% 9/3/27 (Reg. S)
EUR
200,000
193,591
 1.375% 9/4/28 (Reg. S)
EUR
300,000
298,363
CTE Co. 1.5% 7/29/28 (Reg.S)
EUR
100,000
99,555
Dexia Credit Local SA:
  
  
  
 0.625% 1/17/26 (Reg. S)
EUR
500,000
514,773
 1.25% 7/21/25 (Reg. S)
GBP
200,000
240,780
Electricite de France SA:
  
  
  
 1% 11/29/33 (Reg. S)
EUR
100,000
83,918
 2% 12/9/49 (Reg. S)
EUR
400,000
285,394
Engie SA 5.625% 4/3/53 (Reg. S)
GBP
100,000
127,655
Gecina SA 1.375% 1/26/28 (Reg. S)
EUR
200,000
200,575
ICADE 1.625% 2/28/28 (Reg. S)
EUR
100,000
98,994
Ile-de-France Mobilites 0.4% 5/28/31 (Reg. S)
EUR
100,000
89,933
Kering SA 3.625% 3/11/36 (Reg. S)
EUR
100,000
107,778
Klepierre SA 0.875% 2/17/31 (Reg. S)
EUR
100,000
90,081
La Banque Postale:
  
  
  
 1% 2/9/28 (Reg. S) (b)
EUR
100,000
100,034
 5.625% 9/21/28 (Reg. S) (b)
GBP
100,000
126,836
La Mondiale 0.75% 4/20/26 (Reg. S)
EUR
100,000
101,196
La Poste 1.375% 4/21/32 (Reg. S)
EUR
400,000
372,786
MACIF 0.625% 6/21/27 (Reg. S)
EUR
200,000
195,260
Orange SA:
  
  
  
 0.75% 6/29/34 (Reg. S)
EUR
500,000
422,368
 8.125% 1/28/33
EUR
70,000
102,876
Oseo SA:
  
  
  
 0.125% 3/25/25 (Reg. S)
EUR
200,000
208,365
 0.25% 3/29/30 (Reg. S)
EUR
100,000
91,865
 0.625% 5/25/26 (Reg. S)
EUR
200,000
204,388
 0.75% 11/25/24
EUR
200,000
211,416
 2.125% 11/29/27 (Reg. S)
EUR
200,000
208,861
 3% 9/10/26 (Reg. S)
EUR
500,000
537,785
RCI Banque SA:
  
  
  
 1.625% 5/26/26 (Reg. S)
EUR
37,000
38,085
 4.875% 10/2/29 (Reg. S)
EUR
100,000
112,645
Reseau Ferre de France:
  
  
  
 0.875% 1/22/29 (Reg. S)
EUR
300,000
292,752
 1.125% 5/19/27 (Reg. S)
EUR
1,100,000
1,117,489
RTE EdF Transport SA:
  
  
  
 0% 9/9/27 (Reg. S)
EUR
100,000
96,532
 0.625% 7/8/32 (Reg. S)
EUR
200,000
173,926
Societe Des Autoroutes Paris-Rhin-Rhone 1.875% 1/6/31 (Reg. S)
EUR
200,000
198,864
Societe du Grand Paris EPIC:
  
  
  
 0% 11/25/30 (Reg. S)
EUR
200,000
177,721
 1.7% 5/25/50 (Reg. S)
EUR
500,000
371,993
Societe Generale:
  
  
  
 0.875% 9/24/29 (Reg. S)
EUR
100,000
92,909
 1% 11/24/30 (b)
EUR
100,000
102,173
 1.125% 6/30/31 (Reg. S) (b)
EUR
100,000
100,326
 1.25% 12/7/27
GBP
300,000
332,183
 1.25% 6/12/30 (Reg. S)
EUR
100,000
93,381
 1.5% 5/30/25 (Reg. S) (b)
EUR
500,000
537,246
 4.25% 11/16/32 (Reg. S)
EUR
100,000
114,369
Societe Generale SFH 3.125% 2/24/26 (Reg. S)
EUR
1,000,000
1,076,641
Societe Nationale des Chemins de Fer Francais 0.625% 4/17/30 (Reg. S)
EUR
300,000
280,153
Suez SACA:
  
  
  
 1.875% 5/24/27 (Reg. S)
EUR
100,000
102,584
 2.375% 5/24/30 (Reg. S)
EUR
100,000
100,776
Total Capital International SA:
  
  
  
 1.25% 12/16/24 (Reg. S)
GBP
100,000
122,886
 1.491% 4/8/27 (Reg. S)
EUR
100,000
102,318
UNEDIC:
  
  
  
 0% 11/25/28 (Reg. S)
EUR
200,000
189,381
 0.25% 11/25/29 (Reg. S)
EUR
600,000
561,671
 0.25% 7/16/35 (Reg. S)
EUR
400,000
320,246
 0.875% 5/25/28 (Reg. S)
EUR
400,000
398,142
 1.25% 10/21/27 (Reg. S)
EUR
100,000
101,797
 1.5% 4/20/32 (Reg. S)
EUR
100,000
97,784
Unibail-Rodamco:
  
  
  
 0.75% 10/25/28 (Reg. S)
EUR
200,000
190,967
 1% 2/27/27 (Reg. S)
EUR
600,000
603,100
 1.5% 5/29/29 (Reg. S)
EUR
120,000
116,582
Veolia Environnement SA:
  
  
  
 0.664% 1/15/31 (Reg. S)
EUR
100,000
90,198
 1.25% 4/15/28 (Reg. S)
EUR
100,000
99,890
 1.25% 5/14/35 (Reg. S)
EUR
100,000
86,937
TOTAL FRANCE
  
  
29,218,633
Germany - 3.0%
 
  
  
Aareal Bank AG 0.05% 9/2/26 (Reg. S)
EUR
100,000
94,410
Allianz Finance II BV 1.5% 1/15/30 (Reg. S)
EUR
200,000
198,084
Allianz SE:
  
  
  
 1.301% 9/25/49 (Reg. S) (b)
EUR
100,000
93,700
 4.252% 7/5/52 (Reg. S) (b)
EUR
100,000
108,147
Amprion GmbH 3.45% 9/22/27 (Reg. S)
EUR
100,000
107,880
Aroundtown SA 0.375% 4/15/27 (Reg. S)
EUR
200,000
180,519
BASF AG 4.25% 3/8/32 (Reg. S)
EUR
100,000
113,663
Bayer AG 1.375% 7/6/32 (Reg. S)
EUR
300,000
260,576
Bayerische Landesbank 1% 12/20/24 (Reg. S)
GBP
800,000
978,960
Berlin Hannoversche Hypothekenbank AG 0.25% 5/19/33 (Reg. S)
EUR
1,020,000
871,168
BMV Finance NV:
  
  
  
 1.5% 2/6/29 (Reg. S)
EUR
86,000
85,758
 3.25% 7/22/30 (Reg. S)
EUR
250,000
272,760
Bremen Freie Hansestadt:
  
  
  
 0.15% 10/24/31
EUR
50,000
44,632
 0.4% 8/20/49 (Reg. S)
EUR
29,000
16,539
Commerzbank AG:
  
  
  
 0.01% 3/11/30
EUR
183,000
166,607
 0.5% 12/4/26 (Reg. S)
EUR
58,000
58,167
 1.25% 1/9/34
EUR
58,000
53,685
 1.5% 8/28/28 (Reg. S)
EUR
100,000
101,000
 1.875% 2/28/28 (Reg. S)
EUR
100,000
102,241
Daimler International Finance BV:
  
  
  
 0.375% 11/8/26 (Reg. S)
EUR
23,000
23,150
 1.375% 6/26/26 (Reg. S)
EUR
44,000
45,601
 2.625% 4/7/25 (Reg. S)
EUR
472,000
504,690
Deutsche Bahn Finance BV:
  
  
  
 0.375% 12/3/26 (Reg. S)
GBP
214,000
243,131
 0.625% 12/8/50 (Reg. S)
EUR
144,000
83,509
 0.875% 6/23/39 (Reg. S)
EUR
198,000
150,974
 1.375% 7/7/25 (Reg. S)
GBP
28,000
33,833
 1.875% 2/13/26 (Reg. S)
GBP
171,000
205,220
Deutsche Bank AG:
  
  
  
 1.375% 9/3/26 (Reg. S) (b)
EUR
200,000
207,829
 1.625% 1/20/27 (Reg. S)
EUR
300,000
304,863
 1.875% 2/23/28 (Reg. S) (b)
EUR
200,000
202,945
 4% 6/24/26 (Reg. S) (b)
GBP
200,000
246,654
 4% 6/24/32 (Reg. S) (b)
EUR
100,000
104,411
Deutsche Borse AG:
  
  
  
 0.125% 2/22/31 (Reg. S)
EUR
100,000
88,555
 1.5% 4/4/32 (Reg. S)
EUR
100,000
95,558
Deutsche Telekom AG 3.125% 2/6/34 (Reg. S)
GBP
60,000
66,804
DZ HYP AG 0.5% 6/16/26 (Reg. S)
EUR
1,200,000
1,220,513
E.ON International Finance BV:
  
  
  
 1% 4/13/25 (Reg. S)
EUR
660,000
692,743
 1.5% 7/31/29 (Reg. S)
EUR
115,000
113,404
 5.75% 2/14/33 (Reg. S)
EUR
130,000
163,228
E.ON SE:
  
  
  
 0.25% 10/24/26 (Reg. S)
EUR
69,000
69,032
 0.75% 2/20/28 (Reg. S)
EUR
99,000
98,269
 0.875% 1/8/25 (Reg. S)
EUR
210,000
221,624
 0.875% 8/20/31 (Reg. S)
EUR
100,000
90,493
 0.875% 10/18/34 (Reg. S)
EUR
117,000
99,054
 3.5% 1/12/28 (Reg. S)
EUR
140,000
152,656
EnBW Energie Baden-Wuerttemberg AG 1.375% 8/31/81 (Reg. S) (b)
EUR
100,000
93,450
EnBW International Finance BV 0.5% 3/1/33 (Reg. S)
EUR
81,000
67,563
Eurogrid GmbH 3.598% 2/1/29 (Reg. S)
EUR
200,000
217,125
Grand City Properties SA 1.375% 8/3/26 (Reg. S)
EUR
400,000
400,158
Hannover Reuck SE 1.75% 10/8/40 (Reg. S) (b)
EUR
100,000
93,730
HeidelbergCement Finance Luxembourg SA 4.875% 11/21/33 (Reg. S)
EUR
50,000
58,095
KfW:
  
  
  
 0% 9/30/26 (Reg. S)
EUR
273,000
274,211
 0% 9/15/28 (Reg. S)
EUR
442,000
423,627
 0% 9/17/30 (Reg. S)
EUR
261,000
237,415
 0.01% 5/5/27 (Reg. S)
EUR
38,000
37,656
 0.05% 9/29/34 (Reg. S)
EUR
1,284,000
1,045,964
 0.125% 12/30/26 (Reg. S)
GBP
1,064,000
1,199,825
 0.625% 2/22/27
EUR
283,000
286,905
 0.625% 1/7/28
EUR
1,834,000
1,830,468
 0.75% 6/28/28
EUR
72,000
71,661
 0.875% 9/15/26 (Reg. S)
GBP
43,000
49,905
 0.875% 7/4/39 (Reg. S)
EUR
110,000
89,210
 1.375% 12/9/24 (Reg. S)
GBP
151,000
185,791
 1.375% 2/2/28
SEK
310,000
27,267
 1.5% 7/24/24
AUD
82,000
52,954
 2.15% 8/25/25
AUD
1,210,000
766,071
 2.875% 12/28/29 (Reg. S)
EUR
740,000
807,080
 3.2% 9/11/26
AUD
118,000
75,205
Landesbank Baden-Wurttemberg 0.375% 5/7/29 (Reg. S)
EUR
100,000
91,423
LEG Immobilien AG:
  
  
  
 0.375% 1/17/26 (Reg. S)
EUR
100,000
101,258
 0.875% 11/28/27 (Reg. S)
EUR
100,000
98,001
 0.875% 1/17/29 (Reg. S)
EUR
100,000
93,889
Mercedes-Benz Group AG:
  
  
  
 1.125% 8/8/34 (Reg. S)
EUR
267,000
238,049
 1.5% 7/3/29 (Reg. S)
EUR
44,000
43,699
Merck KGaA 1.625% 6/25/79 (Reg. S) (b)
EUR
100,000
105,592
Muenchener Hypothekenbank eG 1.875% 8/25/32 (Reg. S)
EUR
60,000
60,027
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen 1.25% 5/26/41 (Reg. S) (b)
EUR
100,000
90,288
NRW.BANK:
  
  
  
 0.5% 6/17/41 (Reg. S)
EUR
50,000
35,387
 0.875% 4/12/34
EUR
387,000
346,785
Robert Bosch GmbH 4.375% 6/2/43 (Reg. S)
EUR
100,000
114,518
RWE AG:
  
  
  
 2.5% 8/24/25 (Reg. S)
EUR
430,000
456,769
 2.75% 5/24/30 (Reg. S)
EUR
120,000
124,068
Siemens Financieringsmaatschappij NV:
  
  
  
 0.125% 9/5/29 (Reg. S)
EUR
24,000
22,564
 1.75% 2/28/39 (Reg. S)
EUR
23,000
20,150
 3% 9/8/33 (Reg. S)
EUR
100,000
106,444
 3.125% 5/22/32 (Reg. S)
EUR
200,000
215,412
 3.625% 2/24/43 (Reg. S)
EUR
100,000
108,994
Traton Finance Luxembourg SA 4.5% 11/23/26 (Reg. S)
EUR
200,000
219,708
UniCredit Bank AG:
  
  
  
 0.25% 1/15/32 (Reg. S)
EUR
39,000
34,436
 0.375% 1/17/33 (Reg. S)
EUR
200,000
174,066
 0.85% 5/22/34 (Reg. S)
EUR
102,000
90,016
Vier Gas Transport GmbH 1.5% 9/25/28 (Reg. S)
EUR
100,000
99,685
Volkswagen Bank GmbH 2.5% 7/31/26 (Reg. S)
EUR
100,000
104,792
Volkswagen Financial Services AG:
  
  
  
 0.375% 2/12/30 (Reg. S)
EUR
70,000
62,943
 0.875% 1/31/28 (Reg. S)
EUR
630,000
612,919
 1.125% 7/5/26 (Reg. S)
GBP
100,000
115,568
 1.5% 10/1/24 (Reg. S)
EUR
36,000
38,347
 2.25% 4/12/25 (Reg. S)
GBP
26,000
31,829
 3.375% 4/6/28 (Reg. S)
EUR
32,000
34,367
Volkswagen International Finance NV:
  
  
  
 1.625% 1/16/30 (Reg. S)
EUR
45,000
43,747
 3.25% 11/18/30 (Reg. S)
EUR
200,000
210,505
 4.125% 11/16/38 (Reg. S)
EUR
200,000
220,099
Volkswagen Leasing GmbH:
  
  
  
 0.625% 7/19/29 (Reg. S)
EUR
50,000
46,203
 4% 4/11/31 (Reg. S)
EUR
140,000
152,505
Vonovia SE:
  
  
  
 0.625% 10/7/27 (Reg. S)
EUR
200,000
193,267
 0.75% 9/1/32 (Reg. S)
EUR
100,000
81,740
 1% 6/16/33 (Reg. S)
EUR
400,000
325,700
TOTAL GERMANY
  
  
23,194,334
Hong Kong - 0.0%
 
  
  
Hongkong & Shanghai Banking Corp. Ltd. (Sydney Branch) 5.1% 3/3/28 (Reg. S)
AUD
250,000
165,072
Ireland - 0.1%
 
  
  
AIB Group PLC 4.625% 7/23/29 (Reg. S) (b)
EUR
100,000
111,279
Bank of Ireland Group PLC:
  
  
  
 0.375% 5/10/27 (Reg. S) (b)
EUR
140,000
140,815
 1% 11/25/25 (Reg. S) (b)
EUR
340,000
359,740
ESB Finance Ltd. 1.125% 6/11/30 (Reg. S)
EUR
135,000
128,166
Smurfit Kappa Treasury ULC 1.5% 9/15/27 (Reg. S)
EUR
100,000
100,676
TOTAL IRELAND
  
  
840,676
Italy - 0.7%
 
  
  
A2A SpA 0.625% 7/15/31 (Reg. S)
EUR
140,000
121,213
ACEA SpA 1.5% 6/8/27 (Reg. S)
EUR
117,000
119,392
Amco - Asset Management Co. SpA 1.375% 1/27/25 (Reg. S)
EUR
110,000
115,986
Assicurazioni Generali SpA:
  
  
  
 1.713% 6/30/32 (Reg. S)
EUR
100,000
89,838
 2.124% 10/1/30 (Reg. S)
EUR
130,000
124,993
 5.5% 10/27/47 (Reg. S) (b)
EUR
100,000
112,340
Autostrade per L'italia SpA 1.875% 9/26/29 (Reg. S)
EUR
320,000
311,532
Credit Agricole Italia SpA 0.375% 1/20/32 (Reg. S)
EUR
200,000
174,207
ENEL Finance International NV:
  
  
  
 0.375% 6/17/27 (Reg. S)
EUR
220,000
215,810
 0.5% 6/17/30 (Reg. S)
EUR
110,000
100,322
 2.875% 4/11/29 (Reg. S)
GBP
636,000
730,434
 4% 2/20/31 (Reg. S)
EUR
100,000
111,395
Eni SpA:
  
  
  
 3.625% 5/19/27 (Reg. S)
EUR
100,000
108,459
 4.25% 5/19/33 (Reg. S)
EUR
120,000
135,051
Ferrovie dello Stato FS SpA 1.5% 6/27/25 (Reg. S)
EUR
144,000
151,228
Intesa Sanpaolo SpA:
  
  
  
 0.75% 3/16/28 (Reg. S)
EUR
260,000
251,570
 2.125% 5/26/25 (Reg. S)
EUR
323,000
341,928
 4.875% 5/19/30 (Reg. S)
EUR
100,000
114,821
 5.125% 8/29/31 (Reg. S)
EUR
100,000
117,052
Italgas SpA 1% 12/11/31 (Reg. S)
EUR
110,000
98,190
Mediobanca SpA:
  
  
  
 1.625% 1/7/25 (Reg. S)
EUR
280,000
296,997
 4.75% 3/14/28 (Reg. S) (b)
EUR
100,000
111,220
Snam SpA 0.75% 6/20/29 (Reg. S)
EUR
190,000
179,067
Terna - Rete Elettrica Nazionale:
  
  
  
 0.375% 6/23/29 (Reg. S)
EUR
120,000
111,599
 1.375% 7/26/27 (Reg. S)
EUR
150,000
151,545
UniCredit SpA:
  
  
  
 2.2% 7/22/27 (Reg. S) (b)
EUR
490,000
508,859
 4.45% 2/16/29 (Reg. S) (b)
EUR
170,000
186,993
TOTAL ITALY
  
  
5,192,041
Japan - 0.4%
 
  
  
East Japan Railway Co. 1.104% 9/15/39 (Reg. S)
EUR
160,000
124,870
Mizuho Financial Group, Inc.:
  
  
  
 0.797% 4/15/30 (Reg. S)
EUR
300,000
276,534
 1.412% 7/13/33
JPY
12,000,000
78,442
NTT Finance Corp. 0.18% 12/19/25
JPY
200,000,000
1,315,999
Takeda Pharmaceutical Co. Ltd. 2% 7/9/40
EUR
157,000
133,577
Toyota Finance Corp. 0.37% 10/13/26
JPY
100,000,000
658,906
Toyota Motor Finance (Netherlands) BV 3.5% 1/13/28 (Reg. S)
EUR
300,000
325,607
TOTAL JAPAN
  
  
2,913,935
Korea (South) - 0.0%
 
  
  
Korea Housing Finance Corp. 0.01% 7/7/25 (Reg. S)
EUR
160,000
165,190
Luxembourg - 0.1%
 
  
  
Blackstone Property Partners Europe LP 1.25% 4/26/27 (Reg. S)
EUR
153,000
149,355
JAB Holdings BV 2.5% 6/25/29
EUR
100,000
102,856
Logicor Financing SARL 1.625% 7/15/27 (Reg. S)
EUR
170,000
167,785
Prologis International Funding II SA 1.75% 3/15/28 (Reg. S)
EUR
304,000
306,961
SELP Finance SARL 1.5% 11/20/25 (Reg. S)
EUR
100,000
103,648
TOTAL LUXEMBOURG
  
  
830,605
Mexico - 0.0%
 
  
  
America Movil S.A.B. de CV:
  
  
  
 0.75% 6/26/27
EUR
100,000
99,384
 2.125% 3/10/28
EUR
200,000
205,104
Petroleos Mexicanos 4.75% 2/26/29 (Reg. S)
EUR
100,000
90,712
TOTAL MEXICO
  
  
395,200
Multi-National - 0.1%
 
  
  
EUROFIMA 0.15% 10/10/34 (Reg. S)
EUR
191,000
156,305
International Finance Corp. 4.5% 10/2/28
GBP
370,000
475,496
TOTAL MULTI-NATIONAL
  
  
631,801
Netherlands - 1.3%
 
  
  
ABN AMRO Bank NV:
  
  
  
 0.375% 1/14/35 (Reg. S)
EUR
200,000
164,286
 0.5% 9/23/29 (Reg. S)
EUR
100,000
92,247
 0.6% 1/15/27 (Reg. S)
EUR
300,000
299,478
 1.375% 1/12/37 (Reg. S)
EUR
400,000
354,566
 4.5% 11/21/34 (Reg. S)
EUR
100,000
115,917
Bank Nederlandse Gemeenten NV:
  
  
  
 0.75% 1/24/29 (Reg. S)
EUR
2,004,000
1,965,510
 3.3% 7/17/28 (Reg. S)
AUD
1,267,000
792,764
CTP BV 0.75% 2/18/27 (Reg. S)
EUR
108,000
106,219
Eneco Holding NV 0% 11/16/26 (Reg. S)
EUR
117,000
115,072
Euronext NV 1% 4/18/25 (Reg. S)
EUR
240,000
251,268
EXOR NV 1.75% 1/18/28 (Reg. S)
EUR
170,000
173,714
Heineken NV 1.75% 5/7/40 (Reg. S)
EUR
160,000
136,628
ING Groep NV:
  
  
  
 0.125% 11/29/25 (Reg. S) (b)
EUR
600,000
631,242
 0.25% 2/18/29 (Reg. S) (b)
EUR
500,000
472,596
 0.25% 2/1/30 (Reg. S) (b)
EUR
100,000
91,449
 1.125% 2/14/25 (Reg. S)
EUR
300,000
316,546
 2.125% 5/26/31 (Reg. S) (b)
EUR
400,000
413,988
 3% 2/18/26 (Reg. S)
GBP
100,000
121,492
 4.875% 11/14/27 (Reg. S) (b)
EUR
200,000
222,120
Koninklijke KPN NV 3.875% 7/3/31 (Reg. S)
EUR
100,000
110,990
LeasePlan Corp. NV 2.125% 5/6/25 (Reg. S)
EUR
130,000
137,565
Nationale-Nederlanden Bank NV 1% 9/25/28 (Reg. S)
EUR
700,000
692,256
Nederlandse Waterschapsbank NV:
  
  
  
 0.75% 10/4/41 (Reg. S)
EUR
748,000
544,769
 3.3% 5/2/29 (Reg. S)
AUD
40,000
24,746
NN Group NV 4.625% 1/13/48 (Reg. S) (b)
EUR
180,000
195,666
Rabobank Nederland:
  
  
  
 0.25% 10/30/26 (Reg. S)
EUR
500,000
498,501
 0.625% 2/25/33 (Reg. S)
EUR
100,000
85,917
 1.125% 5/7/31 (Reg. S)
EUR
100,000
91,933
 1.25% 3/23/26 (Reg. S)
EUR
79,000
82,105
Royal Schiphol Group NV 2% 4/6/29 (Reg. S)
EUR
117,000
118,996
Shell International Finance BV 0.5% 11/8/31 (Reg. S)
EUR
310,000
273,951
TenneT Holding BV 0.875% 6/16/35 (Reg. S)
EUR
234,000
218,700
TOTAL NETHERLANDS
  
  
9,913,197
New Zealand - 0.1%
 
  
  
Westpac Securities NZ Ltd. London Branch 0.01% 6/8/28 (Reg. S)
EUR
998,000
941,070
Norway - 0.3%
 
  
  
DNB Bank ASA:
  
  
  
 3.125% 9/21/27 (Reg. S) (b)
EUR
170,000
181,532
 4% 8/17/27 (Reg. S) (b)
GBP
100,000
123,058
Equinor ASA 1.375% 5/22/32 (Reg. S)
EUR
241,000
225,554
Kommunalbanken A/S 0.6% 6/1/26
AUD
500,000
300,914
Sparebank 1 Boligkreditt A/S 0.01% 9/22/27 (Reg. S)
EUR
1,151,000
1,119,640
Telenor ASA:
  
  
  
 0.75% 5/31/26 (Reg. S)
EUR
100,000
101,981
 1.125% 5/31/29 (Reg. S)
EUR
157,000
152,666
TOTAL NORWAY
  
  
2,205,345
Portugal - 0.1%
 
  
  
Banco Santander Totta SA 3.375% 4/19/28 (Reg. S)
EUR
400,000
433,770
EDP Finance BV 1.875% 9/21/29 (Reg. S)
EUR
100,000
99,449
TOTAL PORTUGAL
  
  
533,219
Spain - 0.5%
 
  
  
Abertis Infraestructuras SA 2.375% 9/27/27 (Reg. S)
EUR
400,000
413,955
Banco Bilbao Vizcaya Argentaria SA 4.375% 10/14/29 (Reg. S)
EUR
300,000
339,547
Banco Santander SA:
  
  
  
 0.2% 2/11/28 (Reg. S)
EUR
300,000
285,841
 0.5% 3/24/27 (Reg. S) (b)
EUR
100,000
101,143
 1.375% 1/5/26 (Reg. S)
EUR
300,000
311,270
 2.125% 2/8/28 (Reg. S)
EUR
100,000
101,618
 3.125% 1/19/27 (Reg. S)
EUR
100,000
106,147
 3.75% 1/9/34 (Reg. S)
EUR
100,000
108,785
 5.125% 1/25/30 (Reg. S)
GBP
100,000
126,856
 5.75% 8/23/33 (Reg. S) (b)
EUR
100,000
113,208
CaixaBank SA:
  
  
  
 0.5% 2/9/29 (Reg. S) (b)
EUR
100,000
95,748
 0.75% 5/26/28 (Reg. S) (b)
EUR
300,000
296,571
 1.5% 12/3/26 (Reg. S) (b)
GBP
200,000
236,815
 2.25% 4/17/30 (Reg. S) (b)
EUR
100,000
105,164
 5% 7/19/29 (Reg. S) (b)
EUR
100,000
112,887
 6.25% 2/23/33 (Reg. S) (b)
EUR
100,000
114,164
Comunidad de Madrid 1.571% 4/30/29 (Reg. S)
EUR
316,000
317,429
Iberdrola Finanzas SAU 3.375% 11/22/32 (Reg. S)
EUR
100,000
107,812
Naturgy Finance BV:
  
  
  
 1.25% 1/15/26 (Reg. S)
EUR
200,000
206,686
 1.5% 1/29/28 (Reg. S)
EUR
100,000
100,701
Telefonica Emisiones S.A.U. 1.93% 10/17/31 (Reg. S)
EUR
300,000
292,779
TOTAL SPAIN
  
  
3,995,126
Sweden - 0.9%
 
  
  
Akelius Residential Property Financing BV 1% 1/17/28 (Reg. S)
EUR
100,000
94,943
Fastighets AB Balder 1.25% 1/28/28 (Reg. S)
EUR
108,000
100,052
Heimstaden Bostad Treasury BV:
  
  
  
 0.625% 7/24/25 (Reg. S)
EUR
160,000
158,824
 1.375% 7/24/28 (Reg. S)
EUR
135,000
114,228
Investor AB 1.5% 9/12/30 (Reg. S)
EUR
120,000
116,387
Kommuninvest I Sverige AB:
  
  
  
 1% 5/12/25 (Reg. S)
SEK
9,970,000
904,112
 1% 11/12/26 (Reg. S)
SEK
6,710,000
592,569
Lansforsakringar Hypotek AB:
  
  
  
 1.25% 9/17/25
SEK
400,000
36,140
 1.5% 9/16/26 (Reg. S)
SEK
5,600,000
501,440
Nordea Hypotek AB 1% 9/17/25
SEK
1,700,000
153,220
Sagax AB 2.25% 3/13/25 (Reg. S)
EUR
120,000
126,783
Samhallsbyggnadsbolaget I Norden AB 2.25% 8/12/27 (Reg. S)
EUR
108,000
77,442
Skandinaviska Enskilda Banken AB:
  
  
  
 0.75% 11/15/27 (Reg. S)
EUR
100,000
99,431
 1.75% 11/11/26 (Reg. S)
EUR
210,000
217,390
 3.25% 5/4/28 (Reg. S)
EUR
250,000
271,943
 3.75% 2/7/28 (Reg. S)
EUR
160,000
173,843
Stadshypotek AB 0.375% 3/13/26 (Reg. S)
EUR
500,000
510,132
Svenska Handelsbanken AB:
  
  
  
 0.5% 2/18/30 (Reg. S)
EUR
100,000
91,421
 1% 4/15/25 (Reg. S)
EUR
220,000
230,713
Swedbank AB:
  
  
  
 0.3% 5/20/27 (Reg. S) (b)
EUR
240,000
240,846
 2.1% 5/25/27 (Reg. S)
EUR
108,000
112,267
Swedbank Hypotek AB:
  
  
  
 1% 9/18/24 (Reg. S)
SEK
800,000
73,747
 3.125% 7/5/28 (Reg. S)
EUR
390,000
422,178
Swedish Covered Bond Corp. 2% 6/17/26 (Reg. S)
SEK
11,000,000
999,347
Telia Co. AB 0.125% 11/27/30 (Reg. S)
EUR
310,000
274,785
Vattenfall AB 0.125% 2/12/29 (Reg. S)
EUR
108,000
99,842
TOTAL SWEDEN
  
  
6,794,025
Switzerland - 0.8%
 
  
  
Argentum Netherlands BV 2.75% 2/19/49 (Reg. S) (b)
EUR
120,000
122,510
Holcim Finance Luxembourg SA 0.5% 4/23/31 (Reg. S)
EUR
130,000
113,442
Pfandbrief Schweiz Hypo:
  
  
  
 0% 7/29/24 (Reg. S)
CHF
40,000
44,132
 0% 10/26/29 (Reg. S)
CHF
50,000
51,566
 0% 8/26/49 (Reg. S)
CHF
520,000
405,696
 0.125% 12/19/31 (Reg. S)
CHF
1,270,000
1,282,037
Pfandbriefbank Schweizerischer Hypothekarinstitute AG:
  
  
  
 0% 3/13/28 (Reg. S)
CHF
1,070,000
1,127,351
 0% 7/25/31 (Reg. S)
CHF
340,000
342,040
 0.1% 12/3/31 (Reg. S)
CHF
195,000
196,762
 0.5% 11/24/28 (Reg. S)
CHF
40,000
42,747
UBS AG Australia BRH 5.808% 11/24/28 (Reg. S)
AUD
90,000
60,642
UBS Group AG:
  
  
  
 0.25% 1/29/26 (Reg. S) (b)
EUR
669,000
699,626
 0.65% 1/14/28 (Reg. S) (b)
EUR
100,000
98,989
 1% 6/24/27 (Reg. S) (b)
EUR
150,000
152,123
 1.25% 7/17/25 (Reg. S) (b)
EUR
307,000
328,429
 2.125% 11/15/29 (Reg. S) (b)
GBP
130,000
145,042
 2.875% 4/2/32 (Reg. S) (b)
EUR
270,000
273,125
 3.25% 4/2/26 (Reg. S) (b)
EUR
605,000
646,903
 7.75% 3/1/29 (Reg. S) (b)
EUR
100,000
123,006
TOTAL SWITZERLAND
  
  
6,256,168
United Kingdom - 1.4%
 
  
  
AA Bond Co. Ltd.:
  
  
  
 7.375% 7/31/50 (Reg. S)
GBP
120,000
156,309
 8.45% 7/31/50 (Reg. S)
GBP
130,000
174,448
Anglian Water Services Financing PLC 1.625% 8/10/25 (Reg. S)
GBP
240,000
287,979
Annington Funding PLC 2.308% 10/6/32 (Reg. S)
GBP
104,000
103,015
Barclays PLC:
  
  
  
 1.106% 5/12/32 (Reg. S) (b)
EUR
110,000
97,604
 3.25% 1/17/33
GBP
299,000
321,266
BAT International Finance PLC 2.25% 6/26/28 (Reg. S)
GBP
100,000
111,826
BAT Netherlands Finance BV:
  
  
  
 3.125% 4/7/28 (Reg. S)
EUR
100,000
106,172
 5.375% 2/16/31 (Reg. S)
EUR
110,000
128,583
BP Capital Markets BV 0.933% 12/4/40 (Reg. S)
EUR
290,000
204,164
BP Capital Markets PLC 1.637% 6/26/29 (Reg. S)
EUR
100,000
99,000
British Telecommunications PLC 3.75% 5/13/31 (Reg. S)
EUR
170,000
185,933
Cadent Finance PLC 3.125% 3/21/40 (Reg. S)
GBP
100,000
93,539
CCEP Finance Ireland DAC 0.875% 5/6/33 (Reg. S)
EUR
110,000
95,691
Clarion Funding PLC 1.25% 11/13/32 (Reg. S)
GBP
120,000
112,887
Heathrow Funding Ltd.:
  
  
  
 2.625% 3/16/28 (Reg. S)
GBP
190,000
215,247
 3.661% 1/13/33
CAD
215,000
146,324
HSBC Holdings PLC:
  
  
  
 Eur Swap Annual 5Y Index + 3.300% 6.364% 11/16/32 (Reg. S) (b)(c)
EUR
270,000
310,890
 3% 7/22/28 (b)
GBP
110,000
129,422
 3% 5/29/30 (b)
GBP
130,000
147,383
LCR Finance PLC 5.1% 3/7/51
GBP
93,000
126,305
Legal & General Group PLC 5.125% 11/14/48 (Reg. S) (b)
GBP
100,000
124,059
Lloyds Bank PLC 0.125% 9/23/29 (Reg. S)
EUR
100,000
92,206
Lloyds Banking Group PLC:
  
  
  
 0.5% 11/12/25 (Reg. S) (b)
EUR
130,000
137,340
 1.985% 12/15/31 (b)
GBP
104,000
118,984
 2.25% 10/16/24
GBP
100,000
123,986
 3.5% 4/1/26 (Reg. S) (b)
EUR
404,000
434,292
 5.802% 3/17/29 (b)
AUD
100,000
66,220
London & Quadrant Housing Trust 2% 3/31/32 (Reg. S)
GBP
112,000
113,314
M&G PLC 5.625% 10/20/51 (Reg. S) (b)
GBP
104,000
126,675
Motability Operations Group PLC 1.5% 1/20/41 (Reg. S)
GBP
220,000
167,778
National Grid Electricity Transmission PLC:
  
  
  
 0.19% 1/20/25 (Reg. S)
EUR
160,000
167,683
 0.823% 7/7/32 (Reg. S)
EUR
140,000
121,251
 1.375% 9/16/26 (Reg. S)
GBP
200,000
231,529
National Grid PLC:
  
  
  
 0.25% 9/1/28 (Reg. S)
EUR
130,000
121,980
 2.179% 6/30/26 (Reg. S)
EUR
430,000
449,288
Nationwide Building Society 0.625% 3/25/27 (Reg. S)
EUR
903,000
904,534
NatWest Group PLC:
  
  
  
 3 month EURIBOR EURO INTER + 1.080% 1.75% 3/2/26 (Reg. S) (b)(c)
EUR
110,000
116,348
 3.622% 8/14/30 (Reg. S) (b)
GBP
411,000
503,337
NatWest Markets PLC 6.375% 11/8/27 (Reg. S)
GBP
280,000
368,973
NIE Finance PLC 2.5% 10/27/25 (Reg. S)
GBP
200,000
241,584
Santander UK Group Holdings PLC 7.098% 11/16/27 (Reg. S) (b)
GBP
110,000
143,349
Santander UK PLC 0.05% 1/12/27 (Reg. S)
EUR
200,000
197,502
Segro Capital SARL 1.25% 3/23/26 (Reg. S)
EUR
160,000
164,402
Southern Water Services Finance Ltd. 1.625% 3/30/27 (Reg. S)
GBP
150,000
167,179
Standard Chartered PLC:
  
  
  
 0.8% 11/17/29 (Reg. S) (b)
EUR
110,000
103,995
 0.85% 1/27/28 (Reg. S) (b)
EUR
107,000
106,464
 2.5% 9/9/30 (Reg. S) (b)
EUR
130,000
136,544
Thames Water Utility Finance PLC:
  
  
  
 2.375% 4/22/40 (Reg. S)
GBP
190,000
141,399
 4% 4/18/27 (Reg. S)
EUR
100,000
101,756
Unilever Finance Netherlands BV 3.5% 2/15/37 (Reg. S)
EUR
170,000
186,423
United Utilities Water Finance PLC 2% 2/14/25 (Reg. S)
GBP
580,000
711,557
Vodafone International Financing DAC 3.75% 12/2/34 (Reg. S)
EUR
330,000
363,152
Yorkshire Water Finance PLC 1.75% 10/27/32 (Reg. S)
GBP
100,000
94,456
TOTAL UNITED KINGDOM
  
  
10,703,526
United States of America - 4.4%
 
  
  
ACE INA Holdings, Inc. 1.55% 3/15/28
EUR
639,000
643,909
Air Products & Chemicals, Inc. 0.5% 5/5/28
EUR
1,223,000
1,182,635
Altria Group, Inc.:
  
  
  
 2.2% 6/15/27
EUR
398,000
410,165
 3.125% 6/15/31
EUR
174,000
175,186
American Tower Corp. 1% 1/15/32
EUR
140,000
123,287
Apple, Inc. 0.5% 11/15/31
EUR
911,000
827,307
AT&T, Inc.:
  
  
  
 0.25% 3/4/26
EUR
100,000
101,659
 2.9% 12/4/26
GBP
2,720,000
3,255,867
Athene Global Funding 0.832% 1/8/27 (Reg. S)
EUR
140,000
139,193
Bank of America Corp. 0.694% 3/22/31 (Reg. S) (b)
EUR
486,000
443,354
Becton Dickinson Euro Finance SARL 1.208% 6/4/26
EUR
1,553,000
1,595,515
Berkshire Hathaway, Inc. 2.15% 3/15/28
EUR
797,000
828,206
Booking Holdings, Inc.:
  
  
  
 4.125% 5/12/33
EUR
110,000
124,602
 4.5% 11/15/31
EUR
150,000
173,031
Citigroup, Inc. 4.112% 9/22/33 (Reg. S) (b)
EUR
220,000
245,565
Comcast Corp. 1.875% 2/20/36
GBP
405,000
378,387
CRH SMW Finance DAC 4% 7/11/31 (Reg. S)
EUR
120,000
133,433
DH Europe Finance II SARL:
  
  
  
 0.2% 3/18/26
EUR
2,894,000
2,931,339
 0.75% 9/18/31
EUR
456,000
413,126
 1.35% 9/18/39
EUR
192,000
157,221
Digital Dutch Finco BV 1.5% 3/15/30 (Reg. S)
EUR
100,000
93,773
Digital Intrepid Holding BV 0.625% 7/15/31 (Reg. S)
EUR
100,000
84,320
DXC Technology Co. 1.75% 1/15/26
EUR
914,000
946,875
FedEx Corp. 0.95% 5/4/33
EUR
371,000
315,612
Fidelity National Information Services, Inc. 1.5% 5/21/27
EUR
758,000
768,424
Fiserv, Inc. 2.25% 7/1/25
GBP
925,000
1,124,537
Ford Motor Credit Co. LLC:
  
  
  
 2.33% 11/25/25
EUR
100,000
104,926
 6.125% 5/15/28
EUR
130,000
151,150
General Electric Co.:
  
  
  
 0.875% 5/17/25
EUR
2,219,000
2,319,564
 2.125% 5/17/37
EUR
110,000
104,267
General Motors Financial Co., Inc. 3.9% 1/12/28 (Reg. S)
EUR
100,000
108,813
Goldman Sachs Group, Inc.:
  
  
  
 0.75% 3/23/32 (Reg. S)
EUR
70,000
60,772
 1% 3/18/33 (Reg. S)
EUR
70,000
60,895
 1.25% 2/7/29 (Reg. S)
EUR
50,000
48,857
 1.875% 12/16/30 (Reg. S)
GBP
100,000
105,229
 2% 11/1/28 (Reg. S)
EUR
51,000
51,873
 3.125% 7/25/29 (Reg. S)
GBP
27,000
31,443
 3.375% 3/27/25 (Reg. S)
EUR
488,000
524,362
Honeywell International, Inc. 0.75% 3/10/32
EUR
150,000
133,225
IBM Corp. 1.2% 2/11/40
EUR
272,000
213,694
JPMorgan Chase & Co.:
  
  
  
 0.389% 2/24/28 (Reg. S) (b)
EUR
792,000
781,624
 0.991% 4/28/26 (Reg. S) (b)
GBP
100,000
120,688
 1.638% 5/18/28 (Reg. S) (b)
EUR
210,000
214,048
Linde PLC 0.375% 9/30/33 (Reg. S)
EUR
200,000
166,009
Marsh & McLennan Companies, Inc. 1.349% 9/21/26
EUR
768,000
787,066
McDonald's Corp. 1.6% 3/15/31 (Reg. S)
EUR
200,000
192,083
McKesson Corp. 3.125% 2/17/29
GBP
573,000
675,547
Medtronic Global Holdings SCA:
  
  
  
 0.25% 7/2/25
EUR
100,000
103,468
 1.75% 7/2/49 (Reg. S)
EUR
227,000
170,646
Metropolitan Life Global Funding I:
  
  
  
 1.625% 10/12/28 (Reg. S)
GBP
110,000
122,492
 1.75% 5/25/25 (Reg. S)
EUR
350,000
368,914
Mondelez International Holdings Netherlands BV 0.875% 10/1/31 (Reg. S)
EUR
110,000
99,139
Morgan Stanley:
  
  
  
 1.102% 4/29/33 (b)
EUR
243,000
216,950
 5.789% 11/18/33 (b)
GBP
170,000
225,140
Nestle Finance International Ltd.:
  
  
  
 0% 6/14/26 (Reg. S)
EUR
540,000
544,158
 0.25% 6/14/29 (Reg. S)
EUR
120,000
113,211
 1.25% 11/2/29 (Reg. S)
EUR
30,000
29,427
 3.25% 1/23/37 (Reg. S)
EUR
190,000
203,667
New York Life Global Funding 0.125% 7/23/30 (Reg. S)
CHF
215,000
217,897
Philip Morris International, Inc.:
  
  
  
 1.45% 8/1/39
EUR
100,000
74,623
 2% 5/9/36
EUR
210,000
184,377
PPG Industries, Inc. 0.875% 11/3/25
EUR
744,000
769,449
Procter & Gamble Co.:
  
  
  
 1.375% 5/3/25
GBP
221,000
268,500
 1.8% 5/3/29
GBP
381,000
432,241
Prologis LP 2.25% 6/30/29
GBP
619,000
690,447
Public Storage 0.875% 1/24/32
EUR
245,000
218,313
Realty Income Corp. 1.75% 7/13/33
GBP
413,000
394,048
Schlumberger Finance BV 2% 5/6/32 (Reg. S)
EUR
230,000
225,643
Stellantis NV 2.75% 4/1/32 (Reg. S)
EUR
200,000
203,780
Tapestry, Inc. 5.35% 11/27/25
EUR
140,000
153,486
The Coca-Cola Co. 0.375% 3/15/33
EUR
906,000
769,375
The Dow Chemical Co. 1.875% 3/15/40
EUR
232,000
194,021
Thermo Fisher Scientific Finance I BV 1.625% 10/18/41
EUR
150,000
121,461
Thermo Fisher Scientific, Inc.:
  
  
  
 0.125% 3/1/25
EUR
100,000
104,514
 1.875% 10/1/49
EUR
106,000
82,110
Upjohn Finance BV 1.362% 6/23/27 (Reg. S)
EUR
150,000
149,770
Verizon Communications, Inc.:
  
  
  
 1.3% 5/18/33
EUR
120,000
107,418
 2.1% 5/6/26 (Reg. S)
AUD
200,000
123,470
 3.375% 10/27/36
GBP
486,000
512,035
 4.05% 2/17/25
AUD
680,000
440,236
VF Corp. 0.25% 2/25/28
EUR
606,000
553,790
Wells Fargo & Co. 2.125% 9/24/31 (Reg. S)
GBP
350,000
364,127
Whirlpool EMEA Finance SARL 0.5% 2/20/28
EUR
170,000
162,518
WPC Eurobond BV 2.25% 4/9/26
EUR
110,000
114,451
TOTAL UNITED STATES OF AMERICA
  
  
34,401,975
 
TOTAL NONCONVERTIBLE BONDS
 (Cost $213,026,508)
  
  
  
194,920,961
 
  
  
  
Government Obligations - 70.3%
 
  
Principal
Amount (a)
 
Value ($)
 
Australia - 1.8%
 
  
  
Australian Commonwealth:
  
  
  
 0.25% 11/21/25 (Reg. S)
AUD
2,151,000
1,324,547
 1% 12/21/30 (Reg. S)
AUD
542,000
295,328
 1.25% 5/21/32
AUD
1,576,000
838,572
 1.75% 11/21/32 (Reg. S)
AUD
1,280,000
701,775
 1.75% 6/21/51 (Reg. S)
AUD
809,000
308,800
 2.25% 5/21/28 (Reg. S)
AUD
1,320,000
815,943
 2.75% 4/21/24
AUD
30,000
19,534
 2.75% 11/21/28
AUD
1,329,000
834,296
 2.75% 11/21/29 (Reg. S)
AUD
1,280,000
794,576
 2.75% 5/21/41(Reg. S)
AUD
954,000
508,327
 3% 11/21/33(Reg. S)
AUD
3,690,000
2,219,420
 3% 3/21/47
AUD
468,000
245,250
 3.25% 4/21/25 (Reg. S)
AUD
56,000
36,226
 3.25% 4/21/29(Reg. S)
AUD
70,000
44,787
 4.5% 4/21/33
AUD
1,080,000
733,372
 4.75% 4/21/27(Reg. S)
AUD
370,000
249,075
New South Wales Treasury Corp.:
  
  
  
 1.25% 11/20/30
AUD
670,000
363,225
 4.25% 2/20/36 (Reg. S)
AUD
50,000
30,943
Queensland Treasury Corp.:
  
  
  
 1.75% 8/21/31 (Reg. S) (d)
AUD
2,631,000
1,442,031
 3.25% 7/21/26 (Reg. S) (d)
AUD
247,000
158,551
 3.25% 7/21/28 (Reg. S) (d)
AUD
154,000
97,651
 3.5% 8/21/30 (Reg. S) (d)
AUD
58,000
36,449
South Australian Government Financing Authority:
  
  
  
 1.75% 5/24/32 (Reg. S)
AUD
490,000
261,379
 2% 5/23/36 (Reg. S)
AUD
150,000
72,143
Treasury Corp. of Victoria:
  
  
  
 0.5% 11/20/25
AUD
110,000
67,667
 1.25% 11/19/27
AUD
952,000
563,674
 1.5% 11/20/30
AUD
1,347,000
737,332
 2.5% 10/22/29
AUD
424,000
254,011
 4.75% 9/15/36
AUD
50,000
32,010
Western Australia Treasury Corp. 4.25% 7/20/33
AUD
150,000
96,663
TOTAL AUSTRALIA
  
  
14,183,557
Austria - 0.9%
 
  
  
Austrian Republic:
  
  
  
 0% 10/20/28(Reg. S) (d)
EUR
600,000
574,099
 0% 2/20/30 (Reg. S) (d)
EUR
542,000
500,677
 0% 10/20/40 (Reg. S) (d)
EUR
788,000
522,832
 0.5% 4/20/27 (Reg. S) (d)
EUR
1,281,000
1,291,543
 0.5% 2/20/29 (Reg. S) (d)
EUR
677,000
658,825
 0.75% 10/20/26 (Reg. S) (d)
EUR
185,000
189,625
 0.75% 2/20/28 (Reg. S) (d)
EUR
355,000
356,067
 0.75% 3/20/51 (Reg. S) (d)
EUR
1,200,000
766,239
 0.9% 2/20/32 (Reg. S) (d)
EUR
394,000
369,778
 1.2% 10/20/25 (Reg. S) (d)
EUR
77,000
80,697
 1.5% 2/20/47 (Reg. S) (d)
EUR
403,000
326,822
 2% 7/15/26(Reg. S) (d)
EUR
1,070,000
1,132,633
 2.4% 5/23/34(Reg. S) (d)
EUR
40,000
41,575
 2.9% 2/20/33(Reg. S) (d)
EUR
140,000
152,217
 2.9% 2/20/34(Reg. S) (d)
EUR
200,000
217,207
 3.15% 6/20/44(Reg. S) (d)
EUR
10,000
11,000
 4.15% 3/15/37 (d)
EUR
20,000
24,373
TOTAL AUSTRIA
  
  
7,216,209
Belgium - 1.3%
 
  
  
Belgian Kingdom:
  
  
  
 0% 10/22/27 (Reg. S) (d)
EUR
1,690,000
1,660,494
 0% 10/22/31 (d)
EUR
622,000
548,532
 0.1% 6/22/30 (Reg. S) (d)
EUR
675,000
623,119
 0.35% 6/22/32 (d)
EUR
549,000
488,793
 0.4% 6/22/40 (d)
EUR
1,212,000
853,579
 0.65% 6/22/71 (Reg. S) (d)
EUR
230,000
106,773
 0.8% 6/22/25 (Reg. S) (d)
EUR
105,000
109,949
 0.8% 6/22/27 (d)
EUR
39,000
39,640
 0.9% 6/22/29 (d)
EUR
1,373,000
1,359,104
 1% 6/22/26 (Reg. S) (d)
EUR
161,000
166,879
 1.25% 4/22/33 (Reg. S) (d)
EUR
1,521,000
1,447,166
 1.4% 6/22/53 (Reg. S) (d)
EUR
932,000
650,897
 1.45% 6/22/37 (Reg. S) (d)
EUR
84,000
75,228
 1.6% 6/22/47 (d)
EUR
38,000
29,992
 1.7% 6/22/50 (d)
EUR
23,000
17,948
 1.9% 6/22/38(Reg. S) (d)
EUR
101,000
94,293
 2.25% 6/22/57 (Reg. S) (d)
EUR
124,000
105,303
 2.85% 10/22/34(Reg. S) (d)
EUR
160,000
172,178
 3.3% 6/22/54 (Reg. S) (d)
EUR
360,000
384,992
 3.75% 6/22/45(Reg. S)
EUR
20,000
23,212
 4% 3/28/32
EUR
30,000
35,272
 4.25% 3/28/41 (d)
EUR
545,000
670,760
 5.5% 3/28/28
EUR
40,000
47,770
Flemish Community 3.25% 4/5/33 (Reg. S)
EUR
300,000
327,253
Walloon Region 1.05% 6/22/40 (Reg. S)
EUR
100,000
74,518
TOTAL BELGIUM
  
  
10,113,644
Bulgaria - 0.0%
 
  
  
Bulgarian Republic 4.625% 9/23/34(Reg. S)
EUR
190,000
220,419
Canada - 3.6%
 
  
  
Alberta Province:
  
  
  
 0.5% 4/16/25 (Reg. S)
EUR
100,000
104,627
 0.625% 4/18/25 (Reg. S)
EUR
330,000
345,593
 2.05% 6/1/30
CAD
260,000
172,503
 3.05% 12/1/48
CAD
724,000
423,283
 3.1% 6/1/50
CAD
231,000
135,858
British Columbia Province:
  
  
  
 2.3% 6/18/26
CAD
210,000
148,987
 2.75% 6/18/52
CAD
140,000
77,355
 2.95% 6/18/50
CAD
924,000
532,162
Canada Housing Trust No. 1:
  
  
  
 1.75% 6/15/30 (d)
CAD
730,000
479,998
 2.1% 9/15/29 (d)
CAD
70,000
47,525
 3.6% 12/15/27 (d)
CAD
1,910,000
1,399,628
 4.25% 3/15/34 (d)
CAD
780,000
595,421
Canadian Government:
  
  
  
 0.25% 3/1/26
CAD
548,000
376,445
 0.5% 12/1/30
CAD
491,000
299,802
 1% 9/1/26
CAD
390,000
268,844
 1% 6/1/27
CAD
58,000
39,487
 1.25% 3/1/27
CAD
100,000
68,724
 1.25% 6/1/30
CAD
16,000
10,387
 1.5% 9/1/24
CAD
18,000
13,108
 1.75% 12/1/53
CAD
1,050,000
542,236
 2% 6/1/28
CAD
50,000
34,759
 2% 6/1/32
CAD
2,410,000
1,594,669
 2% 12/1/51
CAD
410,000
228,341
 2.5% 12/1/32
CAD
2,160,000
1,479,404
 2.75% 6/1/33
CAD
430,000
299,650
 2.75% 12/1/48
CAD
310,000
204,684
 2.75% 12/1/64
CAD
490,000
317,466
 3.25% 9/1/28
CAD
510,000
371,810
 3.25% 12/1/33
CAD
1,640,000
1,189,224
 3.5% 3/1/28
CAD
855,000
628,953
City of Montreal 2.3% 9/1/29
CAD
140,000
94,761
City of Ottawa 4.6% 7/14/42
CAD
70,000
51,693
City of Toronto 2.8% 11/22/49
CAD
180,000
96,882
Manitoba Province:
  
  
  
 3.2% 3/5/50
CAD
256,000
151,634
 3.4% 9/5/48
CAD
310,000
190,488
New Brunswick Province:
  
  
  
 3.05% 8/14/50
CAD
227,000
130,680
 3.55% 6/3/43
CAD
100,000
64,626
Newfoundland Province:
  
  
  
 2.65% 10/17/50
CAD
167,000
84,947
 3.3% 10/17/46
CAD
50,000
29,413
 3.7% 10/17/48
CAD
70,000
43,811
Nova Scotia Province 3.15% 12/1/51
CAD
80,000
46,976
Ontario Province:
  
  
  
 0.25% 12/15/26 (Reg. S)
GBP
638,000
717,838
 0.375% 4/8/27 (Reg. S)
EUR
283,000
282,158
 1.05% 9/8/27
CAD
2,770,000
1,858,827
 1.75% 9/8/25
CAD
401,000
285,278
 1.9% 12/2/51
CAD
210,000
95,305
 2.05% 6/2/30
CAD
59,000
39,190
 2.15% 6/2/31
CAD
170,000
111,532
 2.3% 9/8/24
CAD
53,000
38,719
 2.4% 6/2/26
CAD
49,000
34,853
 2.6% 6/2/25
CAD
3,000,000
2,166,520
 2.65% 12/2/50
CAD
49,000
26,607
 2.7% 6/2/29
CAD
1,703,000
1,190,019
 2.8% 6/2/48
CAD
1,868,000
1,057,419
 2.9% 6/2/49
CAD
885,000
507,211
 3.65% 6/2/33
CAD
1,050,000
748,600
 3.75% 12/2/53
CAD
160,000
107,822
 4.7% 6/2/37
CAD
190,000
145,715
Quebec Province:
  
  
  
 0% 10/29/30 (Reg. S)
EUR
1,050,000
936,739
 0.5% 1/25/32 (Reg. S)
EUR
330,000
295,607
 0.75% 12/13/24 (Reg. S)
GBP
192,000
235,011
 1.5% 9/1/31
CAD
1,966,000
1,222,562
 1.9% 9/1/30
CAD
131,000
85,701
 2.25% 9/15/26 (Reg. S)
GBP
112,000
133,633
 2.3% 9/1/29
CAD
1,179,000
804,519
 2.5% 9/1/26
CAD
423,000
300,964
 2.85% 12/1/53
CAD
110,000
61,642
 3.1% 12/1/51
CAD
230,000
136,226
 3.5% 12/1/45
CAD
130,000
83,747
 3.6% 9/1/33
CAD
300,000
211,983
 3.65% 5/20/32
CAD
410,000
295,086
 5% 12/1/38
CAD
90,000
70,981
 5% 12/1/41
CAD
420,000
332,729
Saskatchewan Province 3.1% 6/2/50
CAD
293,000
173,970
TOTAL CANADA
  
  
28,211,557
Chile - 0.1%
 
  
  
Chilean Republic:
  
  
  
 1.25% 1/29/40
EUR
114,000
85,170
 1.875% 5/27/30
EUR
100,000
97,696
 2.3% 10/1/28(Reg. S) (d)
CLP
245,000,000
216,691
 5.1% 7/15/50
CLP
120,000,000
114,479
 6% 1/1/43
CLP
200,000,000
211,934
 7% 5/1/34(Reg. S) (d)
CLP
105,000,000
116,714
TOTAL CHILE
  
  
842,684
China - 16.0%
 
  
  
Agricultural Development Bank of China 3.3% 11/5/31
CNY
42,520,000
6,203,896
China Development Bank:
  
  
  
 2.83% 9/10/26
CNY
59,070,000
8,301,853
 3% 1/17/32
CNY
10,000,000
1,431,646
 3.02% 3/6/33
CNY
16,400,000
2,360,103
 3.34% 7/14/25
CNY
19,020,000
2,674,855
 3.41% 6/7/31
CNY
2,540,000
372,604
 3.48% 1/8/29
CNY
62,240,000
9,039,415
 3.5% 11/4/46
CNY
820,000
129,590
 3.68% 2/26/26
CNY
27,100,000
3,860,036
 3.7% 10/20/30
CNY
17,030,000
2,530,710
 3.8% 1/25/36
CNY
550,000
85,725
 3.9% 8/3/40
CNY
12,690,000
2,042,828
Peoples Republic of China:
  
  
  
 0.5% 11/12/31 (Reg. S)
EUR
110,000
98,425
 2% 6/15/25
CNY
37,770,000
5,231,987
 2.18% 8/25/25
CNY
20,460,000
2,839,532
 2.35% 2/25/34
CNY
9,440,000
1,312,664
 2.37% 1/20/27
CNY
5,670,000
790,012
 2.37% 1/15/29
CNY
7,130,000
993,861
 2.39% 11/15/26
CNY
14,910,000
2,080,900
 2.4% 7/15/28
CNY
50,010,000
6,968,768
 2.44% 10/15/27
CNY
4,120,000
574,834
 2.48% 4/15/27
CNY
6,860,000
959,700
 2.5% 7/25/27
CNY
21,290,000
2,976,499
 2.52% 8/25/33
CNY
35,920,000
5,020,181
 2.55% 10/15/28
CNY
36,740,000
5,155,138
 2.6% 9/15/30
CNY
1,630,000
228,738
 2.6% 9/1/32
CNY
15,220,000
2,136,084
 2.62% 9/25/29
CNY
13,690,000
1,923,698
 2.64% 1/15/28
CNY
20,000,000
2,809,264
 2.67% 11/25/33
CNY
25,000,000
3,555,053
 2.68% 5/21/30
CNY
1,760,000
248,045
 2.7% 11/3/26
CNY
20,270,000
2,851,989
 2.75% 6/15/29
CNY
11,830,000
1,673,821
 2.75% 2/17/32
CNY
9,650,000
1,368,078
 2.76% 5/15/32
CNY
20,700,000
2,938,021
 2.79% 12/15/29
CNY
8,320,000
1,180,155
 2.8% 3/24/29
CNY
7,560,000
1,072,626
 2.8% 11/15/32
CNY
12,110,000
1,727,021
 2.88% 2/25/33
CNY
5,620,000
807,243
 3.02% 10/22/25
CNY
41,220,000
5,803,418
 3.02% 5/27/31
CNY
2,210,000
318,776
 3.12% 10/25/52
CNY
9,420,000
1,431,668
 3.19% 4/15/53
CNY
2,170,000
341,972
 3.25% 6/6/26
CNY
18,000,000
2,561,350
 3.27% 11/19/30
CNY
40,000
5,866
 3.27% 3/25/73
CNY
4,040,000
649,996
 3.32% 4/15/52
CNY
19,390,000
3,038,212
 3.53% 10/18/51
CNY
2,230,000
361,054
 3.73% 5/25/70
CNY
1,050,000
184,873
 3.81% 9/14/50
CNY
41,140,000
6,949,193
 3.82% 11/19/68
CNY
4,580,000
822,472
 3.86% 7/22/49
CNY
17,330,000
2,921,100
 4.12% 8/2/42
CNY
3,320,000
571,258
TOTAL CHINA
  
  
124,516,806
Colombia - 0.2%
 
  
  
Colombian Republic:
  
  
  
 5.75% 11/3/27
COP
2,000,000,000
461,160
 7% 3/26/31
COP
3,780,000,000
840,421
 7% 6/30/32
COP
873,300,000
188,586
 7.25% 10/18/34
COP
1,541,500,000
323,908
TOTAL COLOMBIA
  
  
1,814,075
Croatia - 0.1%
 
  
  
Croatia Republic:
  
  
  
 1.125% 6/19/29 (Reg. S)
EUR
151,000
147,939
 1.75% 3/4/41(Reg. S)
EUR
100,000
81,824
 2.7% 6/15/28
EUR
200,000
213,410
TOTAL CROATIA
  
  
443,173
Cyprus - 0.0%
 
  
  
Republic of Cyprus:
  
  
  
 2.25% 4/16/50 (Reg. S)
EUR
59,000
48,611
 2.375% 9/25/28 (Reg. S)
EUR
84,000
88,231
 2.75% 6/27/24 (Reg. S)
EUR
32,000
34,437
TOTAL CYPRUS
  
  
171,279
Czech Republic - 0.2%
 
  
  
Czech Republic:
  
  
  
 0.25% 2/10/27
CZK
10,030,000
387,755
 1.2% 3/13/31
CZK
5,250,000
188,150
 1.25% 2/14/25
CZK
170,000
7,047
 1.5% 4/24/40
CZK
10,600,000
315,527
 1.75% 6/23/32
CZK
7,650,000
277,004
 2% 10/13/33
CZK
2,230,000
80,268
 4.85% 11/26/57 (Reg. S)
CZK
1,830,000
86,998
 5.5% 12/12/28
CZK
7,560,000
346,065
TOTAL CZECH REPUBLIC
  
  
1,688,814
Denmark - 0.3%
 
  
  
Danish Kingdom:
  
  
  
 0% 11/15/31
DKK
610,000
74,560
 0.25% 11/15/52 (Reg. S)
DKK
1,761,000
140,903
 0.5% 11/15/27
DKK
3,050,000
412,063
 0.5% 11/15/29(Reg. S)
DKK
7,384,000
969,147
 4.5% 11/15/39
DKK
3,960,000
719,653
TOTAL DENMARK
  
  
2,316,326
Finland - 0.4%
 
  
  
Finnish Government:
  
  
  
 0% 9/15/24 (d)
EUR
84,000
89,113
 0% 9/15/30 (Reg. S) (d)
EUR
260,000
236,715
 0.125% 4/15/36 (Reg. S) (d)
EUR
452,000
351,071
 0.125% 4/15/52 (Reg. S) (d)
EUR
294,000
151,454
 0.25% 9/15/40 (Reg. S) (d)
EUR
433,000
302,700
 0.5% 4/15/26 (Reg. S) (d)
EUR
44,000
45,207
 0.5% 9/15/28 (Reg. S) (d)
EUR
400,000
392,524
 0.5% 4/15/43(Reg. S) (d)
EUR
63,000
43,618
 1.125% 4/15/34 (Reg. S) (d)
EUR
166,000
153,085
 1.5% 9/15/32(Reg. S) (d)
EUR
270,000
264,327
 2.625% 7/4/42 (d)
EUR
20,000
20,486
 2.875% 4/15/29(Reg. S) (d)
EUR
290,000
315,972
 4% 7/4/25 (d)
EUR
710,000
773,486
TOTAL FINLAND
  
  
3,139,758
France - 5.7%
 
  
  
Caisse d'Amort de la Dette Sociale 0.125% 12/15/25 (Reg. S)
GBP
400,000
467,248
French Government:
  
  
  
 0% 3/25/25(Reg. S) (d)
EUR
14,000
14,612
 0% 2/25/26 (Reg. S) (d)
EUR
5,043,000
5,148,946
 0% 2/25/27 (Reg. S) (d)
EUR
315,000
314,105
 0% 11/25/29 (Reg. S) (d)
EUR
3,307,000
3,082,783
 0% 11/25/30 (Reg. S) (d)
EUR
1,209,000
1,096,933
 0% 11/25/31 (Reg. S) (d)
EUR
747,000
658,743
 0% 5/25/32 (Reg. S) (d)
EUR
883,000
766,910
 0.25% 11/25/26(Reg. S) (d)
EUR
1,615,000
1,631,275
 0.5% 5/25/26 (d)
EUR
33,000
33,870
 0.5% 5/25/29 (Reg. S) (d)
EUR
1,326,000
1,285,709
 0.5% 5/25/40 (Reg. S) (d)
EUR
3,197,000
2,323,799
 0.5% 6/25/44(Reg. S) (d)
EUR
690,000
452,971
 0.5% 5/25/72 (d)
EUR
50,000
21,309
 0.75% 2/25/28(Reg. S) (d)
EUR
3,330,000
3,340,034
 0.75% 5/25/28 (Reg. S) (d)
EUR
473,000
472,667
 0.75% 5/25/52 (Reg. S) (d)
EUR
2,316,000
1,372,680
 0.75% 5/25/53 (Reg. S) (d)
EUR
2,348,000
1,360,529
 1% 11/25/25(Reg. S) (d)
EUR
36,000
37,577
 1% 5/25/27 (d)
EUR
3,126,000
3,199,510
 1.25% 5/25/34(Reg. S) (d)
EUR
137,000
127,491
 1.25% 5/25/36(Reg. S) (d)
EUR
2,368,000
2,118,241
 1.5% 5/25/31(Reg. S) (d)
EUR
1,913,000
1,911,355
 1.5% 5/25/50 (Reg. S) (d)
EUR
354,000
266,949
 1.75% 6/25/39 (Reg. S) (d)
EUR
655,000
597,467
 1.75% 5/25/66 (d)
EUR
33,000
24,313
 2% 11/25/32(Reg. S) (d)
EUR
2,970,000
3,024,846
 2% 5/25/48 (d)
EUR
124,000
106,845
 2.5% 9/24/26(Reg. S) (d)
EUR
420,000
449,485
 2.5% 5/25/30 (d)
EUR
840,000
899,595
 2.5% 5/25/43(Reg. S) (d)
EUR
1,630,000
1,586,566
 2.75% 2/25/29(Reg. S) (d)
EUR
1,570,000
1,701,078
 3% 5/25/33 (Reg. S) (d)
EUR
870,000
956,151
 3% 5/25/54(Reg. S) (d)
EUR
610,000
622,879
 3.5% 11/25/33(Reg. S) (d)
EUR
1,700,000
1,940,343
 4% 4/25/60 (d)
EUR
230,000
286,701
 4.75% 4/25/35 (d)
EUR
100,000
126,886
La Banque Postale 0.75% 8/2/32 (Reg. S) (b)
EUR
100,000
96,297
TOTAL FRANCE
  
  
43,925,698
Germany - 6.1%
 
  
  
Bundeslaender Bundesrepublik 0.01% 2/4/31 (Reg. S)
EUR
50,000
44,980
Free & Hanseatic City of Hamburg 0.25% 2/18/41 (Reg. S)
EUR
190,000
130,657
Free State of Saxony 0.01% 12/17/35 (Reg. S)
EUR
490,000
382,944
German Federal Republic:
  
  
  
 0% 4/11/25 (Reg. S)
EUR
5,000
5,217
 0% 4/10/26 (Reg. S)
EUR
260,000
265,489
 0% 8/15/26(Reg. S)
EUR
57,000
57,808
 0% 10/9/26 (Reg. S)
EUR
2,560,000
2,587,876
 0% 4/16/27 (Reg. S)
EUR
4,600,000
4,603,459
 0% 8/15/29(Reg. S)
EUR
765,000
732,147
 0% 2/15/30 (Reg. S)
EUR
451,000
427,147
 0% 8/15/30 (Reg. S)
EUR
4,361,000
4,089,167
 0% 2/15/32 (Reg. S)
EUR
8,000
7,257
 0% 8/15/50
EUR
1,130,000
649,866
 0% 8/15/52 (Reg. S)
EUR
150,000
82,388
 0.25% 2/15/29
EUR
6,000
5,874
 0.5% 2/15/28
EUR
7,000
7,035
 1.25% 8/15/48 (e)
EUR
1,523,000
1,284,369
 1.8% 8/15/53(Reg. S)
EUR
1,740,000
1,624,318
 2.1% 4/12/29(Reg. S)
EUR
760,000
811,440
 2.1% 11/15/29(Reg. S)
EUR
2,540,000
2,712,843
 2.2% 2/15/34(Reg. S)
EUR
2,330,000
2,493,033
 2.3% 2/15/33(Reg. S)
EUR
2,350,000
2,544,247
 2.4% 11/15/30(Reg. S)
EUR
4,450,000
4,838,781
 2.5% 3/19/26(Reg. S)
EUR
2,110,000
2,261,236
 2.5% 7/4/44
EUR
20,000
21,617
 2.5% 8/15/54(Reg. S)
EUR
130,000
141,549
 2.6% 8/15/33(Reg. S)
EUR
860,000
952,936
 3.1% 12/12/25 (Reg. S)
EUR
2,130,000
2,302,799
 3.25% 7/4/42 (f)
EUR
3,520,000
4,221,359
 4% 1/4/37
EUR
40,000
50,634
 4.75% 7/4/40
EUR
20,000
28,109
Land Berlin:
  
  
  
 0.125% 11/24/45 (Reg. S)
EUR
270,000
157,891
 2.75% 2/14/33
EUR
340,000
367,887
Land Brandenburg 0.05% 7/1/31 (Reg. S)
EUR
110,000
98,303
Land Hessen 0.01% 6/18/31 (Reg. S)
EUR
160,000
142,719
Land Niedersachsen:
  
  
  
 0.01% 11/25/27 (Reg. S)
EUR
430,000
419,256
 0.01% 1/10/31 (Reg. S)
EUR
130,000
117,108
 1.125% 9/12/33 (Reg. S)
EUR
70,000
65,431
Land Nordrhein-Westfalen:
  
  
  
 0.2% 3/31/27 (Reg. S)
EUR
1,513,000
1,507,735
 0.2% 4/9/30 (Reg. S)
EUR
725,000
675,189
 0.2% 1/27/51 (Reg. S)
EUR
50,000
25,864
 0.5% 11/25/39 (Reg. S)
EUR
72,000
53,682
 0.625% 7/21/31 (Reg. S)
EUR
24,000
22,356
 0.8% 7/30/49 (Reg. S)
EUR
104,000
67,704
 1.25% 5/12/36 (Reg. S)
EUR
226,000
203,980
 1.375% 1/15/20 (Reg. S)
EUR
70,000
40,236
 1.55% 6/16/48 (Reg. S)
EUR
178,000
143,198
 1.65% 2/22/38 (Reg. S)
EUR
607,000
559,752
 1.95% 9/26/78 (Reg. S)
EUR
270,000
211,272
Land Rheinland Pfalz 0.01% 1/21/31 (Reg. S)
EUR
50,000
45,069
Landwirtschaftliche Rentenbank:
  
  
  
 0.05% 12/18/29 (Reg. S)
EUR
42,000
39,068
 0.875% 12/15/26 (Reg. S)
GBP
19,000
21,884
 1.375% 9/8/25 (Reg. S)
GBP
1,512,000
1,818,620
 2.6% 3/23/27 (Reg. S)
AUD
60,000
37,426
 4% 1/19/28
AUD
350,000
226,455
TOTAL GERMANY
  
  
47,436,666
Greece - 0.2%
 
  
  
Greek Government:
  
  
  
 1.875% 1/24/52(Reg. S) (d)
EUR
200,000
147,519
 3.9% 1/30/33(Reg. S)
EUR
1,280,000
1,447,827
TOTAL GREECE
  
  
1,595,346
Hong Kong - 0.0%
 
  
  
Hong Kong Government SAR 1.59% 3/4/36
HKD
1,050,000
105,377
Hungary - 0.2%
 
  
  
Hungarian Republic:
  
  
  
 1% 11/26/25
HUF
30,380,000
76,149
 1.5% 4/22/26
HUF
43,280,000
107,176
 1.625% 4/28/32 (Reg. S)
EUR
246,000
217,377
 2.5% 10/24/24
HUF
3,780,000
10,102
 2.75% 12/22/26
HUF
30,520,000
75,587
 3% 8/21/30
HUF
64,320,000
143,207
 3% 4/25/41
HUF
227,580,000
394,783
 4.5% 3/23/28
HUF
112,000,000
283,631
TOTAL HUNGARY
  
  
1,308,012
Indonesia - 0.9%
 
  
  
Indonesian Republic:
  
  
  
 1.45% 9/18/26
EUR
100,000
101,985
 2.15% 7/18/24 (Reg. S)
EUR
129,000
137,983
 5.125% 4/15/27
IDR
9,200,000,000
558,963
 5.5% 4/15/26
IDR
1,000,000
62
 6.375% 8/15/28
IDR
6,111,000,000
382,925
 6.375% 4/15/42
IDR
900,000,000
54,636
 6.5% 6/15/25
IDR
717,000,000
45,212
 6.5% 2/15/31
IDR
4,193,000,000
262,476
 6.625% 2/15/34
IDR
11,657,000,000
728,637
 6.875% 8/15/51
IDR
528,000,000
32,915
 7% 9/15/30
IDR
15,924,000,000
1,024,682
 7% 2/15/33
IDR
24,508,000,000
1,579,999
 7.125% 6/15/42
IDR
2,600,000,000
167,003
 7.375% 5/15/48
IDR
8,728,000,000
577,586
 7.5% 6/15/35
IDR
1,449,000,000
96,691
 7.5% 5/15/38
IDR
1,631,000,000
108,304
 7.5% 4/15/40
IDR
9,622,000,000
639,646
 8.375% 4/15/39
IDR
1,794,000,000
128,426
TOTAL INDONESIA
  
  
6,628,131
Ireland - 0.4%
 
  
  
Irish Republic:
  
  
  
 0.2% 5/15/27 (Reg. S)
EUR
225,000
225,089
 0.2% 10/18/30 (Reg. S)
EUR
86,000
79,643
 0.35% 10/18/32 (Reg. S)
EUR
290,000
258,935
 0.4% 5/15/35 (Reg. S)
EUR
355,000
297,240
 0.55% 4/22/41 (Reg. S)
EUR
130,000
95,463
 0.9% 5/15/28 (Reg. S)
EUR
132,000
133,254
 1% 5/15/26(Reg. S)
EUR
188,000
195,219
 1.1% 5/15/29 (Reg. S)
EUR
689,000
691,518
 1.3% 5/15/33
EUR
570,000
547,679
 1.5% 5/15/50 (Reg. S)
EUR
310,000
243,542
 1.7% 5/15/37
EUR
380,000
358,307
TOTAL IRELAND
  
  
3,125,889
Israel - 0.2%
 
  
  
Israeli State:
  
  
  
 1% 3/31/30
ILS
1,812,000
411,351
 1.3% 4/30/32
ILS
840,000
182,384
 1.5% 1/16/29 (Reg. S)
EUR
335,000
321,659
 1.5% 5/31/37
ILS
738,000
140,072
 1.75% 8/31/25
ILS
1,890,000
498,086
 2.8% 11/29/52
ILS
930,000
172,612
 3.75% 3/31/47
ILS
476,000
110,376
TOTAL ISRAEL
  
  
1,836,540
Italy - 5.6%
 
  
  
Italian Republic:
  
  
  
 0.35% 2/1/25
EUR
191,000
200,695
 0.45% 2/15/29(Reg. S)
EUR
190,000
180,117
 0.85% 1/15/27 (Reg. S)
EUR
81,000
82,140
 0.9% 4/1/31
EUR
82,000
75,083
 0.95% 9/15/27 (Reg. S)
EUR
1,948,000
1,954,698
 0.95% 8/1/30 (Reg. S)
EUR
142,000
132,754
 0.95% 6/1/32 (Reg. S)
EUR
701,000
623,812
 1.1% 4/1/27 (Reg. S)
EUR
2,024,000
2,058,451
 1.35% 4/1/30 (Reg. S)
EUR
1,950,000
1,886,355
 1.45% 11/15/24 (Reg. S)
EUR
245,000
260,842
 1.45% 5/15/25
EUR
80,000
84,476
 1.45% 3/1/36 (Reg. S) (d)
EUR
1,347,000
1,133,493
 1.6% 6/1/26
EUR
179,000
186,828
 1.65% 3/1/32 (d)
EUR
575,000
545,179
 1.7% 9/1/51 (Reg. S) (d)
EUR
536,000
360,599
 1.8% 3/1/41 (Reg. S) (d)
EUR
2,851,000
2,253,916
 2.05% 8/1/27
EUR
213,000
222,212
 2.1% 7/15/26
EUR
1,186,000
1,249,698
 2.15% 9/1/52 (Reg. S) (d)
EUR
962,000
706,691
 2.15% 3/1/72 (Reg. S) (d)
EUR
79,000
53,510
 2.2% 6/1/27 (Reg. S)
EUR
1,612,000
1,692,070
 2.25% 9/1/36 (Reg. S) (d)
EUR
639,000
585,343
 2.45% 9/1/33 (d)
EUR
897,000
883,786
 2.45% 9/1/50 (Reg. S) (d)
EUR
77,000
61,629
 2.5% 11/15/25
EUR
2,093,000
2,231,162
 2.5% 12/1/32(Reg. S)
EUR
260,000
260,138
 2.65% 12/1/27(Reg. S)
EUR
640,000
679,624
 2.7% 3/1/47 (d)
EUR
116,000
100,291
 2.8% 6/15/29(Reg. S)
EUR
1,740,000
1,841,266
 2.8% 3/1/67 (d)
EUR
120,000
97,853
 2.95% 9/1/38 (d)
EUR
433,000
418,541
 3% 8/1/29
EUR
2,038,000
2,178,059
 3.1% 3/1/40 (Reg. S) (d)
EUR
1,208,000
1,170,423
 3.35% 3/1/35 (d)
EUR
1,808,000
1,888,689
 3.45% 3/1/48 (d)
EUR
1,000
978
 3.6% 9/29/25(Reg. S)
EUR
3,700,000
4,003,521
 3.7% 6/15/30(Reg. S)
EUR
1,220,000
1,344,479
 3.75% 9/1/24
EUR
80,000
86,295
 3.8% 4/15/26(Reg. S)
EUR
630,000
687,301
 3.85% 12/15/29(Reg. S)
EUR
1,770,000
1,968,971
 3.85% 9/1/49 (d)
EUR
679,000
704,651
 4% 11/15/30(Reg. S)
EUR
2,510,000
2,811,854
 4.1% 2/1/29}(Reg. S)
EUR
130,000
145,929
 4.2% 3/1/34(Reg. S)
EUR
590,000
666,438
 4.4% 5/1/33(Reg. S)
EUR
760,000
874,664
 4.45% 9/1/43(Reg. S) (d)
EUR
900,000
1,016,800
 4.5% 3/1/26 (d)
EUR
50,000
55,194
 4.5% 10/1/53(Reg. S) (d)
EUR
390,000
443,380
 5% 3/1/25 (d)
EUR
80,000
87,386
 5% 8/1/34 (d)
EUR
20,000
24,063
 5% 8/1/39 (d)
EUR
20,000
24,116
 6.5% 11/1/27
EUR
50,000
60,113
TOTAL ITALY
  
  
43,346,556
Japan - 9.9%
 
  
  
Development Bank of Japan 3.125% 4/13/28 (Reg. S)
EUR
140,000
151,548
Japan Government:
  
  
  
 0.005% 1/1/25
JPY
34,300,000
226,519
 0.005% 3/20/27
JPY
121,200,000
795,862
 0.005% 6/20/27
JPY
230,000,000
1,509,054
 0.1% 12/20/24
JPY
4,300,000
28,418
 0.1% 3/20/25
JPY
50,000
330
 0.1% 9/20/25
JPY
15,500,000
102,395
 0.1% 3/20/26
JPY
19,900,000
131,243
 0.1% 9/20/26
JPY
63,300,000
417,175
 0.1% 12/20/26
JPY
70,150,000
462,226
 0.1% 3/20/27
JPY
295,100,000
1,943,180
 0.1% 6/20/27
JPY
32,450,000
213,570
 0.1% 9/20/27
JPY
13,700,000
90,096
 0.1% 9/20/27
JPY
177,000,000
1,164,016
 0.1% 12/20/27
JPY
75,800,000
497,898
 0.1% 3/20/28
JPY
53,650,000
351,932
 0.1% 6/20/28
JPY
30,400,000
199,235
 0.1% 9/20/28
JPY
231,650,000
1,515,396
 0.1% 12/20/28
JPY
69,800,000
455,761
 0.1% 3/20/29
JPY
23,050,000
150,288
 0.1% 6/20/29
JPY
119,650,000
779,219
 0.1% 12/20/29
JPY
617,250,000
4,012,614
 0.1% 3/20/30
JPY
15,400,000
99,972
 0.1% 6/20/30
JPY
393,950,000
2,553,544
 0.1% 9/20/30
JPY
362,600,000
2,345,882
 0.1% 12/20/30
JPY
83,550,000
539,405
 0.1% 3/20/31
JPY
270,050,000
1,739,680
 0.2% 12/20/27
JPY
169,000,000
1,114,174
 0.2% 6/20/28
JPY
54,650,000
359,698
 0.2% 12/20/28
JPY
46,550,000
305,373
 0.2% 3/20/32
JPY
28,000,000
180,019
 0.2% 6/20/32
JPY
84,300,000
540,432
 0.2% 9/20/32
JPY
53,150,000
339,829
 0.2% 6/20/36
JPY
308,050,000
1,869,382
 0.3% 12/20/25
JPY
821,250,000
5,438,706
 0.3% 6/20/39
JPY
158,200,000
920,869
 0.3% 9/20/39
JPY
56,150,000
325,342
 0.3% 12/20/39
JPY
900,000
5,187
 0.3% 6/20/46
JPY
137,800,000
698,394
 0.4% 6/20/25
JPY
12,550,000
83,236
 0.4% 9/20/25
JPY
44,650,000
296,257
 0.4% 3/20/36
JPY
192,500,000
1,201,961
 0.4% 3/20/40
JPY
51,800,000
301,961
 0.4% 6/20/40
JPY
10,450,000
60,664
 0.4% 9/20/40
JPY
73,150,000
422,582
 0.4% 9/20/49
JPY
5,450,000
26,735
 0.4% 3/20/50
JPY
35,400,000
172,120
 0.4% 3/20/56
JPY
505,000,000
2,232,235
 0.5% 3/20/33
JPY
20,850,000
136,174
 0.5% 9/20/36
JPY
93,750,000
588,387
 0.5% 12/20/38
JPY
15,550,000
94,202
 0.5% 3/20/49
JPY
10,450,000
53,201
 0.6% 12/20/33
JPY
301,400,000
1,971,345
 0.6% 6/20/37
JPY
204,850,000
1,288,263
 0.6% 12/20/37
JPY
6,700,000
41,823
 0.6% 6/20/50
JPY
27,350,000
139,919
 0.7% 3/20/37
JPY
22,050,000
140,925
 0.7% 9/20/38
JPY
1,033,250,000
6,472,044
 0.7% 6/20/48
JPY
13,100,000
71,038
 0.7% 12/20/48
JPY
10,800,000
58,140
 0.8% 9/20/33
JPY
83,150,000
555,470
 0.8% 3/20/42
JPY
149,000,000
898,902
 0.8% 9/20/47
JPY
10,200,000
57,162
 0.9% 6/20/42
JPY
345,000,000
2,110,658
 0.9% 9/20/48
JPY
249,150,000
1,413,265
 0.9% 3/20/57
JPY
212,650,000
1,101,866
 1% 12/20/35
JPY
647,550,000
4,342,452
 1% 3/20/52
JPY
170,000,000
946,870
 1.1% 9/20/42
JPY
219,650,000
1,386,967
 1.1% 3/20/43
JPY
45,600,000
286,155
 1.1% 6/20/43
JPY
110,150,000
688,878
 1.2% 3/20/35
JPY
19,650,000
135,167
 1.2% 6/20/53
JPY
98,900,000
575,982
 1.3% 12/20/43
JPY
381,150,000
2,455,897
 1.3% 6/20/52
JPY
232,000,000
1,391,341
 1.3% 3/20/63
JPY
16,550,000
92,101
 1.4% 12/20/42
JPY
193,650,000
1,281,764
 1.4% 12/20/45
JPY
307,650,000
1,986,739
 1.4% 9/20/52
JPY
52,050,000
319,411
 1.4% 3/20/53
JPY
110,700,000
677,948
 1.4% 3/20/55
JPY
5,500,000
33,326
 1.5% 9/20/43
JPY
51,950,000
347,116
 1.6% 6/20/30
JPY
4,600,000
32,600
 1.6% 3/20/33
JPY
4,300,000
30,815
 1.6% 12/20/52
JPY
170,150,000
1,094,128
 1.6% 12/20/53
JPY
154,600,000
986,936
 1.8% 9/20/53
JPY
32,000,000
214,583
 1.9% 3/20/53
JPY
42,450,000
291,547
 2% 3/20/42
JPY
110,000,000
802,045
 2.3% 5/20/32
JPY
1,000,000
7,519
TOTAL JAPAN
  
  
76,972,685
Korea (South) - 2.1%
 
  
  
Korean Republic:
  
  
  
 1.125% 9/10/25
KRW
359,480,000
257,952
 1.125% 9/10/39
KRW
321,370,000
173,751
 1.25% 3/10/26
KRW
2,172,900,000
1,546,333
 1.375% 12/10/29
KRW
41,420,000
27,568
 1.375% 6/10/30
KRW
902,510,000
595,122
 1.5% 12/10/26
KRW
32,000,000
22,603
 1.5% 12/10/30
KRW
1,148,560,000
756,689
 1.5% 9/10/40
KRW
2,069,710,000
1,171,198
 1.875% 3/10/51
KRW
2,378,220,000
1,313,843
 2% 6/10/31
KRW
1,103,570,000
746,728
 2% 3/10/49
KRW
381,850,000
219,582
 2.125% 6/10/27
KRW
1,520,000,000
1,085,716
 2.125% 3/10/47
KRW
29,200,000
17,424
 2.25% 6/10/25
KRW
150,000,000
109,668
 2.375% 12/10/27
KRW
50,660,000
36,303
 2.375% 12/10/28
KRW
514,930,000
365,660
 2.375% 12/10/31
KRW
600,000,000
414,696
 2.375% 9/10/38
KRW
415,730,000
272,604
 2.5% 3/10/52
KRW
1,040,000,000
658,682
 2.625% 6/10/28
KRW
940,310,000
677,550
 2.625% 3/10/48
KRW
622,670,000
407,445
 3.25% 3/10/28
KRW
1,690,020,000
1,248,588
 3.25% 6/10/33
KRW
800,600,000
586,666
 3.25% 9/10/42
KRW
1,205,650,000
877,220
 3.25% 3/10/53
KRW
1,849,990,000
1,360,570
 3.375% 6/10/32
KRW
838,210,000
620,887
 3.625% 9/10/53
KRW
490,000,000
386,234
 3.875% 9/10/43
KRW
52,860,000
41,910
TOTAL KOREA (SOUTH)
  
  
15,999,192
Latvia - 0.1%
 
  
  
Latvian Republic:
  
  
  
 1.125% 5/30/28 (Reg. S)
EUR
330,000
327,849
 1.375% 9/23/25 (Reg. S)
EUR
100,000
104,851
TOTAL LATVIA
  
  
432,700
Lithuania - 0.0%
 
  
  
Lithuanian Republic:
  
  
  
 0.5% 6/19/29 (Reg. S)
EUR
32,000
29,819
 2.1% 5/26/47 (Reg. S)
EUR
110,000
91,898
 2.125% 10/22/35 (Reg. S)
EUR
57,000
53,654
 3.875% 6/14/33(Reg. S)
EUR
90,000
100,100
TOTAL LITHUANIA
  
  
275,471
Luxembourg - 0.1%
 
  
  
Grand Duchy of Luxembourg:
  
  
  
 0% 4/28/25 (Reg. S)
EUR
35,000
36,408
 0% 11/13/26 (Reg. S)
EUR
230,000
230,501
 0% 9/14/32 (Reg. S)
EUR
210,000
180,932
TOTAL LUXEMBOURG
  
  
447,841
Malaysia - 0.7%
 
  
  
Malaysian Government:
  
  
  
 3.519% 4/20/28
MYR
4,960,000
1,045,006
 3.582% 7/15/32
MYR
2,240,000
464,565
 3.757% 5/22/40
MYR
2,310,000
473,030
 3.828% 7/5/34
MYR
420,000
88,428
 3.899% 11/16/27
MYR
3,032,000
648,264
 3.9% 11/30/26
MYR
2,999,000
641,715
 3.906% 7/15/26
MYR
171,000
36,500
 4.065% 6/15/50
MYR
2,823,000
583,245
 4.119% 11/30/34
MYR
831,000
179,059
 4.128% 8/15/25
MYR
405,000
86,498
 4.504% 4/30/29
MYR
560,000
123,063
 4.642% 11/7/33
MYR
2,170,000
486,881
 4.696% 10/15/42
MYR
1,600,000
365,231
 4.724% 6/15/33
MYR
2,083,000
468,576
 4.736% 3/15/46
MYR
90,000
20,508
 4.921% 7/6/48
MYR
50,000
11,744
 4.935% 9/30/43
MYR
150,000
34,996
TOTAL MALAYSIA
  
  
5,757,309
Mexico - 0.8%
 
  
  
United Mexican States:
  
  
  
 1.125% 1/17/30
EUR
100,000
92,680
 2.125% 10/25/51
EUR
100,000
64,428
 2.25% 8/12/36
EUR
130,000
110,973
 2.875% 4/8/39
EUR
185,000
160,980
 5.5% 3/4/27
MXN
19,600,000
1,060,533
 5.75% 3/5/26
MXN
26,769,000
1,489,697
 7.5% 6/3/27
MXN
2,000,000
113,857
 7.5% 5/26/33
MXN
10,860,000
582,723
 7.75% 11/23/34
MXN
4,000,000
215,533
 7.75% 11/13/42
MXN
14,660,000
750,108
 8% 11/7/47
MXN
13,363,000
693,038
 8.5% 5/31/29
MXN
10,000,000
583,100
TOTAL MEXICO
  
  
5,917,650
Multi-National - 0.3%
 
  
  
European Stability Mechanism 0.5% 3/5/29 (Reg. S)
EUR
2,229,000
2,163,824
Netherlands - 1.2%
 
  
  
Dutch Government:
  
  
  
 0% 1/15/27 (Reg. S) (d)
EUR
1,052,000
1,055,592
 0% 7/15/30 (Reg. S) (d)
EUR
408,000
377,182
 0% 1/15/52 (Reg. S) (d)
EUR
575,000
306,100
 0.25% 7/15/25 (d)
EUR
91,000
94,650
 0.25% 7/15/29(Reg. S) (d)
EUR
1,336,000
1,283,675
 0.5% 7/15/26(Reg. S) (d)
EUR
714,000
732,443
 0.5% 7/15/32 (Reg. S) (d)
EUR
1,061,000
973,155
 0.5% 1/15/40 (Reg. S) (d)
EUR
1,722,000
1,341,581
 0.75% 7/15/27 (Reg. S) (d)
EUR
866,000
881,353
 0.75% 7/15/28 (d)
EUR
740,000
741,915
 2% 1/15/54(Reg. S) (d)
EUR
250,000
233,895
 2.5% 1/15/33 (d)
EUR
80,000
86,125
 2.5% 7/15/33(Reg. S) (d)
EUR
540,000
579,862
 3.75% 1/15/42 (d)
EUR
320,000
396,317
 4% 1/15/37 (d)
EUR
30,000
37,024
TOTAL NETHERLANDS
  
  
9,120,869
New Zealand - 0.3%
 
  
  
New Zealand Government:
  
  
  
 0.5% 5/15/26
NZD
1,590,000
872,097
 1.5% 5/15/31
NZD
2,032,000
997,049
 1.75% 5/15/41
NZD
582,000
222,302
 2.75% 4/15/25
NZD
485,000
282,722
 2.75% 4/15/37 (Reg. S)
NZD
410,000
197,561
New Zealand Local Government Funding Agency 5.1% 11/28/30
AUD
50,000
33,506
TOTAL NEW ZEALAND
  
  
2,605,237
Norway - 0.3%
 
  
  
Kingdom of Norway:
  
  
  
 1.5% 2/19/26 (Reg. S) (d)
NOK
9,430,000
831,727
 1.75% 3/13/25 (Reg. S) (d)
NOK
7,640,000
687,298
 1.75% 2/17/27 (Reg. S) (d)
NOK
8,340,000
728,410
 3% 8/15/33(Reg. S) (d)
NOK
2,060,000
180,932
TOTAL NORWAY
  
  
2,428,367
Peru - 0.2%
 
  
  
Peruvian Republic:
  
  
  
 5.4% 8/12/34(Reg. S)
PEN
550,000
127,408
 5.94% 2/12/29
PEN
956,000
255,580
 6.15% 8/12/32
PEN
2,364,000
596,192
 6.7142% 2/12/55
PEN
500,000
124,049
TOTAL PERU
  
  
1,103,229
Poland - 0.5%
 
  
  
Polish Government:
  
  
  
 0% 2/10/25 (Reg. S)
EUR
41,000
42,882
 0.75% 4/25/25
PLN
830,000
198,501
 1% 3/7/29 (Reg. S)
EUR
309,000
304,912
 1.25% 10/25/30
PLN
396,000
77,102
 1.75% 4/25/32
PLN
3,150,000
603,250
 2% 3/8/49 (Reg. S)
EUR
17,000
12,934
 2.5% 7/25/27
PLN
3,047,000
701,063
 2.75% 10/25/29
PLN
2,390,000
526,323
 3.25% 7/25/25
PLN
3,810,000
930,938
 3.875% 2/14/33 (Reg. S)
EUR
220,000
244,731
 4% 4/25/47
PLN
96,000
19,203
 5.75% 4/25/29
PLN
1,320,000
335,339
TOTAL POLAND
  
  
3,997,178
Portugal - 0.5%
 
  
  
Portugal Obrigacoes Do Tesouro:
  
  
  
 0.475% 10/18/30 (Reg. S) (d)
EUR
258,000
242,579
 0.7% 10/15/27 (Reg. S) (d)
EUR
350,000
354,459
 0.9% 10/12/35 (Reg. S) (d)
EUR
734,000
627,712
 1% 4/12/52 (Reg. S) (d)
EUR
220,000
134,009
 1.65% 7/16/32 (Reg. S) (d)
EUR
3,000
2,965
 1.95% 6/15/29 (Reg. S) (d)
EUR
458,000
478,634
 2.875% 10/15/25 (Reg. S) (d)
EUR
22,000
23,664
 2.875% 7/21/26(Reg. S) (d)
EUR
33,000
35,669
 2.875% 10/20/34(Reg. S) (d)
EUR
390,000
415,627
 3.875% 2/15/30(Reg. S) (d)
EUR
760,000
876,142
 4.125% 4/14/27 (Reg. S) (d)
EUR
524,000
590,146
Portuguese Republic 2.25% 4/18/34 (d)
EUR
260,000
264,036
Republic of Portugal 2.125% 10/17/28 (d)
EUR
70,000
74,241
TOTAL PORTUGAL
  
  
4,119,883
Romania - 0.4%
 
  
  
Romanian Republic:
  
  
  
 1.375% 12/2/29(Reg. S)
EUR
567,000
509,438
 2.125% 3/7/28(Reg. S)
EUR
470,000
466,178
 2.5% 10/25/27
RON
2,330,000
447,356
 2.875% 5/26/28 (Reg. S)
EUR
32,000
32,570
 2.875% 4/13/42(Reg. S)
EUR
60,000
44,300
 3.375% 1/28/50 (Reg. S)
EUR
54,000
41,108
 3.5% 11/25/25
RON
4,230,000
884,136
 3.75% 2/7/34(Reg. S)
EUR
110,000
104,396
 4.125% 3/11/39
EUR
145,000
133,325
 4.85% 7/25/29
RON
1,570,000
317,977
 7.2% 10/30/33
RON
1,360,000
309,011
TOTAL ROMANIA
  
  
3,289,795
Russia - 0.0%
 
  
  
Ministry of Finance of the Russian Federation 7.6% (g)(h)(i)
RUB
4,237,000
0
Saudi Arabia - 0.0%
 
  
  
Kingdom of Saudi Arabia 2% 7/9/39 (Reg. S)
EUR
163,000
134,747
Singapore - 0.4%
 
  
  
Republic of Singapore:
  
  
  
 , yield at date of purchase 2.3106% to 2.7941% 10/1/51
SGD
330,000
193,161
 1.625% 7/1/31
SGD
520,000
348,483
 2.125% 6/1/26
SGD
271,000
195,516
 2.25% 8/1/36
SGD
768,000
519,895
 2.375% 7/1/39
SGD
325,000
220,025
 2.625% 5/1/28
SGD
1,016,000
737,309
 2.625% 8/1/32
SGD
310,000
221,672
 2.75% 4/1/42
SGD
260,000
184,729
 2.75% 3/1/46
SGD
20,000
14,131
 3% 8/1/72(Reg. S)
SGD
80,000
58,966
TOTAL SINGAPORE
  
  
2,693,887
Slovakia - 0.2%
 
  
  
Slovakia Republic:
  
  
  
 0.125% 6/17/27 (Reg. S)
EUR
288,000
282,587
 0.25% 5/14/25 (Reg. S)
EUR
84,000
87,153
 0.75% 4/9/30 (Reg. S)
EUR
400,000
374,792
 1% 10/9/30 (Reg. S)
EUR
110,000
103,061
 1% 10/13/51 (Reg. S)
EUR
160,000
92,267
 1.625% 1/21/31 (Reg. S)
EUR
348,000
336,841
 1.875% 3/9/37 (Reg. S)
EUR
185,000
162,270
TOTAL SLOVAKIA
  
  
1,438,971
Slovenia - 0.1%
 
  
  
Republic of Slovenia:
  
  
  
 0.125% 7/1/31(Reg. S)
EUR
288,000
255,286
 1.1875% 3/14/29 (Reg. S)
EUR
110,000
109,995
 1.25% 3/22/27 (Reg. S)
EUR
84,000
86,503
 1.75% 11/3/40 (Reg. S)
EUR
89,000
77,984
 2.125% 7/28/25 (Reg. S)
EUR
64,000
67,957
 2.25% 3/3/32 (Reg. S)
EUR
230,000
236,380
 3.625% 3/11/33(Reg. S)
EUR
110,000
124,400
TOTAL SLOVENIA
  
  
958,505
Spain - 3.7%
 
  
  
Basque Country 1.45% 4/30/28 (Reg. S)
EUR
260,000
263,738
Comunidad de Madrid 0.827% 7/30/27 (Reg. S)
EUR
50,000
50,139
Regional Government of Andalusia (Junta de Andalucia) 0.5% 4/30/31 (Reg. S)
EUR
180,000
160,695
Spanish Kingdom:
  
  
  
 0% 5/31/24
EUR
4,000
4,287
 0% 5/31/25
EUR
920,000
955,191
 0% 1/31/26
EUR
3,427,000
3,498,434
 0% 1/31/27
EUR
880,000
875,241
 0% 1/31/28
EUR
680,000
659,156
 0.1% 4/30/31 (d)
EUR
1,090,000
967,385
 0.5% 4/30/30 (Reg. S) (d)
EUR
143,000
134,235
 0.5% 10/31/31 (Reg. S) (d)
EUR
976,000
880,292
 0.6% 10/31/29 (Reg. S) (d)
EUR
574,000
548,669
 0.7% 4/30/32 (Reg. S) (d)
EUR
140,000
126,571
 0.8% 7/30/27 (Reg. S) (d)
EUR
1,203,000
1,213,833
 0.85% 7/30/37 (Reg. S) (d)
EUR
1,098,000
865,926
 1% 7/30/42(Reg. S) (d)
EUR
171,000
122,091
 1% 10/31/50 (Reg. S) (d)
EUR
1,856,000
1,111,102
 1.2% 10/31/40 (Reg. S) (d)
EUR
2,179,000
1,669,454
 1.25% 10/31/30 (Reg. S) (d)
EUR
1,376,000
1,340,071
 1.3% 10/31/26 (d)
EUR
150,000
155,365
 1.4% 4/30/28 (Reg. S) (d)
EUR
100,000
102,024
 1.45% 10/31/27 (d)
EUR
100,000
102,842
 1.45% 4/30/29 (Reg. S) (d)
EUR
2,226,000
2,248,769
 1.5% 4/30/27 (Reg. S) (d)
EUR
157,000
162,581
 1.6% 4/30/25 (d)
EUR
243,000
257,311
 1.85% 7/30/35 (Reg. S) (d)
EUR
480,000
450,838
 1.9% 10/31/52 (Reg. S) (d)
EUR
960,000
709,115
 1.95% 4/30/26 (Reg. S) (d)
EUR
2,222,000
2,346,144
 1.95% 7/30/30 (Reg. S) (d)
EUR
26,000
26,583
 2.15% 10/31/25 (Reg. S) (d)
EUR
44,000
46,767
 2.35% 7/30/33 (Reg. S) (d)
EUR
292,000
296,810
 2.55% 10/31/32(Reg. S) (d)
EUR
2,490,000
2,592,503
 2.7% 10/31/48 (d)
EUR
189,000
172,816
 2.8% 5/31/26
EUR
530,000
569,009
 3.15% 4/30/33 (Reg. S) (d)
EUR
510,000
553,898
 3.25% 4/30/34(Reg. S) (d)
EUR
270,000
293,614
 3.45% 7/30/43(Reg. S) (d)
EUR
1,120,000
1,179,346
 3.5% 5/31/29(Reg. S)
EUR
530,000
589,788
 3.55% 10/31/33(Reg. S) (d)
EUR
290,000
324,135
 5.15% 10/31/28 (d)
EUR
80,000
94,877
TOTAL SPAIN
  
  
28,721,645
Sweden - 0.3%
 
  
  
Sweden Kingdom:
  
  
  
 0.125% 5/12/31 (Reg. S)
SEK
3,600,000
287,902
 0.5% 11/24/45
SEK
2,680,000
166,311
 0.75% 5/12/28
SEK
19,210,000
1,676,611
 1.375% 6/23/71
SEK
580,000
34,341
 1.75% 11/11/33(Reg. S)
SEK
2,500,000
221,044
 3.5% 3/30/39
SEK
760,000
79,414
TOTAL SWEDEN
  
  
2,465,623
Switzerland - 0.6%
 
  
  
Switzerland Confederation:
  
  
  
 0% 6/22/29 (Reg. S)
CHF
492,000
525,278
 0% 6/26/34 (Reg. S)
CHF
194,000
200,550
 0% 7/24/39 (Reg. S)
CHF
273,000
273,634
 0.5% 5/24/55(Reg. S)
CHF
180,000
190,296
 1.25% 5/28/26
CHF
1,625,000
1,815,185
 1.25% 6/28/43(Reg. S)
CHF
150,000
184,369
 1.5% 4/30/42
CHF
200,000
253,356
 3.5% 4/8/33
CHF
1,085,000
1,499,512
TOTAL SWITZERLAND
  
  
4,942,180
Thailand - 0.8%
 
  
  
Kingdom of Thailand:
  
  
  
 0.95% 6/17/25
THB
36,870,000
993,478
 1.45% 12/17/24
THB
5,595,000
152,473
 1.6% 12/17/29
THB
12,408,000
326,854
 1.6% 6/17/35
THB
14,678,000
363,911
 2% 6/17/42
THB
7,800,000
187,897
 2.125% 12/17/26
THB
69,582,000
1,900,483
 2.5% 6/17/71
THB
6,480,000
132,425
 2.75% 6/17/52
THB
21,057,000
529,168
 2.875% 6/17/46
THB
9,832,000
259,455
 3.3% 6/17/38
THB
13,193,000
383,671
 3.4% 6/17/36
THB
3,260,000
96,137
 3.65% 6/20/31
THB
6,884,000
204,236
 3.775% 6/25/32
THB
13,170,000
396,544
 3.85% 12/12/25
THB
1,091,000
30,699
 4.85% 6/17/61
THB
1,660,000
57,341
TOTAL THAILAND
  
  
6,014,772
United Kingdom - 2.6%
 
  
  
United Kingdom, Great Britain and Northern Ireland:
  
  
  
 0.25% 7/31/31 (Reg. S)
GBP
2,127,000
2,081,498
 0.375% 10/22/30 (Reg. S)
GBP
777,000
789,651
 0.5% 1/31/29(Reg. S)
GBP
582,000
627,712
 0.625% 7/31/35 (Reg. S)
GBP
2,162,000
1,896,767
 0.625% 10/22/50 (Reg. S)
GBP
1,885,000
991,655
 0.875% 1/31/46 (Reg. S)
GBP
665,000
429,233
 1.125% 10/22/73(Reg. S)
GBP
1,180,000
566,856
 1.25% 7/22/27
GBP
42,000
48,660
 1.25% 10/22/41 (Reg. S)
GBP
4,399,076
3,480,733
 1.25% 7/31/51(Reg. S)
GBP
2,070,000
1,319,127
 1.5% 7/22/47
GBP
195,000
142,930
 1.625% 10/22/54 (Reg. S)
GBP
409,000
279,275
 1.75% 9/7/37 (Reg. S)
GBP
7,000
6,686
 1.75% 1/22/49(Reg. S)
GBP
742,000
565,843
 1.75% 7/22/57 (Reg. S)
GBP
1,444,000
1,000,398
 3.25% 1/31/33(Reg. S)
GBP
2,090,000
2,515,915
 3.75% 10/22/53(Reg. S)
GBP
1,670,000
1,879,930
 4.25% 9/7/39
GBP
13,000
16,424
 4.25% 12/7/40
GBP
19,000
23,870
 4.25% 12/7/55
GBP
30,000
36,910
 4.5% 6/7/28(Reg. S)
GBP
40,000
51,587
 4.5% 12/7/42
GBP
920,000
1,184,866
 4.625% 1/31/34(Reg. S)
GBP
150,000
199,950
TOTAL UNITED KINGDOM
  
  
20,136,476
 
TOTAL GOVERNMENT OBLIGATIONS
 (Cost $617,493,240)
  
  
  
546,324,552
 
  
  
  
Supranational Obligations - 3.6%
 
  
Principal
Amount (a)
 
Value ($)
 
African Development Bank:
  
  
  
 0.125% 10/7/26
EUR
41,000
41,202
 0.875% 5/24/28
EUR
87,000
86,858
 1.1% 12/16/26
AUD
260,000
155,915
 1.125% 6/18/25 (Reg. S)
GBP
80,000
96,570
Agence Francaise de Developpement 0.125% 9/29/31
EUR
200,000
173,414
Asian Development Bank:
  
  
  
 1.125% 12/15/25
GBP
32,000
38,078
 1.375% 3/7/25
GBP
25,000
30,530
 1.625% 1/28/25
CAD
290,000
208,503
 3.3% 8/8/28 (Reg. S)
AUD
55,000
34,536
 3.7% 6/17/25
AUD
430,000
278,131
 3.875% 7/22/27
GBP
310,000
387,193
 4.65% 2/16/27
CAD
700,000
525,169
Corporacion Andina de Fomento 1.625% 6/3/25 (Reg. S)
EUR
198,000
207,840
Council of Europe Development Bank 0% 4/9/27 (Reg. S)
EUR
33,000
32,695
European Financial Stability Facility:
  
  
  
 0% 10/13/27 (Reg. S)
EUR
85,000
83,171
 0.05% 10/17/29 (Reg. S)
EUR
23,000
21,447
 0.05% 1/18/52 (Reg. S)
EUR
225,000
107,806
 0.625% 10/16/26 (Reg. S)
EUR
466,000
474,967
 0.7% 1/20/50 (Reg. S)
EUR
176,000
111,690
 0.75% 5/3/27 (Reg. S)
EUR
43,000
43,626
 0.875% 4/10/35 (Reg. S)
EUR
610,000
535,307
 1.25% 5/24/33 (Reg. S)
EUR
299,000
283,454
 1.45% 9/5/40 (Reg. S)
EUR
1,125,000
969,567
European Investment Bank:
  
  
  
 0% 6/17/27
EUR
215,000
212,401
 0% 9/9/30 (Reg. S)
EUR
109,000
99,042
 0.01% 5/15/41 (Reg. S)
EUR
330,000
215,780
 0.05% 11/15/29 (Reg. S)
EUR
2,750,000
2,565,507
 0.05% 10/13/34 (Reg. S)
EUR
1,627,000
1,320,532
 0.125% 6/20/29 (Reg. S)
EUR
578,000
546,657
 0.375% 7/16/25
EUR
577,000
600,712
 0.375% 4/14/26 (Reg. S)
EUR
413,000
423,068
 0.75% 7/15/27
AUD
340,000
198,693
 1% 9/21/26 (Reg. S)
GBP
226,000
263,158
 1% 4/14/32
EUR
736,000
698,829
 1.125% 4/13/33 (Reg. S)
EUR
265,000
249,395
 1.375% 3/7/25 (Reg. S)
GBP
504,000
615,682
 1.75% 7/30/24 (Reg. S)
CAD
69,000
50,436
 1.75% 11/12/26 (Reg. S)
SEK
240,000
21,619
 3.625% 1/12/32 (Reg. S)
GBP
550,000
679,079
European Stability Mechanism:
  
  
  
 0.01% 3/4/30
EUR
35,000
32,290
 0.75% 3/15/27
EUR
184,000
186,967
 0.75% 9/5/28 (Reg. S)
EUR
48,000
47,564
 0.875% 7/18/42 (Reg. S)
EUR
266,000
199,077
 1.125% 5/3/32 (Reg. S)
EUR
47,000
44,971
 1.2% 5/23/33 (Reg. S)
EUR
37,000
35,112
 1.625% 11/17/36 (Reg. S)
EUR
218,000
203,857
 1.85% 12/1/55 (Reg. S)
EUR
186,000
150,064
European Union:
  
  
  
 0% 11/4/25 (Reg. S)
EUR
1,426,000
1,465,278
 0% 10/4/30 (Reg. S)
EUR
169,000
153,648
 0% 7/4/35 (Reg. S)
EUR
1,357,000
1,064,825
 0.1% 10/4/40 (Reg. S)
EUR
946,000
639,330
 0.3% 11/4/50 (Reg. S)
EUR
562,000
307,612
 0.45% 7/4/41 (Reg. S)
EUR
162,000
112,886
 0.45% 5/2/46 (Reg. S)
EUR
170,000
107,650
 0.8% 7/4/25 (Reg. S)
EUR
1,760,000
1,843,115
 0.875% 3/11/37 (Reg. S)
EUR
100,000
83,779
 1.125% 4/4/36 (Reg. S)
EUR
94,000
83,600
 1.25% 4/4/33 (Reg. S)
EUR
1,418,000
1,351,360
 1.25% 2/4/43 (Reg. S)
EUR
172,000
136,395
 2% 10/4/27 (Reg. S)
EUR
860,000
904,211
 2.5% 10/4/52 (Reg. S)
EUR
380,000
353,211
 3% 3/4/53 (Reg. S)
EUR
840,000
862,969
Inter-American Development Bank:
  
  
  
 1.25% 12/15/25
GBP
308,000
367,156
 1.7% 10/10/24
CAD
100,000
72,650
 3.15% 6/26/29
AUD
120,000
73,997
 3.875% 2/15/29
GBP
130,000
162,557
International Bank for Reconstruction & Development:
  
  
  
 0% 1/15/27
EUR
1,828,000
1,823,044
 0.01% 4/24/28
EUR
687,000
664,017
 1% 12/21/29
GBP
248,000
265,742
 1.2% 8/8/34
EUR
23,000
21,271
 1.25% 12/13/28
GBP
100,000
111,473
 1.8% 7/26/24
CAD
7,000
5,124
 3.3% 8/14/28
AUD
210,000
132,078
International Development Association:
  
  
  
 0.7% 1/17/42 (Reg. S)
EUR
207,000
150,187
 4.75% 10/14/31 (Reg. S)
GBP
230,000
302,822
International Finance Corp. 3.15% 6/26/29 (Reg. S)
AUD
90,000
55,503
 
TOTAL SUPRANATIONAL OBLIGATIONS
 (Cost $33,065,472)
  
  
28,265,651
 
  
  
  
Preferred Securities - 0.3%
 
  
Principal
Amount (a)
 
Value ($)
 
France - 0.2%
 
  
  
Engie SA:
  
  
  
 1.5% (Reg. S) (b)(j)
EUR
300,000
286,432
 1.625% (Reg. S) (b)(j)
EUR
600,000
624,641
TotalEnergies SE 2.125% (Reg. S) (b)(j)
EUR
160,000
141,191
Veolia Environnement SA 1.625% (Reg. S) (b)(j)
EUR
100,000
100,009
TOTAL FRANCE
  
  
1,152,273
Germany - 0.0%
 
  
  
Aroundtown SA 3.375% (Reg. S) (b)(j)
EUR
100,000
64,084
Italy - 0.0%
 
  
  
Enel SpA 1.375% (Reg. S) (b)(j)
EUR
150,000
143,782
Eni SpA 3.375% (Reg. S) (b)(j)
EUR
110,000
109,920
TOTAL ITALY
  
  
253,702
Spain - 0.1%
 
  
  
Iberdrola Finanzas SAU 1.575% (Reg. S) (b)(j)
EUR
100,000
97,063
Iberdrola International BV:
  
  
  
 1.825% (Reg. S) (b)(j)
EUR
100,000
92,351
 3.25% (Reg. S) (b)(j)
EUR
100,000
106,592
Repsol International Finance BV 4.247% (b)(j)
EUR
100,000
105,997
TOTAL SPAIN
  
  
402,003
United Kingdom - 0.0%
 
  
  
SSE PLC 3.74% (Reg. S) (b)(j)
GBP
216,000
259,334
 
TOTAL PREFERRED SECURITIES
 (Cost $2,024,380)
  
  
  
2,131,396
 
  
  
  
Money Market Funds - 0.4%
 
  
Shares
Value ($)
 
Fidelity Cash Central Fund 5.39% (k)
 
 (Cost $3,276,701)
 
  
3,276,046
3,276,701
 
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 99.7%
 (Cost $868,886,301)
 
  
 
774,919,261
NET OTHER ASSETS (LIABILITIES) - 0.3%  
2,262,720
NET ASSETS - 100.0%
777,181,981
 
  
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
  
  
  
  
 
  
  
  
  
  
Bond Index Contracts
  
  
  
  
  
Eurex Euro-Bobl Contracts (Germany)
23
Jun 2024
2,934,202
16,810
16,810
ICE Long Gilt Contracts (United Kingdom)
12
Jun 2024
1,513,671
38,836
38,836
 
  
  
  
  
  
TOTAL FUTURES CONTRACTS
  
  
  
  
55,646
The notional amount of futures purchased as a percentage of Net Assets is 0.6%
 
 Forward Foreign Currency Contracts
Currency
Purchased
Currency
Sold
 
Counterparty
Settlement
Date
Unrealized  
Appreciation/
(Depreciation) ($)
 
  
  
  
  
  
  
USD
1,454,252
JPY
220,143,166
Bank of America, N.A.
4/01/24
10
AUD
35,582,220
USD
23,231,631
BNP Paribas S.A.
4/02/24
(44,478)
AUD
97,000
USD
63,268
JPMorgan Chase Bank, N.A.
4/02/24
(58)
CAD
1,286,000
USD
946,615
Bank of America, N.A.
4/02/24
2,778
CAD
54,081,586
USD
39,803,920
Royal Bank of Canada
4/02/24
121,949
CHF
7,791,000
USD
8,599,338
HSBC Bank
4/02/24
39,571
CLP
679,122,000
USD
691,775
State Street Bank and Trust Co
4/02/24
1,370
CLP
679,122,000
USD
692,770
State Street Bank and Trust Co
4/02/24
375
CNH
958,082,000
USD
132,194,826
Bank of America, N.A.
4/02/24
(269,403)
CNH
131,123,000
USD
18,095,166
JPMorgan Chase Bank, N.A.
4/02/24
(39,867)
CNY
2,750,712
USD
378,894
Citibank, N. A.
4/02/24
1,722
COP
7,684,400,000
USD
1,999,948
State Street Bank and Trust Co
4/02/24
(11,875)
COP
7,684,400,000
USD
1,982,559
State Street Bank and Trust Co
4/02/24
5,514
CZK
40,340,000
USD
1,722,097
BNP Paribas S.A.
4/02/24
(2,142)
CZK
178,000
USD
7,630
Brown Brothers Harriman & Co
4/02/24
(41)
CZK
19,151,000
USD
816,536
State Street Bank and Trust Co
4/02/24
(5)
DKK
15,055,000
USD
2,185,051
Bank of America, N.A.
4/02/24
(7,538)
EUR
1,693,000
USD
1,844,591
JPMorgan Chase Bank, N.A.
4/02/24
(18,098)
EUR
330,827,000
USD
357,829,100
State Street Bank and Trust Co
4/02/24
(916,392)
GBP
819,000
USD
1,033,755
Citibank, N. A.
4/02/24
(55)
GBP
41,230,000
USD
52,040,506
HSBC Bank
4/02/24
(2,062)
HKD
842,954
USD
107,755
Goldman Sachs Bank USA
4/02/24
(55)
HUF
422,737,000
USD
1,156,555
HSBC Bank
4/02/24
1,570
IDR
95,459,000,000
USD
6,013,923
BNP Paribas S.A.
4/02/24
6,828
IDR
95,459,000,000
USD
6,039,798
JPMorgan Chase Bank, N.A.
4/02/24
(19,047)
ILS
5,687,030
USD
1,551,407
Goldman Sachs Bank USA
4/02/24
(4,695)
JPY
12,220,058,353
USD
80,820,492
JPMorgan Chase Bank, N.A.
4/02/24
(96,100)
KRW
21,446,800,000
USD
15,917,174
BNP Paribas S.A.
4/02/24
(27,360)
KRW
21,446,800,000
USD
15,975,270
Bank of America, N.A.
4/02/24
(85,456)
MXN
1,672,000
USD
99,124
Canadian Imperial Bk. of Comm.
4/02/24
1,450
MXN
89,763,000
USD
5,405,912
Royal Bank of Canada
4/02/24
(6,471)
MYR
27,267,000
USD
5,762,622
Goldman Sachs Bank USA
4/02/24
(1,583)
MYR
27,267,000
USD
5,783,033
Goldman Sachs Bank USA
4/02/24
(21,993)
NOK
616,000
USD
57,681
Bank of America, N.A.
4/02/24
(941)
NOK
26,321,000
USD
2,441,764
Bank of America, N.A.
4/02/24
(17,318)
NZD
4,329,000
USD
2,601,729
Bank of America, N.A.
4/02/24
(15,368)
PEN
4,316,000
USD
1,160,933
State Street Bank and Trust Co
4/02/24
(624)
PEN
4,316,000
USD
1,164,598
State Street Bank and Trust Co
4/02/24
(4,289)
PLN
14,026,000
USD
3,514,196
JPMorgan Chase Bank, N.A.
4/02/24
(2,692)
RON
9,246,000
USD
2,011,453
Goldman Sachs Bank USA
4/02/24
(4,246)
SEK
5,526,000
USD
533,272
Brown Brothers Harriman & Co
4/02/24
(17,017)
SEK
61,345,000
USD
5,782,900
State Street Bank and Trust Co
4/02/24
(51,865)
SGD
3,630,706
USD
2,693,522
BNP Paribas S.A.
4/02/24
(4,608)
THB
216,863,000
USD
5,972,542
JPMorgan Chase Bank, N.A.
4/02/24
(26,203)
USD
311,557
AUD
479,000
HSBC Bank
4/02/24
(583)
USD
22,866,006
AUD
35,201,000
State Street Bank and Trust Co
4/02/24
(72,725)
USD
2,166,176
CAD
2,932,000
Bank of America, N.A.
4/02/24
1,619
USD
1,329,685
CAD
1,802,000
JPMorgan Chase Bank, N.A.
4/02/24
(646)
USD
37,342,104
CAD
50,640,000
Royal Bank of Canada
4/02/24
(43,006)
USD
175,994
CHF
155,000
Canadian Imperial Bk. of Comm.
4/02/24
4,126
USD
8,702,748
CHF
7,636,000
HSBC Bank
4/02/24
235,708
USD
693,335
CLP
679,122,000
State Street Bank and Trust Co
4/02/24
191
USD
691,775
CLP
679,122,000
State Street Bank and Trust Co
4/02/24
(1,370)
USD
132,964,451
CNH
958,082,000
Bank of America, N.A.
4/02/24
1,039,028
USD
9,792,539
CNH
70,543,000
JPMorgan Chase Bank, N.A.
4/02/24
78,949
USD
8,416,015
CNH
60,580,000
JPMorgan Chase Bank, N.A.
4/02/24
74,305
USD
967,063
CNY
7,026,923
Citibank, N. A.
4/02/24
(5,252)
USD
1,222,496
CNY
8,883,088
Citibank, N. A.
4/02/24
(6,656)
USD
999,590
CNY
7,263,052
Citibank, N. A.
4/02/24
(5,399)
USD
1,999,948
COP
7,684,400,000
State Street Bank and Trust Co
4/02/24
11,875
USD
1,941,338
COP
7,684,400,000
State Street Bank and Trust Co
4/02/24
(46,735)
USD
2,549,596
CZK
59,669,000
Goldman Sachs Bank USA
4/02/24
5,520
USD
2,190,487
DKK
15,055,000
Bank of America, N.A.
4/02/24
12,974
USD
355,202,778
EUR
327,438,000
Bank of America, N.A.
4/02/24
1,946,293
USD
3,114,862
EUR
2,879,000
Bank of America, N.A.
4/02/24
8,853
USD
322,561
EUR
299,000
Bank of America, N.A.
4/02/24
(16)
USD
1,170,713
EUR
1,079,000
JPMorgan Chase Bank, N.A.
4/02/24
6,634
USD
165,222
EUR
152,000
JPMorgan Chase Bank, N.A.
4/02/24
1,237
USD
1,414,190
EUR
1,301,000
State Street Bank and Trust Co
4/02/24
10,606
USD
52,515,782
GBP
41,495,000
BNP Paribas S.A.
4/02/24
142,868
USD
596,677
GBP
469,000
Bank of America, N.A.
4/02/24
4,728
USD
125,742
GBP
99,000
State Street Bank and Trust Co
4/02/24
789
USD
107,798
HKD
843,000
State Street Bank and Trust Co
4/02/24
93
USD
1,175,653
HUF
427,777,000
Goldman Sachs Bank USA
4/02/24
3,720
USD
6,067,939
IDR
95,459,000,000
BNP Paribas S.A.
4/02/24
47,189
USD
6,013,923
IDR
95,459,000,000
JPMorgan Chase Bank, N.A.
4/02/24
(6,828)
USD
1,595,683
ILS
5,723,000
Citibank, N. A.
4/02/24
39,188
USD
2,041,232
JPY
304,650,000
BNP Paribas S.A.
4/02/24
28,747
USD
270,256
JPY
40,500,000
Canadian Imperial Bk. of Comm.
4/02/24
2,718
USD
79,240,890
JPY
11,891,300,000
JPMorgan Chase Bank, N.A.
4/02/24
688,241
USD
16,130,871
KRW
21,446,800,000
BNP Paribas S.A.
4/02/24
241,057
USD
15,917,174
KRW
21,446,800,000
Bank of America, N.A.
4/02/24
27,360
USD
5,319,269
MXN
91,435,000
State Street Bank and Trust Co
4/02/24
(180,746)
USD
5,719,950
MYR
27,267,000
Goldman Sachs Bank USA
4/02/24
(41,090)
USD
5,762,622
MYR
27,267,000
Goldman Sachs Bank USA
4/02/24
1,583
USD
2,549,056
NOK
26,937,000
State Street Bank and Trust Co
4/02/24
67,870
USD
1,756,087
NZD
2,887,000
State Street Bank and Trust Co
4/02/24
31,249
USD
873,573
NZD
1,435,000
State Street Bank and Trust Co
4/02/24
16,233
USD
1,160,933
PEN
4,316,000
State Street Bank and Trust Co
4/02/24
624
USD
1,136,088
PEN
4,316,000
State Street Bank and Trust Co
4/02/24
(24,220)
USD
3,517,657
PLN
14,026,000
State Street Bank and Trust Co
4/02/24
6,153
USD
2,015,557
RON
9,246,000
BNP Paribas S.A.
4/02/24
8,349
USD
6,475,870
SEK
66,871,000
Bank of America, N.A.
4/02/24
228,579
USD
2,704,271
SGD
3,636,000
BNP Paribas S.A.
4/02/24
11,436
USD
6,024,642
THB
216,863,000
JPMorgan Chase Bank, N.A.
4/02/24
78,302
CNY
9,509,783
USD
1,309,888
Citibank, N. A.
4/03/24
6,129
EUR
314,000
USD
339,150
Bank of America, N.A.
5/02/24
16
JPY
254,050,000
USD
1,686,179
Bank of America, N.A.
5/02/24
(254)
USD
23,362,977
AUD
35,753,000
BNP Paribas S.A.
5/02/24
44,441
USD
39,967,661
CAD
54,280,000
Royal Bank of Canada
5/02/24
(122,254)
USD
8,674,390
CHF
7,833,000
HSBC Bank
5/02/24
(40,030)
USD
681,845
CLP
669,231,000
State Street Bank and Trust Co
5/02/24
(542)
USD
1,949,139
COP
7,595,600,000
State Street Bank and Trust Co
5/02/24
(5,845)
USD
1,727,957
CZK
40,487,000
BNP Paribas S.A.
5/02/24
2,121
USD
2,169,041
DKK
14,923,000
Bank of America, N.A.
5/02/24
7,380
USD
3,637,897
EUR
3,364,000
Citibank, N. A.
5/02/24
4,282
USD
359,251,637
EUR
331,745,000
State Street Bank and Trust Co
5/02/24
918,272
USD
52,288,194
GBP
41,420,000
HSBC Bank
5/02/24
1,367
USD
105,815
HKD
827,000
Goldman Sachs Bank USA
5/02/24
49
USD
1,149,639
HUF
421,084,000
HSBC Bank
5/02/24
(1,553)
USD
6,043,034
IDR
95,600,800,000
JPMorgan Chase Bank, N.A.
5/02/24
18,754
USD
1,551,075
ILS
5,679,000
Goldman Sachs Bank USA
5/02/24
4,780
USD
80,918,548
JPY
12,179,350,000
JPMorgan Chase Bank, N.A.
5/02/24
94,027
USD
16,087,216
KRW
21,581,000,000
Bank of America, N.A.
5/02/24
71,275
USD
5,430,693
MXN
90,597,000
Royal Bank of Canada
5/02/24
6,373
USD
5,780,932
MYR
27,286,000
Goldman Sachs Bank USA
5/02/24
4,467
USD
2,453,790
NOK
26,431,000
Bank of America, N.A.
5/02/24
17,343
USD
2,605,979
NZD
4,336,000
Bank of America, N.A.
5/02/24
15,332
USD
1,152,010
PEN
4,272,000
State Street Bank and Trust Co
5/02/24
4,302
USD
3,509,009
PLN
14,009,000
JPMorgan Chase Bank, N.A.
5/02/24
2,683
USD
2,010,815
RON
9,247,000
Goldman Sachs Bank USA
5/02/24
4,719
USD
5,800,859
SEK
61,461,000
State Street Bank and Trust Co
5/02/24
52,091
USD
2,657,208
SGD
3,577,000
BNP Paribas S.A.
5/02/24
4,373
USD
6,101,600
THB
221,183,000
JPMorgan Chase Bank, N.A.
5/02/24
22,138
USD
133,829,890
CNH
968,460,000
Bank of America, N.A.
5/06/24
306,749
USD
18,323,333
CNH
132,540,000
JPMorgan Chase Bank, N.A.
5/06/24
49,830
 
  
  
  
  
  
  
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
  
4,635,729
Unrealized Appreciation
  
  
6,961,424
Unrealized Depreciation
  
  
(2,325,695)
 
Currency Abbreviations
         AUD
-
Australian dollar
         CAD
-
Canadian dollar
         CHF
-
Swiss franc
         CLP
-
Chilean peso
         CNH
-
Chinese Offshore Currency
         CNY
-
Chinese yuan
         COP
-
Colombian peso
         CZK
-
Czech koruna
         DKK
-
Danish krone
         EUR
-
European Monetary Unit
         GBP
-
British pound sterling
         HKD
-
Hong Kong dollar
         HUF
-
Hungarian forint
         IDR
-
Indonesian rupiah
         ILS
-
Israeli shekel
         JPY
-
Japanese yen
         KRW
-
Korean won
         MXN
-
Mexican peso
         MYR
-
Malaysian ringgit
         NOK
-
Norwegian krone
         NZD
-
New Zealand dollar
         PEN
-
Peruvian new sol
         PLN
-
Polish zloty
         RON
-
Romanian leu (new)
         RUB
-
Russian ruble
         SEK
-
Swedish krona
         SGD
-
Singapore dollar
         THB
-
Thai baht
         USD
-
U.S. dollar
 
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)
Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
 
(d)
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 $117,982,382 or 15.2% of net assets.
 
(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 $191,857.
 
(f)
Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts. At period end, the value of securities pledged amounted to $411,362.
 
(g)
Non-income producing
 
(h)
Non-income producing - Security is in default.
 
(i)
Level 3 security
 
(j)
Security is perpetual in nature with no stated maturity date.
 
(k)
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 5.39%
20,006,063
43,911,050
60,640,412
60,468
-
-
3,276,701
0.0%
Total
20,006,063
43,911,050
60,640,412
60,468
-
-
3,276,701
  
 
  
  
  
  
  
  
  
  
Amounts in the dividend 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. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services 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 the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.   
 
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 services or from brokers who make markets in such securities. Nonconvertible Bonds, Government Obligations, Supranational Obligations and Preferred Securities are valued by pricing services 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 services. 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.
 
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service 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.
 
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):
 
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. 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 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.
 
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.
 
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